By Wendy Van Sickle
Columbus, Ohio, Nov. 26 – Citigroup Global Markets Holdings Inc. priced $5 million of callable fixed to float range accrual securities due Nov. 21, 2038 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 12% for the first year. 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 each index closes above its 60% barrier, subject to a cap of 11.5% 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: | Russell 2000 and S&P 500
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| Amount: | $5 million
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| Maturity: | Nov. 21, 2038
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| Coupon: | 12%, payable quarterly, for first year; beginning in February 2020, 50 times spread of 30-year Constant Maturity Swap rate over two-year CMS rate for each day each index closes above barrier level; ceiling 11.5% and floor of zero
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| Price: | Par
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| Call option: | At par on any quarterly payment 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: | 1,496.541 for Russell and 2,690.73 for S&P
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| Barrier levels: | 897.925 for Russell and 1,614.438 for S&P, 60% of initial levels
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| Pricing date: | Nov. 19
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| Settlement date: | Nov. 21
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17326YRN8
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