Chicago, May 26 – Citigroup Global Markets Holdings Inc. priced $1.06 million of callable fixed-to-float CMS spread range accrual securities due Nov. 3, 2031 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Interest will be fixed at 7% for the first year. After that, it will accrue at 7.5 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate, subject to a maximum interest rate of 8%. Interest is payable quarterly and cannot be less than zero. Interest will be paid quarterly for each day during the accrual period the index closes above its 65% accrual barrier out of the number of days in the accrual period.
The notes are redeemable at par on any coupon payment date after one year.
The payout at maturity will be par plus any coupon due if the index closes above 50% of its initial level.
Otherwise, investors will be fully exposed to the losses of the index.
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 index: | S&P 500 index
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| Amount: | $1,061,000
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| Maturity: | Nov. 3, 2031
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| Coupon: | 7% for the first year; after that, the rate will be 7.5 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day that the index closes above its accrual barrier in the quarterly accrual period, subject to a cap of 8% and floor of 0%
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due if index finishes above 50% of initial level; otherwise, full exposure to losses of index
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| Call option: | At par quarterly after one year
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| Initial level: | 4,605.38
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| Accrual barrier level: | 2,993.497, 65% of initial level
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| Final barrier level: | 2,302.69, 50% of initial level
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| Pricing date: | Oct. 29, 2021
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| Settlement date: | Nov. 3, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 17329U3F6
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