New Issue: Citigroup prices $3.13 million contingent return optimization notes tied to S&P 500

By Susanna Moon

Chicago, July 30 – Citigroup Inc. priced $3.13 million of 0% contingent return optimization securities due July 31, 2018 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than or equal to the trigger level, 80% of the initial index level, the payout at maturity will be par of $10 plus the greater of 10% and any gain, up to a maximum return of 32%.

Otherwise, investors will be fully exposed to any losses.

Citigroup Global Markets Inc. and UBS Financial Services Inc. are the agents.

Issuer:	Citigroup Inc.
Issue:	Contingent return optimization securities
Underlying index:	S&P 500
Amount:	$3,129,640
Maturity:	July 31, 2018
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If final index level is greater than or equal to trigger level, par plus greater of 10% and index return, capped at 32%; otherwise, full exposure to any losses
Initial level:	2,093.25
Trigger level:	1,674.60, 80% of initial level
Pricing date:	July 28
Settlement date:	July 31
Agents:	Citigroup Global Markets Inc. and UBS Financial Services Inc.
Fees:	2.5%
Cusip:	17323Q874

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