Chicago, May 10 – Citigroup Global Markets Holdings Inc. priced $5 million of callable CMS spread range accrual securities due March 26, 2041 linked to the least performing of the Euro Stoxx 50 index, the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
For the first 2.5 years, the contingent interest rate will be 20 times 30-year Constant Maturity Swap rate minus the two-year CMS rate times 20, floored at 0% and capped at 10%. After September 2023, interest will be set at the 30-year CMS rate minus the two-year CMS rate times 20, floored at 0% and capped at 13%.
Interest will be paid quarterly, using the above determined rate and multiplying it by the number of days in the accrual period all indexes finish above the 59% accrual barrier divided by the number of days during the accrual period.
Beginning Sept. 26, 2023, the notes will be callable at par on any interest payment date.
The payout at maturity will be par plus the coupon if each index closes at or above 59% of its initial level.
Otherwise, investors will be fully exposed to the losses of the worst performing index.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable CMS spread range accrual securities
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| Underlying indexes: | Euro Stoxx 50, S&P 500 and Dow Jones industrial average
|
| Amount: | $5,000,000
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| Maturity: | March 26, 2041
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| Coupon: | For the first 2.5 years, 30-year CMS rate minus two-year CMS rate times 20, floored at 0% and capped at 10%; in September 2023 the cap increases to 13%; coupon payable quarterly based on CMS spread contingent rate times number of days all indexes finish above accrual barrier divided by number of days in accrual period
|
| Price: | Par
|
| Payout at maturity: | Par plus coupon if each index finishes above barrier level; otherwise, full exposure to losses of worst-performing index
|
| Call option: | At par on any interest payment date beginning Sept. 26, 2023
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| Initial levels: | 86.87 for Stoxx, 3,940.59 for S&P and 32,731.20 for Dow
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| Accrual barrier levels: | 51.253 for Stoxx, 2,324.948 for S&P and 19,311.408 for Dow, or 59% of initial levels
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| Final barrier levels: | 51.253 for Stoxx, 2,324.948 for S&P and 19,311.408 for Dow, or 59% of initial levels
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| Pricing date: | March 23
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| Settlement date: | March 26
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17329F6V1
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