By Taylor Fox
New York, Aug. 25 – Citigroup Global Markets Holdings Inc. priced $2.55 million of callable CMS spread range accrual notes due Feb. 19, 2041 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Dow Jones industrial average, 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 20 times the spread of the 30-year CMS rate minus the five-year CMS rate minus 50 basis points, with a 0% floor and a maximum rate of 10% per year.
The contingent interest rate will be paid monthly based on the number of days in the accrual period that the underlying indexes each close above their 50% 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 the option of the issuer on quarterly potential redemption dates starting after one year.
At maturity, the payout will be par plus any coupon due.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable CMS spread range accrual notes
|
| Underlying indexes: | S&P 500 index, Nasdaq-100 and Dow Jones industrial average
|
| Amount: | $2,550,000
|
| Maturity: | Feb. 19, 2041
|
| Coupon: | 20 times the spread of the 30-year CMS rate minus the five-year CMS rate minus 50 basis points, floored at 0% with a 10% cap; payable monthly with the actual payment based on the number of days each index closed above its accrual barrier during the accrual period out of the days they all could have
|
| Price: | Par
|
| Payout at maturity: | Par plus any coupon
|
| Call option: | At par quarterly after one year
|
| Initial levels: | 3,931.33 for S&P, 13,699.71 for Nasdaq and 31,613.02 for Dow
|
| Accrual barrier levels: | 1,965.665 for S&P, 6,849.855 for Nasdaq and 15,806.51 for Dow, or 50% of initial levels
|
| Pricing date: | Feb. 17
|
| Settlement date: | Feb. 19
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 5%
|
| Cusip: | 17328YQV9
|
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