By Wendy Van Sickle
Columbus, Ohio, Aug. 23 – Citigroup Global Markets Holdings Inc. priced $2 million of callable fixed-to-float CMS spread range accrual securities due Aug. 17, 2033 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Interest will be fixed at 8% for the first year. After that, it will accrue at 5.75 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day that the 30-year CMS rate is higher than the two-year CMS rate and the index closes at or above its 60% barrier level, subject to a maximum interest rate of 8%. Interest is payable quarterly and cannot be less than zero.
The notes are redeemable at par on any coupon payment date after one year.
The payout at maturity will be par plus any coupon due if the index closes above 60% of its initial level.
Otherwise, investors will be fully exposed to the losses of the index.
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 fixed-to-float CMS spread range accrual securities
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| Underlying index: | S&P 500 index
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| Amount: | $2 million
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| Maturity: | Aug. 17, 2033
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| Coupon: | 8% for the first year; after that, the rate will be 5.75 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day that the 30-year CMS rate is higher than the two-year CMS rate and the index closes at or above its 60% barrier level, subject to a cap of 8% and floor of 0%; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due if index finishes above 60% of initial level; otherwise, full exposure to losses of index
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| Call option: | At par quarterly beginning Feb. 26, 2022
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| Initial level: | 4,460.83
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| Barrier level: | 2,676.498, 60% of initial level
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| Pricing date: | Aug. 12
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| Settlement date: | Aug. 17
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17329QK90
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