By Wendy Van Sickle
Columbus, Ohio, Feb. 28 – Citigroup Global Markets Holdings Inc. priced $2.92 million of callable fixed to float range accrual securities due Feb. 28, 2034 linked to the worse performing of the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 9% for the first two years. After that, interest will accrue at a rate of 50 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes above its 70% accrual barrier, subject to a maximum of 9% and a floor of zero.
The notes are callable at par on any quarterly review date after one year.
The payout at maturity will be par unless either index finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
The notes will be guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Callable fixed to float range accrual securities
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| Underlying indexes: | Nasdaq-100 and S&P 500
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| Amount: | Feb. 28, 2034
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| Coupon: | 9%, payable quarterly, for first two years; then 50 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes above its 70% accrual barrier; subject to a maximum of 9% and a floor of zero
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| Price: | Par
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| Call option: | At par on any coupon date after one year
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| Payout at maturity: | Par unless either index falls by more than 40%, in which case 1% loss per 1% decline
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| Initial level: | 7,123.216 for Nasdaq and 2,793.9 for S&P
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| Accrual barrier levels: | 4,986.251 for Nasdaq and 1,955.73 for S&P, 70% of initial levels
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| Final barrier levels: | 4,273.93 for Nasdaq and 1,676.34 for S&P, 60% of initial levels
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| Pricing date: | Feb. 26
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| Settlement date: | Feb. 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17326YCC8
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