By William Gullotti
Buffalo, N.Y., Aug. 25 – Citigroup Global Markets Holdings Inc. priced $2 million of callable CMS spread and index-linked range accrual notes due Aug. 26, 2041 linked to the Euro Stoxx Banks index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are callable at par quarterly after one year.
Interest will be fixed at 10% for the first year. After that, it will accrue at an annual rate equal to the interest factor, starting at the product of 13 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate on the related observation date. The adjustment factor by which the spread is multiplied increases after the tenth year of the notes. For the eleventh through the thirteenth year of the notes, the adjustment factor increases to 14. For the fourteenth and fifteenth years, the spread is multiplied by 15, and increases again to 16 for the remaining life of the notes. All interest rates are subject to a maximum interest factor of 13.6% and a minimum interest factor of 0%
Interest will be paid quarterly after the first year based on the calculated interest rate detailed above multiplied by the number of days each quarter that each index has closed above 65% of its initial level divided by the number of days in the interest accrual period.
The payout at maturity will be par if each index finishes above 65% of its initial level.
Otherwise, investors will be fully exposed to the decline of the least performing index.
The notes are guaranteed by Citigroup Inc.
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 CMS spread and index-linked range accrual notes
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| Underlying indexes: | Euro Stoxx Banks index, Nasdaq-100 index
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| Amount: | $2,000,000
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| Maturity: | Aug. 26, 2041
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| Coupon: | Fixed at 10% for the first year; after that, the rate will be determined by the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate (the spread) on the related observation date multiplied by the appropriate adjustment, subject to a maximum interest factor of 13.6% and a minimum interest factor of 0% payable quarterly based on how many days all indexes finish above 65% of their initial levels divided by the number of days in the accrual period; for the second year through the tenth year of the notes, the spread will be multiplied by 13; for the eleventh through the thirteenth year, 14; for the fourteenth and fifteenth years, 15; from the sixteenth year to maturity, 16
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| Price: | Par
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| Payout at maturity: | Par if each index finishes above final barrier level; otherwise, full exposure to the decline of the least performing index
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| Call option: | At par on any interest payment date beginning after one year
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| Initial levels: | 94.66 for Stoxx, 15,092.57 for Nasdaq
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| Index barrier levels: | 61.529 for Stoxx, 9,810.171 for Nasdaq; 65% of initial levels
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| Trigger buffer levels: | 61.529 for Stoxx, 9,810.171 for Nasdaq; 65% of initial levels
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| Pricing date: | Aug. 20
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| Settlement date: | Aug. 25
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329QH94
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