By Susanna Moon
Chicago, March 15 – Citigroup Global Markets Holdings Inc. priced $1 million of callable barrier leveraged CMS spread range accrual notes due Feb. 28, 2038 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 9% for the first three years, payable quarterly. After that, the rate will be equal to 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate for each day that each index closes at or above its 60% accrual barrier, up to a maximum rate of 9%. Interest will be payable quarterly and cannot be less than zero.
The notes will be callable at par on any interest payment date after one year.
The payout at maturity will be par unless either index closes below its 50% trigger level, in which case investors will be exposed to any losses of the worse performing index.
Citigroup Inc. will guarantee the notes.
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 barrier leveraged CMS spread range accrual notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $1 million
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| Maturity: | Feb. 28, 2038
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| Coupon: | 9% for three years; after that, 10 times spread of 30-year CMS rate and two-year CMS rate, capped at 9%, for each day that each index closes at or above 60% accrual barrier
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| Price: | Par
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| Payout at maturity: | Par unless either index closes below 50% trigger, in which case full exposure to loss of worse performing index
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| Call option: | At par on interest payment dates beginning Feb. 28, 2019
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| Initial index levels: | 2,747.30 for S&P, 1,549.186 for Russell
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| Accrual barriers: | 60% of initial levels
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| Trigger levels: | 50% of initial levels
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| Pricing date: | Feb. 23
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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: | 17324CRG3
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