New Issue: Citi sells $725,000 fixed-to-float CMS spread range accrual notes on Dow, Russell, S&P

By Sarah Lizee

Olympia, Wash., July 20 – Citigroup Global Markets Holdings Inc. priced $725,000 of callable fixed-to-float CMS spread range accrual securities due July 20, 2035 linked to the least performing of the Dow Jones industrial average, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The interest rate is 7.25% for the first three years. After that, it will accrue at a rate of 50 times the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that each index closes at or above the accrual barrier, 60% of the initial index level, subject to a maximum of 7.25% and a floor of zero. Interest will be payable quarterly.

After one year, the notes will be callable at par on any interest payment date.

The payout at maturity will be par plus any coupon due if each index closes above 60% of its initial level.

Otherwise, investors will be fully exposed to the losses of the worst performing index.

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 index, Dow Jones industrial average and Russell 2000 index
Amount:	$725,000
Maturity:	July 20, 2035
Coupon:	7.25% for the first three 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 accrual barrier, subject to a floor of zero and 7.25% cap; payable quarterly
Price:	Par
Payout at maturity:	Par plus any coupon due if each index finishes above 60% of initial level; otherwise, full exposure to losses of worst-performing index
Call option:	At par on any interest payment date after a year
Initial levels:	26,870.1 for Dow, 1,478.27 for Russell, 3,226.56 for S&P
Accrual barrier levels:	16,122.06 for Dow, 886.962 for Russell, 1,935.936 for S&P, or 60% of initial levels
Final barrier levels:	16,122.06 for Dow, 886.962 for Russell, 1,935.936 for S&P, or 60% of initial levels
Pricing date:	July 15
Settlement date:	July 20
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17328W2U1

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