Chicago, April 8 – Citigroup Global Markets Holdings Inc. priced $6.07 million of callable fixed-to-float SOFR CMS spread range accrual notes due April 5, 2044 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly fixed coupon at 10% per year for the first two years.
After the second year, it will accrue at an annual rate of 28 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 that the index closes at or above the 50% accrual barrier. The floating rate is also payable quarterly, subject to a floor of 0% and a ceiling of 14%.
The notes can be called at par on any quarterly coupon date after one year.
At maturity, investors will receive par if the index finishes above 50% of its initial level.
Otherwise, investors will be fully exposed to the losses of the index.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable fixed-to-float spread range accrual notes
|
| Underlying assets: | 30-year U.S. Dollar SOFR ICE swap rate, two-year U.S. Dollar SOFR ICE swap rate, S&P 500 index
|
| Amount: | $6,070,000
|
| Maturity: | April 5, 2044
|
| Price: | Par
|
| Coupon: | 10% annually, payable quarterly, for first two years; after that, annual coupon rate set at 28 times the spread of the 30-year SOFR ICE rate minus the two-year SOFR ICE rate for each day the index closes at or above the accrual barrier, payable quarterly; floating rate is subject to 0% floor and 14% ceiling
|
| Payout at maturity: | Par if index closes above final barrier; otherwise, full exposure to losses of index
|
| Call option: | Callable quarterly at par after one year
|
| Initial level: | 5,205.81
|
| Accrual barrier: | 2,602.905; 50% of initial level
|
| Final barrier: | 2,602.905; 50% of initial level
|
| Pricing date: | April 2
|
| Settlement date: | April 5
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 0.75%
|
| Cusip: | 17331AXT3
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