New Issue: Citigroup sells $5.65 million barrier leveraged CMS range accrual notes on indexes

By Wendy Van Sickle

Columbus, Ohio, June 4 – Citigroup Global Markets Holdings Inc. priced $5.65 million of callable barrier leveraged CMS spread range accrual securities due May 30, 2038 linked to the Euro Stoxx 50 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The interest rate is fixed at 10% per year for the two first years. After that, interest will accrue at 20 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that each index closes at or above its 50% accrual barrier level, up to a maximum rate of 10% per year. Interest will be payable monthly and cannot be less than zero.

The payout at maturity will be par unless any index finishes below the 50% barrier level, in which case investors will share fully in losses of the worse performing index.

The notes will be callable at par on any interest payment date after two years.

Citigroup Global Markets Inc. is the agent.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable barrier leveraged CMS spread range accrual securities
Underlying indexes:	Euro Stoxx 50, S&P 500, Russell 2000
Amount:	$5,652,000
Maturity:	May 30, 2038
Coupon:	Fixed at 10% per year for the first two years; after that, 20 times the spread of 30-year CMS rate over two-year CMS rate for each day that each index closes at or above its accrual barrier level, up to a maximum rate of 10% per year, floor of zero; payable monthly
Price:	Par
Payout at maturity:	Par if each index finishes at or above barrier level; otherwise, full exposure to any losses of worst performing index
Call option:	At par on any interest payment date beginning May 30, 2020
Initial levels:	3,521.76 for Stoxx, 2,727.76 for S&P, 1,628.222 for Russell
Accrual barrier levels:	1,760.88 for Stoxx, 1,363.88 for S&P, 814.111 for Russell; 50% of initial levels
Barrier levels:	1,760.88 for Stoxx, 1,363.88 for S&P, 814.111 for Russell; 50% of initial levels
Pricing date:	May 24
Settlement date:	May 30
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17324CUT1

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