By Angela McDaniels
Tacoma, Wash., Feb. 7 – Citigroup Global Markets Holdings Inc. priced $5 million of callable fixed to float CMS spread range accrual securities due Feb. 8, 2034 linked to the lesser 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.
The interest rate is 6% for the first year. After that, the interest rate will be the contingent rate multiplied by the proportion of days on which each index closes at or above its barrier level, 65% of its initial level. The contingent rate is 12.3 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate, subject to a minimum of zero.
Beginning Feb. 8, 2024, the notes will be callable at par on any interest payment date.
If the lesser-performing index finishes at or above its barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable fixed to float CMS spread range accrual securities
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $5 million
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| Maturity: | Feb. 8, 2034
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| Coupon: | 6% for first year; after that, contingent rate multiplied by proportion of days on which each index closes at or above barrier level; contingent rate is 12.3 times spread of 30-year CMS rate over two-year CMS rate, subject to minimum of zero
|
| Price: | Par
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| Payout at maturity: | If lesser-performing index finishes at or above barrier level, par; otherwise, 1% loss for every 1% that lesser-performing index declines from initial level
|
| Call option: | At par on any interest payment date starting Feb. 8, 2024
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| Initial levels: | 2,704.10 for S&P 500 and 1,499.419 for Russell 2000 (closing levels on Jan. 31)
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| Barrier levels: | 1,757.665 for S&P 500 and 974.622 for Russell 2000, or 65% of initial levels
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| Pricing date: | Feb. 5
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| Settlement date: | Feb. 8
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17326YVA1
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