New Issue: Citigroup prices $2.11 million principal-at-risk notes on CMS spread

By Marisa Wong

Morgantown, W.Va., July 26 – Citigroup Global Markets Holdings Inc. priced $2.11 million of 21.5% principal-at-risk securities due Aug. 26, 2019 linked to the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Interest is payable monthly.

The payout at maturity will be par of $1,000 unless the final CMS spread is less than negative 0.10%, in which case the payout will be par plus the product of $1,000 times 250 times the final CMS spread. In no event will the payout be less than zero.

Citigroup Global Markets Inc. is the agent.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Principal-at-risk securities
Underlying spread:	Spread of the 30-year CMS rate over the two-year CMS rate
Amount:	$2,112,000
Maturity:	Aug. 26, 2019
Coupon:	21.5%, payable monthly
Price:	Par of $1,000
Payout at maturity:	Par unless the final CMS spread is less than negative 0.10%, in which case par plus the product of $1,000 times 250 times the final CMS spread, subject to a floor of zero
Final CMS spread:	Spread on Aug. 19, 2019
Pricing date:	July 24
Settlement date:	July 26
Underwriter:	Citigroup Global Markets Inc.
Fees:	3.5%
Cusip:	17324CYB6

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