Published on 5/10/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $644,000 fixed-to-float SOFR CMS spread range accrual notes on indexes
Chicago, May 10 – Citigroup Global Markets Holdings Inc. priced $644,000 callable fixed-to-float SOFR CMS spread range accrual notes due June 17, 2042 linked to the worst performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 14% for the first year and a half, payable quarterly. After that, the coupon will be based on a rate of 50 times the spread of the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate. The coupon interest rate will be capped at 14% and floored at 0%.
The coupon after the first year and a half will be paid based on the number of days in the quarterly accrual period when the three indexes close above the 60% accrual barrier.
The notes will be callable at par on any quarterly redemption date starting June 17, 2023.
The payout at maturity will be par plus any coupon due.
Citigroup Global Markets Inc. is the underwriter.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Callable fixed-to-float SOFR CMS spread range accrual notes
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Underlying indexes: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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Amount: | $644,000
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Maturity: | June 17, 2042
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Coupon: | 14% for the first year and a half, payable quarterly; after that, annualized rate of 50 times the spread of the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate for each day all three indexes close above accrual barrier levels in quarterly accrual period; cap of 14%, floor of 0%
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Price: | Par
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Payout at maturity: | Par plus any coupon due
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Call option: | At par on any interest payment date starting June 17, 2023
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Initial levels: | 3,735.48 for S&P, 11,311.69 for Nasdaq, 1,707.829 for Russell
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Accrual barrier levels: | 2,241.288 for S&P, 6,787.014 for Nasdaq, 1,024.697 for Russell; 60% of initial levels
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Pricing date: | June 14, 2022
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Settlement date: | June 17, 2022
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17330PBX6
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