By Taylor Fox
New York, Oct. 26 – Citigroup Global Markets Holdings Inc. priced $1.5 million of callable range accrual securities due Sept. 25, 2040 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the least performing of the Euro Stoxx Banks index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Interest will accrue at an initial rate of 9.35% per year for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the 65% accrual barrier, payable quarterly.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless either index finishes below its 60% barrier level, in which case investors will be fully exposed to the decline of the worst performing index.
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 range accrual securities
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| Underliers: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, Russell 2000 index and Euro Stoxx Banks index
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| Amount: | $1.5 million
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| Maturity: | Sept. 25, 2040
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| Coupon: | 9.35% annualized rate for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the accrual barrier, payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below its barrier level, in which case investors will be fully exposed to the decline of the worst performing index
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| Call option: | At par on any quarterly redemption date after one year
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| Initial levels: | 54.56 for Stoxx and 1,496.961 for Russell
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| Accrual barrier levels: | 35.464 for Stoxx and 973.025 for Russell, or 65% of initial levels
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| Final barrier levels: | 32.736 for Stoxx and 898.177 for Russell, or 60% of initial levels
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| Pricing date: | Sept. 22
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| Settlement date: | Sept. 25
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17328WKS6
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