Published on 2/15/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $300,000 fixed-to-float CMS spread range accrual notes on S&P
By Kiku Steinfeld
Chicago, Feb. 15 – Citigroup Global Markets Holdings Inc. priced $300,000 of fixed-to-float CMS spread range accrual securities due Nov. 18, 2042 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 0% for the first two years, payable quarterly. After that, the coupon rate is 50 times the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate for each day the index closes at or above 50% of its initial level, subject to a maximum rate of 10% and a floor of zero.
The payout at maturity will be par if the index closes above 50% of its initial level.
Otherwise, investors will be fully exposed to the losses of the index.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Fixed-to-float CMS spread range accrual securities
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| Underlying index: | S&P 500 index
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| Amount: | $300,000
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| Maturity: | Nov. 18, 2042
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| Coupon: | 10% for first two years, payable quarterly; after that, 50 times 30-year U.S. dollar SOFR ICE swap rate minus two-year U.S. dollar SOFR ICE swap rate for each day index closes at or above accrual barrier, subject to a maximum rate of 10% and a floor of zero
|
| Price: | Par
|
| Payout at maturity: | Par if index finishes above 50% of initial level; otherwise, full exposure to losses of index
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| Initial level: | 3,958.79
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| Accrual barrier level: | 1,979.395, 50% of initial levels
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| Final barrier level: | 1,979.395, 50% of initial levels
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| Pricing date: | Nov. 16, 2022
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| Settlement date: | Nov. 18, 2022
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| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 5%
|
| Cusip: | 17330YRX0
|
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