Published on 8/31/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $890,000 SOFR CMS spread range accrual notes linked to three indexes
Chicago, Aug. 31 – Citigroup Global Markets Holdings Inc. priced $890,000 of callable fixed to float SOFR CMS spread range accrual securities due Aug. 29, 2042 linked to the 30-year U.S. dollar SOFR ICE swap rate, the two-year U.S. dollar SOFR ICE swap rate, the Dow Jones industrial average, the Euro Stoxx Banks index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly. The interest rate is 11% per year for the first four years. After that, the interest rate will be the contingent rate multiplied by the proportion of days during that quarter on which each index closes at or above its barrier level, 50% of its initial level. The contingent rate is an annualized rate equal to 50 times the spread of the 30-year swap rate over the two-year swap rate, subject to a minimum contingent rate of 0% and a maximum contingent rate of 11% per year.
The notes are callable at par on any quarterly coupon payment date beginning after one year.
The payout at maturity will be par unless the final level of the worst performing index is less than its 50% barrier level, in which case investors will be exposed to the decline of the worst performing index.
The notes are guaranteed by Citigroup Inc.
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 securities
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| Underlying assets: | 30-year U.S. dollar SOFR ICE swap rate, two-year U.S. dollar SOFR ICE swap rate, Dow Jones industrial average, Euro Stoxx Banks index and S&P 500 index
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| Amount: | $890,000
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| Maturity: | Aug. 29, 2042
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| Coupon: | 11% per year for first four years; after that, contingent rate multiplied by proportion of days during quarter on which each index closes at or above barrier level; contingent rate is annualized rate equal to 50 times spread of 30-year swap rate over two-year swap rate, subject to minimum contingent rate of 0% and maximum contingent rate of 11% per year; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless final level of worst performing index is less than barrier level, in which case exposure to decline of worst performing index
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| Call option: | At par on any quarterly coupon payment date starting after one year
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| Initial levels: | 32,098.99 for Dow, 77.83 for Euro Stoxx Banks and 4,030.61 for S&P
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| Barrier levels: | 16,049.495 for Dow, 38.915 for Euro Stoxx Banks and 2,015.305 for S&P, or 50% of initial levels
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| Pricing date: | Aug. 29, 2022
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| Settlement date: | Aug. 31, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17330R6V2
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