Chicago, June 7 – Citigroup Global Markets Holdings Inc. priced $1.23 million of callable CMS spread range accrual notes due Nov. 26, 2041 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Interest will be based on the relevant contingent rate, which will be 25 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate, with a 0% floor and a maximum rate of 7.5% per year.
The contingent interest rate will be paid quarterly based on the number of days in the accrual period that the underlying indexes each close above their 55% accrual barrier level out of the number of days in the accrual period.
The CMS spread will be determined one business day prior to the first day of the relevant accrual period.
The notes are redeemable early at par at the option of the issuer on any quarterly potential redemption date after one year.
At maturity, the payout will be par if both indexes close above 55% of their initial levels. Otherwise, investors will be fully exposed to the losses of the worst performer.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable CMS spread range accrual notes
|
| Underlying indexes: | S&P 500 index and Russell 2000 index
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| Amount: | $1,226,000
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| Maturity: | Nov. 26, 2041
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| Coupon: | 25 times the spread of the 30-year CMS rate minus the two-year CMS rate, floored at 0% with a 7.5% cap; payable quarterly with the actual payment based on the number of days each index closed above its accrual barrier during the accrual period
|
| Price: | Par
|
| Payout at maturity: | Par plus coupon if both indexes close above final barrier levels; otherwise, full exposure to losses of worst performer
|
| Call option: | At par on any quarterly potential redemption date after one year
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| Initial levels: | 4,682.94 for S&P, 2,331.348 for Russell
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| Accrual barrier levels: | 2,575.617 for S&P, 1,282.241 for Russell, 55% of initial levels
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| Final barrier levels: | 2,575.617 for S&P, 1,282.241 for Russell, 55% of initial levels
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| Pricing date: | Nov. 22, 2021
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| Settlement date: | Nov. 26, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17329UKZ3
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