New Issue: Citi sells $500,000 callable fixed-to-float CMS spread range accrual notes on S&P, Nasdaq

By Sarah Lizee

Olympia, Wash., March 29 – Citigroup Global Markets Holdings Inc. priced $500,000 of callable fixed to float CMS spread range accrual securities due March 29, 2039 linked to the lesser performing of the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The interest rate is 8.2% for the first two years. After that, it will accrue at 50 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day each index closes at or above the accrual barrier, 70% of the initial index level, subject to a maximum of 8.2% and a floor of zero. Interest will be payable quarterly.

Beginning March 30, 2020, the notes will be callable at par on any interest payment date.

If the lesser-performing index finishes at or above its 60% barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable fixed to float CMS spread range accrual securities
Underlying indexes:	S&P 500 and Nasdaq-100
Amount:	$500,000
Maturity:	March 29, 2039
Coupon:	8.2% for the first two years; after that, 50 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day each index closes at or above the 70% accrual barrier, subject to a maximum of 8.2% and a floor of zero; payable quarterly
Price:	Par
Payout at maturity:	If lesser-performing index finishes at or above barrier level, par; otherwise, 1% loss for every 1% that lesser-performing index declines from initial level
Call option:	At par on any interest payment date starting March 30, 2020
Initial levels:	2,818.46 for S&P 500 and 7,351.15 for Nasdaq-100
Accrual barrier levels:	1,972.922 for S&P and 5,145.805 for Nasdaq-100, or 70% of initial levels
Barrier levels:	1,691.076 for S&P 500 and 4,410.690 for Nasdaq-100, or 60% of initial levels
Pricing date:	March 26
Settlement date:	March 29
Underwriter:	Citigroup Global Markets Inc.
Fees:	3%
Cusip:	17326YP91

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