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For Immediate Release Citigroup Inc. (NYSE: C)

Citi LIBOR Transition Update

May 11, 2023

Outstanding US Law-Governed Citi-Issued USD LIBOR CMS Instruments Planned to be Calculated Pursuant to Fallback Provisions after June 30, 2023

New York – On November 14, 2022, ICE Benchmark Administration (“IBA”), the publisher of the USD LIBOR ICE Swap Rate, announced that it intends to cease publication of all ICE Swap Rate settings based on USD LIBOR after June 30, 2023 (the "Cessation Date").  This announcement follows the announcement by the UK Financial Conduct Authority on March 5, 2021, that all USD LIBOR settings will either cease or no longer be representative after the Cessation Date.  The USD LIBOR ICE Swap Rate is also referred to as a constant maturity swap (or “CMS”) rate, and in this press release is referred to as the “USD LIBOR CMS Rate”.

Citigroup Inc. and certain of its consolidated subsidiaries have issued debt securities, certificates of deposit, preferred stock, asset-backed securities and trust preferred securities that:

  1. use the USD LIBOR CMS Rate as a benchmark (i.e., as a reference for calculating or determining one or more valuations, payments or other measurements),
  2. will not mature before the Cessation Date and
  3. are governed by U.S. law or the law of a U.S. state (“Legacy CMS Instruments”). 

Citi is issuing this press release to provide notice that, after the Cessation Date, it expects that calculations referencing the USD LIBOR CMS Rate in the Legacy CMS Instruments will no longer be calculated by reference to the USD LIBOR CMS Rate, but instead will be calculated pursuant to the applicable fallback provisions described below. 

Legacy CMS Instruments

Each Legacy CMS Instrument in scope of this press release falls into one of the following categories. Please refer to the corresponding annex for a list of the Legacy CMS Instruments covered by this press release.

1. Initial fallback to dealer quotations

Annex 1 lists Legacy CMS Instruments containing fallback provisions that provide that, if the relevant USD LIBOR CMS Rate is not published on any day on which the rate is required, the calculation agent will determine the rate on the basis of quotations provided to the calculation agent by leading swap dealers in the New York City interbank market for the fixed leg of a fixed-for-floating USD interest rate swap transaction, where the floating leg is based on USD LIBOR (as set forth in more detail in the terms of these Legacy CMS Instruments).  Under the terms of these Legacy CMS Instruments, if the calculation agent is unable to obtain a sufficient number of such quotations, then the relevant USD LIBOR CMS Rate will be determined by the calculation agent in good faith and using its reasonable judgment.

As it is expected that the USD LIBOR CMS Rate will not be published following the Cessation Date, the calculation agent intends following the Cessation Date to request quotations for USD interest rate swap transactions referencing USD LIBOR, as described above.  If the calculation agent is able to obtain a sufficient number of such quotations (as set forth in the terms of these Legacy CMS Instruments), then calculations based on the USD LIBOR CMS Rate in these Legacy CMS Instruments will be calculated instead by reference to such quotations. 

In light of the fact that USD LIBOR is expected to cease or no longer be representative after the Cessation Date, it is currently uncertain whether it will be possible to obtain quotations for USD interest rate swap transactions referencing USD LIBOR (as set forth in more detail in the terms of these Legacy CMS Instruments) after the Cessation Date.  In the event that the calculation agent is unable to obtain a sufficient number of such quotations after the Cessation Date, the calculation agent may decide not to request quotations indefinitely, as to do so would serve no purpose.  If a sufficient number of quotations are not available on any date of determination for any Legacy CMS Instrument or if the calculation agent has determined prior to such date of determination that it is futile to continue requesting such quotations, the calculation agent intends to follow the approach adopted by the International Swaps and Derivatives Association ("ISDA") for the swaps market and determine the relevant USD LIBOR CMS Rate in accordance with the fallback provisions set forth in Annex 3.  Broadly, these fallback provisions consist of using the USD SOFR ICE Swap Rate (“SOFR ISR”), adding the ISDA fallback spread adjustment and applying technical adjustments to account for differences in payment frequency and day count conventions between USD LIBOR swaps and SOFR swaps.  IBA has announced that it intends to publish a rate calculated in this manner starting on July 3, 2023.

2. Initial fallback to calculation agent selection of alternative rate

Annex 2 lists Legacy CMS Instruments containing fallback provisions that provide that, if the calculation and publication of the relevant USD LIBOR CMS Rate is permanently canceled, then the calculation agent may replace that USD LIBOR CMS Rate with an alternative rate that it determines, in its sole discretion, represents the same or a substantially similar measure or benchmark as that USD LIBOR CMS Rate.  For these Legacy CMS Instruments, the calculation agent intends, for all calculations made after the Cessation Date, to replace the relevant USD LIBOR CMS Rate with a fallback rate calculated in accordance with Annex 3.

This press release applies only to the Legacy CMS Instruments listed on one of the annexes 1 or 2. 

The applicable issuer has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (“SEC”) for certain of the securities to which this communication relates. Before investing, any investor should read the prospectus in that registration statement and the other documents the issuer has filed with the SEC for more complete information about the issuer and such securities.  Any investor may obtain these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, any investor can request these documents from Citigroup Global Markets Inc., c/o Broadridge Financial Solutions, 1155 Long Island Avenue, Edgewood, NY 11717, telephone: (800) 831-9146 or email: prospectus@citi.com.

Annex 1
Legacy CMS Instruments with Initial Fallback to Dealer Quotations

 Issuer: Citigroup Inc.

CUSIP

1730T0T58

17298CDA3

1730T02P3

1730T3AU7

1730T07K9

1730T3AV5

1730T0KZ1

1730T3AW3

1730T0HV4

17298C3F3

1730T0HN2

17298C3Y2

1730T0JN0

17298C6K9

1730T0E21

1730T0RN1

1730T0E96

1730T0SM2

1730T0G78

1730T0TK5

1730T0K32

1730T0TQ2

1730T0L31

1730T0TT6

1730T0L64

1730T0TZ2

1730T0N62

1730T0UB3

1730T0P86

1730T0UG2

1730T0R50

1730T0UK3

1730T0R76

1730T0VD8

1730T0U49

1730T0A58

1730T0W21

1730T0A82

1730T04K2

1730T0A90

1730T04Y2

1730T0C23

1730T05M7

1730T0C56

1730T06G9

1730T0LH0

1730T07D5

1730T0KV0

17298CAD0

17298CBZ0

17298CAF5

 

17298CAT5

 

17298CBB3

 

 

Issuer: Citigroup Global Markets Holdings Inc.

CUSIP

17324CGG5

17324CHL3

17324CHH2

17324CP34

17324CRG3

17324CSG2

17324CUT1

17324CVW3

17324CVT0

17324CXL5

17328YSU9

17329FJ62

17329FTP9

17326YKV7

17326YQT6

 

Issuer: Citibank, N.A. (CBNA)

CUSIP

172986HF1

172986HR5

172986HB0

172986HA2

172986GQ8

172986GV7

172986GY1

172986HV6

172986HT1

172986HZ7

172986CJ8

172986KD2

172986GW5

172986JB8

172986GH8

172986CK5

172986GZ8

172986JL6

172986HD6

 

172986HN4

 

172986HS3

 

172986HK0

 

 

Annex 2
Legacy CMS Instruments with Initial Fallback to Calculation Agent Selection of Alternative Rate

Issuer: Citigroup Inc.

CUSIP

17298CLW6

1730T0X46

1730T02D0

1730T02B4

1730T02V0

1730T03J6

1730T03W7

1730T04U0

17298CAR9

17298CCL0

1730T3AX1

1730T3AY9

1730T3AZ6

17298CFQ6

17298CFV5

17298CG36

17298CG69

17298CG77

17298CGD4

17298CGE2

17298CGK8

17298CGL6

17298CGS1

17298CGZ5

5C00639Q1

 

Issuer: Citigroup Global Markets Holdings Inc.

CUSIP

17329FUH5

17327TY83

17328WEM6

17328YDR2

17328YXE9

17329UUK5

17327TX50

17328WBS6

17328YC44

17328YRF3

17329QW71

17327TR99

17328WLX4

17328YBD5

17329F6V1

17329QVX5

17327TC38

17328WLT3

17328YBK9

17329FC93

17329U4M0

17327TG34

17328W7C6

17328Y6U3

17329F2E3

17329UD40

17327TK54

17328WG77

17328YFV1

17329FC36

17329QPS3

17327TH90

17328WJZ2

17328YCS1

17329F6J8

17329UR86

17327T3U8

17328WJS8

17328YJW5

17329F5M2

17329QKY5

17328V2A7

17328WKS6

17328YF58

17329F7B4

17329QQS2

17328VDM9

17328WRC4

17328YGL2

17329F4X9

17329QXR6

17328V5F3

17328WT24

17328YHY3

17329FFX7

17329UGK1

17328VG53

17328WUU0

17328YNH3

17329F2X1

17329U4U2

17328VVN7

17328WXG8

17328YXT6

17329FFK5

17329FL93

17328VRF9

17328WTH1

17328YJT2

17329FKB9

17324CXG6

17328VMM9

17328WTN8

17328YPN8

17329FDA9

17324CYQ3

17328VJB7

17328WQ68

17328YK45

17329FE91

17324CZA7

17328VQ52

17328WVX3

17328YLG7

17329FRU0

17329FVK7

17328VNM8

17328WRM2

17328YY73

17329FPJ7

17329FEG5

17328VVD9

17328WNC8

17328YQV9

17329FDT8

17329FY81

17328W5M6

17328WXB9

17328YSW5

17329FDV3

17329FS96

17328W2U1

17328WXH6

17328YRR7

17329FL85

17326YND4

17328W4Y1

17328WZF8

17328YZV9

17329FMP6

17326YVA1

17328WAV0

17328Y3L6

17329FCB8

17329FDG6

17326YXP6

17328W5K0

17328Y3Q5

17328YYU2

17329FKT0

17326YCC8

17328W3Y2

17328Y2M5

17324CHQ2

17329FXP4

17326YP91

17328WAR9

17328Y2R4

17324CJ64

17329FXS8

17326YYA8

17328W7K8

17328YH72

17324CED4

17329FSB1

17326YVR4

17328WM96

17328YBM5

17328YU69

17329FWM2

17326YL95

17328WGN2

17328YT38

17328YU85

17329FUC6

17327TRA6

17328WJ82

17328YDL5

17328YY99

17329FXV1

17327TC95

17328WHK7

17326YH41

17328YS70

17329UCD1

17327TJ23

17328WJA7

17326YCA2

17328YRS5

17329FZ23

17329U2J9

17329UYM7

17329UXB2

17329QB74

17324CLR5

17329Q2F6

17329FYS7

17329QYS3

17329QH94

17324CLA2

17329FVW1

17329FUM4

17329U3P4

17329QGM6

17324CMJ2

17329QL24

17329FVE1

17329U2C4

17329QE30

17324CR65

17329QBM1

17329Q5C0

17329U3D1

17329QB41

17324CGJ9

17329QET3

17329UQ87

17329U4V0

17329QD98

17324CLU8

17329QG79

17329USZ5

17329UDP3

17329Q6P0

 

17329QAZ3

5C005H9W8

17329UHB0

17329QP95

 

17329UEA5

17329UR94

17329U6P1

17329QNX4

 

17329UHX2

17328WAF5

17329U6E6

17329QUK4

 

17329U3F6

17329QD49

17329U5E7

17329QSV3

 

17324CFE1

17329ULU3

17329U7K1

17329QXS4

 

17329QK90

17329UAG6

17329UFJ5

17329QUC2

 

17329Q6S4

17329UKZ3

17329ULR0

17329QSM3

 

17329QAG5

17329UD32

17324CKB1

17329QTS9

 

17329QHD5

17329UF30

17290JAA9

17329QPC8

 

 

 Annex 3
Fallback Rate

Where this annex applies, the calculation agent will follow the approach adopted under ISDA's Supplement 88 and calculate the relevant rate as the “Published USD ISR Fallback Rate”, or alternatively the “Calculated USD ISR Fallback Rate”, each as described below.

Published USD ISR Fallback Rate

The “Published USD ISR Fallback Rate” will be calculated based on (i) the SOFR ISR for the relevant tenor of the USD LIBOR CMS Rate referenced in the applicable Legacy CMS Instrument (also referred to as the “Designated Maturity”), (ii) the fixed spread adjustment published by Bloomberg Index Services Limited in the applicable tenor and (iii) certain convexity adjustments to compensate for the varying payment frequencies between the fixed and floating legs of the USD LIBOR CMS Rate and the SOFR ISR.

On March 10, 2023, IBA announced that it intends to publish a USD SOFR Spread-Adjusted ICE Swap Rate® for use as a benchmark in financial contracts and financial instruments by licensees starting on July 3, 2023.  If published, we expect that such rate will be the Published USD ISR Fallback Rate, and we expect that the Bloomberg ticker will be as indicated below for each Designated Maturity of the Published USD ISR Fallback Rate indicated below:

Designated Maturity

Bloomberg Ticker1

1 year

USISOA01

2 years

USISOA02

3 years

USISOA03

4 years

USISOA04

5 years

USISOA05

6 years

USISOA06

7 years

USISOA07

8 years

USISOA08

9 years

USISOA09

10 years

USISOA10

15 years

USISOA15

20 years

USISOA20

30 years

USISOA30

Note that a “Published USD ISR Fallback Rate” will only exist if an administrator publishes such a rate.  If there is no “Published USD ISR Fallback Rate”, the “Calculated USD ISR Fallback Rate” will be applied instead.  This requires the calculation agent to calculate the relevant rate in the same manner as the formula for the “Published USD ISR Fallback Rate” as described above.

Calculated USD ISR Fallback Rate

The “Calculated USD ISR Fallback Rate” is the rate calculated as follows, and the resulting percentage will be rounded to the nearest one hundred-thousandth of a percentage point:

 

CMS Transition Formula - Calculated USD ISR Fallback Rate Image

“USD SOFR ICE Swap Rate” means the benchmark for the mid-price for the fixed leg of a fixed-for-floating U.S. Dollar swap transaction where the floating leg references the Secured Overnight Financing Rate ("SOFR") administered by the Federal Reserve Bank of New York (or any successor administrator) and both the fixed leg and floating leg are paid annually, as provided by IBA as the administrator of the benchmark (or a successor administrator); and

“Reset Date” means the date on which the Calculated USD ISR Fallback Rate is being determined under the terms of the applicable Legacy CMS Instrument. 


About Citi

Citi is a preeminent banking partner for institutions with cross-border needs, a global leader in wealth management and a valued personal bank in its home market of the United States. Citi does business in nearly 160 countries and jurisdictions, providing corporations, governments, investors, institutions and individuals with a broad range of financial products and services.

Additional information may be found at www.citigroup.com | Twitter: @Citi | LinkedIn: www.linkedin.com/company/citi | YouTube: www.youtube.com/citi | Facebook: www.facebook.com/citi 

Media Contact

Danielle Romero Apsilos: (212) 816-2264, danielle.romeroapsilos@citi.com

Fixed Income Investor Contact

Peter Demoise: (212) 559-2718, peter.demoise@citi.com

Alternatively, please contact the Issuer at iborq@citi.com if you have any questions about anything contained in this press release.


1IBA has started to publish the indicative USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ Settings for an initial period under the Bloomberg tickers indicated above.  These settings are being provided solely for information and illustration purposes in order to enable recipients to evaluate the settings and provide feedback, and are not intended for, and IBA expressly prohibits their use for, any other purpose, including as a reference, index or benchmark in financial instruments, financial contracts, or investment funds.