New Issue: Citi sells $1.06 million callable fixed-to-float CMS spread range accrual notes on Dow, Stoxx Banks

By Wendy Van Sickle

Columbus, Ohio, Feb. 5 – Citigroup Global Markets Holdings Inc. priced $1.06 million of callable fixed-to-float CMS spread range accrual securities due Jan. 31, 2035 linked to the lesser performing of the Dow Jones industrial average and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The interest rate is 8% for the first year. 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, 60% of the initial index level, subject to a maximum of 8% and a floor of zero. Interest will be payable quarterly.

Beginning Jan. 31, 2021, 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:	Dow Jones industrial average and Euro Stoxx Banks index
Amount:	$1,057,000
Maturity:	Jan. 31, 2035
Coupon:	8% for the first year; 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 accrual barrier, subject to a maximum of 8% 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 Jan. 31, 2021
Initial levels:	28,722.85 for Dow, 92.97 for Stoxx Banks
Accrual barrier levels:	17,233.71 for Dow, 55.782 for Stoxx Banks, or 60% of initial levels
Barrier levels:	17,233.71 for Dow, 55.782 for Stoxx Banks, or 60% of initial levels
Pricing date:	Jan. 29
Settlement date:	Jan. 31
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17327TY83

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