By Susanna Moon
Chicago, Oct. 9 – Citigroup Global Markets Holdings Inc. priced $1.45 million of callable barrier leveraged CMS spread range accrual securities due Sept. 28, 2033 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at a rate of 8% for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least zero and each index closes at or above the 60% coupon barrier, payable quarterly.
The notes are callable at par on any quarterly review date after one year.
The payout at maturity will be par unless either index finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
The notes will be guaranteed by Citigroup Inc.
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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Underlying indexes: | Russell 2000 and S&P 500
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Amount: | $1,449,000
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Maturity: | Sept. 28, 2033
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Coupon: | 8% annualized, payable quarterly for each day that spread of 30-year Constant Maturity Swap rate over two-year CMS rate is at least zero and each index closes at or above the 60% coupon barrier
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Price: | Par of $10
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Call option: | At par on any monthly redemption date beginning Sept. 28, 2019
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Payout at maturity: | Par unless either index falls by more than 40%, in which case 1% loss per 1% decline
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Initial level: | 1,708.805 for Russell and 2,915.56 for S&P
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Barrier levels: | 1,025.283 for Russell and 1,749.336 for S&P, 60% of initial levels
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Pricing date: | Sept. 25
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Settlement date: | Sept. 28
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17326YLF1
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