New Issue: Citi prices $1.18 million fixed-to-float range accrual notes tied to CMS spread, indexes

By William Gullotti

Buffalo, N.Y., Oct. 19 – Citigroup Global Markets Holdings Inc. priced $1.18 million of callable fixed-to-float range accrual notes due July 30, 2041 linked to both the CMS spread and the worst performing of the S&P 500 index, the Dow Jones industrial average and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly fixed coupon at 8% per year for the first three years.

After the third year, it will accrue at an annual rate of 25 times the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day that each index closes at or above the 65% accrual barrier. The floating rate is also payable quarterly, subject to a floor of 0% and a ceiling of 8%.

The notes can be called at par on any quarterly coupon date after one year.

If the notes are not called and each index finishes at or above the 50% final barrier, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.

The notes are guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable fixed-to-float range accrual notes
Underlying assets:	30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, S&P 500 index, Dow Jones industrial average, Euro Stoxx Banks index
Amount:	$1,182,000
Maturity:	July 30, 2041
Price:	Par
Coupon:	8% annually, payable quarterly, for first three years; after that, annual coupon rate set at 25 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, payable quarterly; floating rate is subject to 0% floor and 8% ceiling
Payout at maturity:	If all indexes finish at or above the final barrier level, par; otherwise lose 1% for every 1% decline of the worst performer from its initial level
Call option:	Callable quarterly at par after one year
Initial levels:	91.97 for Stoxx Banks, 34,930.93 for Dow, 4,400.64 for S&P
Accrual barriers:	59.781 for Stoxx Banks, 22,705.105 for Dow, 2,860.416 for S&P; 65% of initial level
Final barriers:	45.985 for Stoxx Banks, 17,465.465 for Dow, 2,200.32 for S&P; 50% of initial level
Pricing date:	July 28
Settlement date:	July 30
Underwriter:	Citigroup Global Markets Inc.
Fees:	3.5%
Cusip:	17329QBM1

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