By William Gullotti
Buffalo, N.Y., May 19 - Citigroup Global Markets Holdings Inc. priced $130,000 of callable fixed-to-float range accrual notes due April 22, 2041 linked to both the CMS spread and the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be a fixed coupon of 6.5% quarterly for the first year.
After the first year, a contingent coupon will be paid based on the number of days in each quarterly period that an accrual condition is met. The 6.5% rate will be multiplied by the number of days the accrual condition is met divided by the number of days it could have been met.
The accrual condition will be met on days when the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate is above 0% and if on the same day all three indexes close above 70% of their initial level.
The notes can be called at par on any quarterly coupon date after one year.
The payout at maturity will be par.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Callable fixed-to-float range accrual notes
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Underlying assets: | 30-year Constant Maturity Swap rate minus, two-year Constant Maturity Swap rate, S&P 500 index, Russell 2000 index and Euro Stoxx Banks index
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Amount: | $130,000
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Maturity: | April 22, 2041
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Price: | Par
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Coupon: | 6.5% for first year; then 6.5% contingent coupon figured quarterly based on number of days 30-year CMS rate minus the two-year CMS rate is above 0% and on the same day all indexes finish above accrual barrier level
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Call option: | Callable quarterly at par after one year
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Payout at maturity: | Par plus any accrued interest
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Pricing date: | April 19
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Settlement date: | April 22
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 3.5%
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Cusip: | 17329F2X1
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