Published on 9/25/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $778,000 fixed-to-float SOFR CMS spread range accrual notes on indexes
By Kiku Steinfeld
Chicago, Sept. 25 – Citigroup Global Markets Holdings Inc. priced $778,000 callable fixed-to-float SOFR CMS spread range accrual securities due March 16, 2043 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Euro Stoxx Banks 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 two years, 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 two years 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 March 16, 2024.
The payout at maturity will be par if all three indexes close above their 60% final barrier levels.
Otherwise, investors will be fully exposed to the losses of the worst performer.
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 CMS spread range accrual securities
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| Underlying indexes: | S&P 500 index, Dow Jones industrial average and Euro Stoxx Banks index
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| Amount: | $778,000
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| Maturity: | March 16, 2043
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| Coupon: | 14% for the first two years, 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 if all three indexes close above final barrier levels; otherwise, full exposure to losses of worst performer
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| Call option: | At par on any interest payment date starting March 16, 2024
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| Initial levels: | 32,155.40 for Dow, 107.60 for Stoxx Banks, 3,920.56 for S&P
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| Accrual barrier levels: | 19,293.24 for Dow, 64.56 for Stoxx Banks, 2,352.336 for S&P; 60% of initial levels
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| Final barrier levels: | 19,293.24 for Dow, 64.56 for Stoxx Banks, 2,352.336 for S&P; 60% of initial levels
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| Pricing date: | March 14, 2023
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| Settlement date: | March 17, 2023
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17331CX93
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