By Taylor Fox
New York, Oct. 27 – Citigroup Global Markets Holdings Inc. priced $8.5 million of callable fixed-to-float CMS spread range accrual securities due Oct. 1, 2040 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The floating rate of the coupon of the notes is specifically linked to the performance of the 30-year Constant Maturity Swap rate and the two-year Constant Maturity Swap rate.
The notes are guaranteed by Citigroup Inc.
The interest rate is 7.25% for the first five years, payable quarterly.
After that, the contingent interest rate is still 7.25%, but it will be based on the number of accrual days during the quarter that the accrual condition has been satisfied.
For the condition to be satisfied the 30-year Constant Maturity Swap rate minus the two-year CMS rate must close at or above 0%, the accrual barrier, and each index must close above 55% of its initial level.
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 each index closes above 55% 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.
|
| Issue: | Callable fixed-to-float CMS spread range accrual securities
|
| Underlying assets: | S&P 500 index, Russell 2000 index and Euro Stoxx Banks index, 30-year Constant Maturity Swap rate and 2-year Constant Maturity Swap rate
|
| Amount: | $8,501,000
|
| Maturity: | Oct. 1, 2040
|
| Coupon: | 7.25% fixed for the first five years, payable quarterly; after that, still 7.25% payable quarterly, based on the coupon rate times the number of days the accrual condition has been satisfied, the number of business days the 30-year CMS rate minus the two-year CMS rate is above zero and on those same days, all three indexes close above 55% of their initial levels
|
| Price: | Par
|
| Payout at maturity: | Par plus any coupon due if each index finishes above 55% of initial level; otherwise, full exposure to losses of worst-performing index
|
| Call option: | At par on any interest payment date after a year
|
| Initial levels: | 1,510.342 for Russell, 55.5 for Stoxx, 3,351.6 for S&P
|
| Accrual barrier levels: | 830.688 for Russell, 30.525 for Stoxx, 1,843.38 for S&P, or 55% of initial levels
|
| Final barrier levels: | 830.688 for Russell, 30.525 for Stoxx, 1,843.38 for S&P, or 55% of initial levels
|
| Pricing date: | Sept. 28
|
| Settlement date: | Sept. 30
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 5%
|
| Cusip: | 17328WRC4
|
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