New Issue: Citi sells $3.08 million callable fixed-to-float range accrual notes on indexes

By Kiku Steinfeld

Chicago, July 29 – Citigroup Global Markets Holdings Inc. priced $3.08 million fixed-to-float range accrual securities due July 21, 2036 linked to the least performing of the Euro Stoxx Banks index, the S&P 500 index and the Dow Jones industrial average, 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, payable quarterly. After that, it will accrue at a rate of 8% for each day that the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate is greater than or equal to zero and each index closes at or above the accrual barrier, 60% of the initial index level. Interest will be payable quarterly.

The securities may be called on any interest payment date after one year.

The payout at maturity will be par if each index closes above 55% 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 range accrual securities
Underlying indexes:	Dow Jones industrial average, Euro Stoxx Banks index, S&P 500 index
Amount:	$3,084,000
Maturity:	July 21, 2036
Coupon:	8% for the first year; after that, 8% for each day the spread of the 30-year CMS rate minus the two-year CMS rate is greater than zero and each index closes at or above the accrual barrier; payable quarterly
Price:	Par
Payout at maturity:	Par if each index finishes above final barrier level; otherwise, full exposure the decline of the worst performing index from its initial level
Call option:	At par on any interest payment date after one year
Initial levels:	89.25 for Stoxx Banks, 4,327.16 for S&P, 34,687.85 for Dow
Accrual barrier levels:	53.550 for Stoxx Banks, 2,596.296 for S&P, 20,812.710 for Dow; 60% of initial levels
Final barrier levels:	49.088 for Stoxx Banks, 2,379.938 for S&P, 19,078.318 for Dow; 55% of initial levels
Pricing date:	July 16
Settlement date:	July 21
Underwriter:	Citigroup Global Markets Inc.
Fees:	3.5%
Cusip:	17329FVW1

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