By Sarah Lizee
Olympia, Wash., March 30 – Citigroup Global Markets Holdings Inc. priced $3.75 million of callable range accrual securities due March 26, 2035 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the lesser performing of the Russell 2000 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 accrue at an initial rate of 8% 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 60% coupon 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 plus any coupon.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable range accrual securities
|
| Underliers: | 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate , Russell 2000 and Euro Stoxx Banks
|
| Amount: | $3,746,000
|
| Maturity: | March 26, 2035
|
| Coupon: | 8% 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 70% coupon barrier, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par plus any coupon
|
| Call option: | At par on any quarterly redemption date after one year
|
| Initial levels: | 1,013.889 for Russell and 54.01 Stoxx Banks
|
| Accrual barrier levels: | 608.333 for Russell and 32.406 for Stoxx Banks, or 60% of initial levels
|
| Pricing date: | March 20
|
| Settlement date: | March 26
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.5%
|
| Cusip: | 17328VDM9
|
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