New Issue: Citigroup prices $1 million callable range accrual notes on indexes, CMS rates

By William Gullotti

Buffalo, N.Y., Nov. 5 – Citigroup Global Markets Holdings Inc. priced $1 million of callable range accrual securities due Nov. 5, 2036 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the least performing of the Russell 2000 index, the Nasdaq-100 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.

Interest will accrue at a rate of 6.5% 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 65% 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 50% 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, Russell 2000 index, S&P 500 index
Amount:	$1 million
Maturity:	Nov. 5, 2036
Coupon:	6.5% 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:	2,404.284 for Russell, 16,144.5 for Nasdaq, 4,660.57 for S&P
Accrual barrier levels:	1,562.785 for Russell, 10,493.925 for Nasdaq, 3,029.371 for S&P; 65% of initial levels
Final barrier levels:	1,202.142 for Russell, 8,072.25 for Nasdaq, 2,330.285 for S&P; 50% of initial levels
Pricing date:	Nov. 3
Settlement date:	Nov. 5
Underwriter:	Citigroup Global Markets Inc.
Fees:	1.5%
Cusip:	17329UHX2

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