By Wendy Van Sickle
Columbus, Ohio, Nov. 23 – Citigroup Global Markets Holdings Inc. priced $701,000 of callable fixed-to-float CMS spread range accrual securities due Nov. 19, 2035 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 contingent interest rate will be 6.5 times the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each accrual period, with a floor of zero.
Interest payments will be made quarterly and will be calculated by taking the current interest rate times the number of days in the accrual period that the index is greater than its 70% accrual barrier divided by the total number of days in the accrual period.
After one year, the notes will be callable at par on any interest payment date.
The payout at maturity will be par plus any coupon due if the index closes above 70% 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.
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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 index: | S&P 500 index
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| Amount: | $701,000
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| Maturity: | Nov. 19, 2035
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| Coupon: | 6.5 times the spread of the 30-year CMS rate minus the two-year CMS rate, subject to a floor of zero, calculated quarterly; coupon is paid quarterly, calculated by multiplying the current contingent floating rate times each day the index closes at or above the accrual barrier during the accrual period divided by the number of days in the accrual period
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due if index finishes above 70% of initial level; otherwise, full exposure to losses of index
|
| Call option: | At par on any interest payment date after a year
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| Initial level: | 3,585.15
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| Accrual barrier level: | 2,509.605, 70% of initial levels
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| Final barrier level: | 2,509.605, 70% of initial levels
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| Pricing date: | Nov. 13
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| Settlement date: | Nov. 17
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17328WXB9
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