New Issue: Citigroup prices $1.5 million callable range accrual notes on indexes, CMS rates

By Kiku Steinfeld

Chicago, Dec. 15 – Citigroup Global Markets Holdings Inc. priced $1.5 million of callable range accrual securities due Aug. 30, 2041 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the least performing of the Euro Stoxx Banks index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Interest will accrue at a rate of 5.25% for each day that the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate is at least zero and each index closes at or above its 70% accrual barrier, payable quarterly.

The notes will be callable at par on any quarterly redemption date after one year.

The payout at maturity will be par unless any index finishes below its 60% barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable range accrual securities
Underliers:	30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, Nasdaq-100 index, Euro Stoxx Banks index
Amount:	$1.5 million
Maturity:	Aug. 30, 2041
Coupon:	5.25% for each day that the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the accrual barrier, payable quarterly
Price:	Par
Payout at maturity:	Par unless any index finishes below its barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level
Call option:	At par on any quarterly redemption date after one year
Initial levels:	96.84 for Stoxx, 15,278.52 for Nasdaq
Accrual barrier levels:	67.788 for Stoxx, 10,694.964 for Nasdaq; 70% of initial levels
Final barrier levels:	67.788 for Stoxx, 10,694.964 for Nasdaq; 70% of initial levels
Pricing date:	Aug. 26
Settlement date:	Aug. 30
Underwriter:	Citigroup Global Markets Inc.
Fees:	4%
Cusip:	17329QE30

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