By Sarah Lizee
Olympia, Wash., April 1 – Citigroup Global Markets Holdings Inc. priced $1 million of callable fixed to float CMS spread range accrual securities due March 29, 2034 linked to the lesser performing of the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 8% for the first year. After that, 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.
The notes are redeemable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless any index finishes below its 60% barrier level, in which case investors will be fully exposed to the decline 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 indexes: | Russell 2000 and Nasdaq-100
|
| Amount: | $1 million
|
| Maturity: | March 29, 2034
|
| Coupon: | 8% for the first year; after that, 8% for each day that the spread of the 30-year CMS rate over the two-year CMS rate is at least zero and each index closes at or above the 70% coupon barrier; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless any index finishes below its 60% barrier level, in which case investors will be fully exposed to the decline of the worst performing index
|
| Call option: | At par on any quarterly redemption date after one year
|
| Initial levels: | 1,522.231 for Russel and 7,308.193 for Nasdaq-100
|
| Accrual barrier levels: | 1,065.562 for Russel and 5,115.735 for Nasdaq-100, or 70% of initial levels
|
| Barrier levels: | 913.339 for Russel and 4,384.916 for Nasdaq-100, or 60% of initial levels
|
| Pricing date: | March 27
|
| Settlement date: | March 29
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 4%
|
| Cusip: | 17326Y3E4
|
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