New Issue: Citigroup sells $1.65 million barrier leveraged CMS range accrual notes on indexes

By Marisa Wong

Morgantown, W.Va., April 25 – Citigroup Global Markets Holdings Inc. priced $1.65 million of callable barrier leveraged CMS spread range accrual securities due April 22, 2032 linked to 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 15% per year for the first 18 months. After that, interest will accrue at 7.25 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 65% accrual barrier level, up to a maximum rate of 14% per year. Interest will be payable monthly and cannot be less than zero.

The payout at maturity will be par unless either index finishes below the 65% 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 one year.

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:	S&P 500, Russell 2000
Amount:	$1,645,000
Maturity:	April 22, 2032
Coupon:	Fixed at 15% per year for the first 18 months; after that, 7.25 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 14% 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 worse performing index
Call option:	At par on any interest payment date beginning April 22, 2018
Initial levels:	2,342.19 for S&P, 1,361.894 for Russell
Accrual barrier levels:	1,522.424 for S&P, 885.231 for Russell; 65% of initial levels
Barrier levels:	1,522.424 for S&P, 885.231 for Russell; 65% of initial levels
Pricing date:	April 18
Settlement date:	April 21
Underwriter:	Citigroup Global Markets Inc.
Fees:	3.25%
Cusip:	17324CHL3

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