By Kiku Steinfeld
Chicago, Nov. 8 – Citigroup Global Markets Holdings Inc. priced $1.5 million of callable fixed-to-float CMS spread range accrual securities due July 30, 2041 linked to the least performing of the Nasdaq-100 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Interest will be payable quarterly.
The interest rate is fixed at 10% for the first year. After the first year, the rate will be contingent, accruing based on a multiplier times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day each index closes at or above its 65% accrual barrier, subject to a maximum rate of 13% and a floor of 0%.
The multiplier starts at 13 on the second year and increases to 16 over the term of the notes. On the eleventh year, the multiplier will be 14. On the fourteenth year, the multiplier will be 15. On the sixteenth year, the multiplier will be 16.
The notes can be called on any quarterly coupon payment date after July 30, 2022.
The payout at maturity will be par if each index closes above 65% of its initial level. Otherwise, investors will be fully exposed to the losses of the worst performing index.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable fixed-to-float CMS spread range accrual securities
|
| Underlying indexes: | Nasdaq-100 index, Euro Stoxx Banks index
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| Amount: | $1.5 million
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| Maturity: | July 30, 2041
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| Coupon: | 10% fixed for first year; after that, contingent rate based upon a multiplier times the spread of 30-year CMS rate minus two-year CMS for each day each index closes at or above accrual barrier, subject to maximum rate of 13% with a floor of 0%; multiplier starts at 13 on the second year and steps up to 14 in eleventh year, 15 in the fourteenth year and 16 in the sixteenth year; interest is payable quarterly
|
| Price: | Par
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| Payout at maturity: | Par if each index finishes at or above final barrier level; otherwise, full exposure to losses of worst-performing index
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| Call option: | At par on any quarterly interest payment date after one year
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| Initial levels: | 14,956.97 for Nasdaq, 92.51 for Stoxx Banks
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| Accrual barrier levels: | 9,722.031 for Nasdaq, 60.132 for Stoxx Banks, or 65% of initial levels
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| Final barrier levels: | 9,722.031 for Nasdaq, 60.132 for Stoxx Banks, or 65% of initial levels
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| Pricing date: | July 27
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| Settlement date: | July 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329QL24
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