New Issue: Citigroup prices $4.05 million contingent income callable notes on indexes

By Wendy Van Sickle

Columbus, Ohio, March 20 – Citigroup Global Markets Holdings Inc. priced $4.05 million of contingent income callable securities due March 18, 2021 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Each quarter, the notes pay a contingent coupon at an annual rate of 8.4% if each index closes at or above its coupon barrier level, 70% of its initial index level, on each day during that quarter.

The notes are callable at par on any quarterly determination date.

If each index finishes at or above its trigger level, 70% of its initial level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.

Citigroup Global Markets Inc. is the agent. Distribution is through Morgan Stanley Wealth Management.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Contingent income callable securities
Underlying indexes:	Euro Stoxx 50 index, Russell 2000 index and S&P 500 index
Amount:	$4,049,000
Maturity:	March 18, 2021
Coupon:	8.4% per year, payable quarterly if each index closes at or above coupon barrier level on each day during that quarter
Price:	Par
Payout at maturity:	If each index finishes at or above trigger level, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
Call option:	At par on any quarterly determination date
Initial levels:	3,386.08 for Stoxx, 2,822.48 for S&P and 1,553.538 for Russell
Coupon barriers:	2,370.256 for Stoxx, 1,975.736 for S&P and 1,087.477 for Russell, 70% of initial levels
Trigger levels:	2,370.256 for Stoxx, 1,975.736 for S&P and 1,087.477 for Russell, 70% of initial levels
Pricing date:	March 15
Settlement date:	March 20
Agent:	Citigroup Global Markets Inc.
Distribution:	Morgan Stanley Wealth Management
Fees:	2%
Cusip:	17326Y2W5

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