-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GvTCozA+MRII+ch6MoTOencD+RhS6Xnk/DyO7ln5hcXAbeshKz1eTTOgbPz9YPVj BgnXcsKqWwqDap+WjWwzxA== 0000950123-03-006382.txt : 20030521 0000950123-03-006382.hdr.sgml : 20030521 20030521142949 ACCESSION NUMBER: 0000950123-03-006382 CONFORMED SUBMISSION TYPE: 424B2 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20030521 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CITIGROUP GLOBAL MARKETS HOLDINGS INC CENTRAL INDEX KEY: 0000200245 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 112418067 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B2 SEC ACT: 1933 Act SEC FILE NUMBER: 333-55650 FILM NUMBER: 03714352 BUSINESS ADDRESS: STREET 1: 388 GREENWICH ST STREET 2: 38TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10013 BUSINESS PHONE: 2128166000 MAIL ADDRESS: STREET 1: 388 GREENWICH ST STREET 2: 38TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10013 FORMER COMPANY: FORMER CONFORMED NAME: SALOMON SMITH BARNEY HOLDINGS INC DATE OF NAME CHANGE: 19971128 FORMER COMPANY: FORMER CONFORMED NAME: SALOMON INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: PHIBRO CORP DATE OF NAME CHANGE: 19820526 424B2 1 y86365b2e424b2.txt CITIGROUP GLOBAL MARKETS HOLDINGS INC. PRICING SUPPLEMENT NO. K0104 DATED MAY 19, 2003 (TO PROSPECTUS SUPPLEMENT DATED MARCH 1, 2001 AND PROSPECTUS DATED FEBRUARY 23, 2001) RULE 424(B)(2) FILE NO. 333-55650 $16,750,000 PRINCIPAL AMOUNT CITIGROUP GLOBAL MARKETS HOLDINGS INC. MEDIUM-TERM NOTES, SERIES K (REGISTERED NOTES -- FIXED RATE) STOCK MARKET UPTURN NOTES LINKED TO THE NASDAQ-100 INDEX DUE 2006 - - The notes will mature on November 27, 2006. We will not make any payments on the notes prior to maturity. - - You will receive at maturity for each $1,000 principal amount of notes an amount in cash equal to $1,000 plus an index return amount, which may be positive, zero or negative. - - The index return amount will be based on the value of the Nasdaq-100 Index during the term of the notes. - If the ending value of the Nasdaq-100 Index is greater than its starting value, then the index return amount will be positive and will equal the product of (a) $1,000, (b) the percentage increase, subject to a cap of 20%, in the Nasdaq-100 Index and (c) a participation rate of 200%. Because of the appreciation cap, the index return amount cannot exceed $400 and the maturity payment cannot exceed $1,400 per note. - If the ending value of the Nasdaq-100 Index is less than its starting value and - the value of the Nasdaq-100 Index at any time after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity (whether intra-day or at the close of trading on any index business day) is less than or equal to 577.24 (50% of the starting value of the Nasdaq-100 Index), then the index return amount will equal the product of (a) $1,000 and (b) the percentage decrease in the Nasdaq-100 Index. In this case, the maturity payment will be less than the $1,000 principal amount per note and could be zero. - the value of the Nasdaq-100 Index at any time after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity (whether intra-day or at the close of trading on any index business day) is not less than or equal to 577.24 (50% of the starting value of the Nasdaq-100 Index), then the index return amount will be zero and the maturity payment will be $1,000 per note. - If the ending value of the Nasdaq-100 Index is equal to its starting value, then the index return amount will be zero and the maturity payment will be $1,000 per note. - - The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000. - - The notes have been approved for listing on the American Stock Exchange under the symbol "SNZ.A." INVESTING IN THE NOTES INVOLVES A NUMBER OF RISKS. SEE "RISK FACTORS RELATING TO THE NOTES" BEGINNING ON PAGE PS-7. "Nasdaq-100 Index," "Nasdaq-100," and "Nasdaq" are trademarks of The Nasdaq Stock Market, Inc. and have been licensed for use by Citigroup Global Markets Holdings Inc. The notes have not been passed on by The Nasdaq Stock Market, Inc. as to their legality or suitability. The notes are not issued, endorsed, sold or promoted by The Nasdaq Stock Market, Inc. and The Nasdaq Stock Market, Inc. makes no warranties and bears no liability with respect to the notes. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or determined that this prospectus, prospectus supplement and pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense. The notes are not deposits or savings accounts but are unsecured debt obligations of Citigroup Global Markets Holdings Inc. and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality.
PROCEEDS TO CITIGROUP GLOBAL MARKETS HOLDINGS INC. PRICE TO PUBLIC AGENT'S DISCOUNT (BEFORE EXPENSES) --------------- ---------------- ---------------------------- Per Note $ 1,000.00 $ 30.00 $ 970.00 Total $16,750,000.00 $502,500.00 $16,247,500.00
We expect that delivery of the notes will be made against payment therefor on or about May 23, 2003, which is the fifth business day after the date the notes were priced for initial sale to the public. Under Rule 15c6-1 of the Securities Exchange Act, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes on the date the notes were priced for initial sale to the public or the next following business day will be required, by virtue of the fact that the notes initially will not settle in T+3, to specify an alternative settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisor. The notes are being offered through Citigroup Global Markets Inc., as principal. CITIGROUP SUMMARY INFORMATION -- Q&A WHAT ARE THE NOTES? The notes are a series of unsecured senior debt securities issued by Citigroup Global Markets Holdings Inc. The notes will rank equally with all other unsecured and unsubordinated debt of Citigroup Global Markets Holdings. The notes mature on November 27, 2006 and do not provide for earlier redemption by you or by us. Each note represents a principal amount of $1,000. You may transfer the notes only in units of $1,000 and integral multiples of $1,000. You will not have the right to receive physical certificates evidencing your ownership except under limited circumstances. Instead, we will issue the notes in the form of a global certificate, which will be held by The Depository Trust Company or its nominee. Direct and indirect participants in DTC will record beneficial ownership of the notes by individual investors. Accountholders in the Euroclear or Clearstream Banking clearance systems may hold beneficial interests in the securities through the accounts those systems maintain with DTC. You should refer to the section "Description of the Notes -- Book-Entry System" in the prospectus supplement and the section "Book-Entry Procedures and Settlement" in the prospectus. WILL I RECEIVE INTEREST ON THE NOTES? We will not make any periodic payments of interest on the notes or any other payments on the notes until maturity. WHAT WILL I RECEIVE AT MATURITY OF THE NOTES? At maturity, you will receive an amount in cash equal to $1,000 plus an index return amount, which may be positive, zero or negative. Because the index return amount may be negative, the maturity payment could be less than the $1,000 principal amount per note and could be zero. HOW WILL THE INDEX RETURN AMOUNT BE CALCULATED? The index return amount will be based on the index return of the Nasdaq-100 Index. The index return, which is presented in this pricing supplement as a percentage, will equal the following fraction: Ending Value -- Starting Value --------------------------------- Starting Value provided that the index return will not in any circumstances be greater than a cap of 20%. How the index return amount is calculated will depend on whether the index return is positive, zero or negative: - IF THE INDEX RETURN IS POSITIVE, the index return amount will equal the product of: $1,000 * Upside Participation Rate * Index Return The upside participation rate is 200%. Because the index return is capped at 20%, the index return amount cannot exceed $400 and the maturity payment cannot exceed $1,400 per note. - IF THE INDEX RETURN IS NEGATIVE and - the value of the Nasdaq-100 Index on any index business day after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity (whether intra-day or at the close of trading on any index business day) is less than or equal to 577.24 (50% of the starting value of the Nasdaq-100 Index), then the index return amount will equal the product of: $1,000 * Index Return PS-2 In this case, the index return amount will be negative and the maturity payment will be less than $1,000 per note and could be zero. - the value of the index on any index business day after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity (whether intra-day or at the close of trading on any index business day) is not less than or equal to 577.24 (50% of the starting value of the Nasdaq-100 Index), then the index return amount will be zero and the maturity payment will be $1,000 per note. - IF THE INDEX RETURN IS ZERO (i.e., if there is no change in the value of the Nasdaq-100 Index over the term of the notes), then the index return amount will be zero and the maturity payment will be $1,000 per note. The starting value will equal 1154.48, the closing value of the Nasdaq-100 Index on May 16, 2003, the date the notes were priced for initial sale to the public. The ending value will be the closing value of the Nasdaq-100 Index on the sixth index business day before the maturity date. For more specific information about the "index return amount," the "index return," the determination of an "index business day" and the effect of a market disruption event on the determination of the index return amount and the index return, please see "Description of the Notes -- Index Return Amount" in this pricing supplement. The amount payable to you at maturity is dependent upon the performance of the Nasdaq-100 Index during the period after the date the notes were priced for initial sale to the public up to and including the date on which the ending value is determined. - If the Nasdaq-100 Index increases by more than 40% during this period, you will participate in only the first 40% of the increase. The appreciation cap will limit the index return to 20% and, together with the upside participation rate of 200%, will limit your participation in the index's appreciation to 40% of the principal amount of the notes. For increases in the value of the index of more than 40%, therefore, the notes provide less appreciation than an investment in an instrument directly linked to the index. - If the Nasdaq-100 Index increases by between 20% and 40% during this period, the appreciation on an investment in the notes will be 40%. The index return will, because of the appreciation cap, be 20% and the upside participation rate of 200% will increase your participation in the index's appreciation to 40% of the principal amount of the notes. For increases in the value of the index equal to or greater than 20% and less than 40%, therefore, the notes provide more appreciation than an investment in an instrument directly linked to the index. For an increase in the value of the index of 40%, an investment in the notes provides the same appreciation as an investment in an instrument directly linked to the index. - If the Nasdaq-100 Index increases by less than 20% during this period, the index return will equal the percentage appreciation in the index, and the participation rate of 200% will increase your participation in the index's appreciation. For increases in the value of the index of less than 20%, therefore, the notes provide twice the appreciation of an investment in an instrument directly linked to the index. - If the Nasdaq-100 Index decreases, but not by 50% or more, from its starting value on any index business day during this period, the index return amount will be zero and the maturity payment will be $1,000 per note. - If the ending value of the Nasdaq-100 Index is less than its starting value and the Nasdaq-100 Index decreases by 50% or more from its starting value on any index business day during this period, the index return amount will be negative and you will participate in all depreciation in the value of the index. PS-3 IS THERE A POSSIBILITY OF LOSS OF CAPITAL? If the ending value of the Nasdaq-100 Index is less than its starting value and the Nasdaq-100 Index decreases by 50% or more from its starting value on any index business day after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity, at maturity you will receive less than the original principal amount of the notes, even if the value of the index exceeded the starting value at one or more times over the term of the notes. Even if the ending value of the Nasdaq-100 Index is greater than its starting value, the total yield on the notes may be less than that on a conventional fixed-rate, non-callable debt security of Citigroup Global Markets Holdings of comparable maturity. You should refer to "Risk Factors -- The Yield on the Notes May Be Lower Than the Return on a Standard Debt Security of Comparable Maturity." WHERE CAN I FIND EXAMPLES OF HYPOTHETICAL MATURITY PAYMENTS? For a table setting forth hypothetical maturity payments, see "Description of the Notes -- Maturity Payment -- Hypothetical Examples." WHO PUBLISHES THE NASDAQ-100 INDEX AND WHAT DOES IT MEASURE? The Nasdaq-100 Index is a modified capitalization-weighted index of 100 of the largest and most actively traded stocks of non-financial companies listed on The Nasdaq National Market tier of The Nasdaq Stock Market. The Nasdaq-100 Index was first published in January 1985 and includes companies across a variety of major industry groups. As of March 31, 2003, the major industry groups covered in the Nasdaq-100 Index (listed according to their respective capitalization in the Nasdaq-100 Index) were as follows: computer software/services (28.62%), computer and office equipment (27.25%), telecommunications (13.91%), biotechnology (11.39%), retail/wholesale (7.98%), health care (4.70%), services (3.13%), manufacturing (1.88%) and transportation (1.14%). The identity and capitalization weightings of the five largest companies represented in the Nasdaq-100 Index as of March 31, 2003 were as follows: Microsoft Corporation (11.34%), Intel Corporation (4.74%), Amgen Inc. (4.41%), QUALCOMM Incorporated (4.36%) and Cisco Systems, Inc. (4.19%). Current information regarding the market value of the Nasdaq-100 Index is available from The Nasdaq Stock Market, Inc. as well as numerous market information services. The Nasdaq-100 Index share weights of the component securities, or underlying stocks, of the Nasdaq-100 Index at any time are based upon the total shares outstanding in each of the 100 securities in the Nasdaq-100 Index and are additionally subject, in certain cases, to rebalancing to ensure that the relative weighting of the underlying stocks continues to meet minimum pre-established requirements for a diversified portfolio. Accordingly, each underlying stock's influence on the value of the Nasdaq-100 Index is directly proportional to the value of its Nasdaq-100 Index share weight. At any moment in time, the value of the Nasdaq-100 Index equals the aggregate value of the then current Nasdaq-100 Index share weights of each of the component 100 underlying stocks multiplied by each such security's respective last sale price on The Nasdaq Stock Market, and divided by a scaling factor (the "divisor") which becomes the basis for the reported Nasdaq-100 Index value. The divisor serves the purpose of scaling such aggregate value (otherwise in the trillions) to a lower order of magnitude which is more desirable for Nasdaq-100 Index reporting purposes. Please note that an investment in the notes does not entitle you to any ownership or other interest in the stocks of the companies included in the Nasdaq-100 Index. HOW HAS THE NASDAQ-100 INDEX PERFORMED HISTORICALLY? We have provided a table showing the closing values of the Nasdaq-100 Index on the last index business day of each month from January 1998 to April 2003 and a graph showing the closing values of the Nasdaq-100 Index on the last index business day of each month from April 1985 through April 2003. You can find these tables and the graph in the section "Description of the Nasdaq-100 Index -- Historical Data on the Nasdaq-100 Index" in this pricing supplement. We have provided this historical information to help you evaluate the behavior of the Nasdaq-100 Index in various economic environments; however, PS-4 past performance is not necessarily indicative of how the Nasdaq-100 Index will perform in the future. You should refer to the section "Risk Factors Relating to the Notes -- The Historical Performance of the Nasdaq-100 Index Is Not an Indication of the Future Performance of the Nasdaq-100 Index" in this pricing supplement. WHAT ARE THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF INVESTING IN THE NOTES? In purchasing a note, you agree with Citigroup Global Markets Holdings that you and Citigroup Global Markets Holdings intend to treat a note for U.S. federal income tax purposes as a cash-settled capped variable forward contract on the value of the Nasdaq-100 Index at maturity. Under such treatment, upon the sale or other taxable disposition of a note, a U.S. Holder generally will recognize gain or loss equal to the difference between the amount realized on the sale or other taxable disposition and the U.S. Holder's tax basis in the note. In addition, at maturity a U.S. Holder will recognize capital gain or loss equal to any difference between the amount of cash received from Citigroup Global Markets Holdings and the U.S. Holder's tax basis in the note at that time. Gain or loss on the sale, redemption or other disposition of the note generally will be long-term capital gain or loss if the U.S. Holder has held the note for more than one year at maturity. Due to the absence of authority as to the proper characterization of the notes, no assurance can be given that the Internal Revenue Service will accept, or that a court will uphold, the characterization and tax treatment described above, and alternative treatments of the notes could result in less favorable U.S. federal income tax consequences to you, including a requirement to accrue income on a current basis. You should refer to the section "Certain United States Federal Income Tax Considerations" in this pricing supplement for more information. WILL THE NOTES BE LISTED ON A STOCK EXCHANGE? The notes have been approved for listing on the American Stock Exchange under the symbol "SNZ.A." You should be aware that the listing of the notes on the American Stock Exchange will not necessarily ensure that a liquid trading market will be available for the notes. WHAT IS THE ROLE OF CITIGROUP GLOBAL MARKETS HOLDINGS' SUBSIDIARY, CITIGROUP GLOBAL MARKETS INC.? Our subsidiary, Citigroup Global Markets Inc., is the underwriter for the offering and sale of the notes. After the initial offering, Citigroup Global Markets Inc. and/or other of our broker-dealer affiliates intend to buy and sell the notes to create a secondary market for holders of the notes, and may engage in other activities described in the section "Plan of Distribution" in the accompanying prospectus supplement. However, neither Citigroup Global Markets Inc. nor any of these affiliates will be obligated to engage in any market-making activities, or continue such activities once it has started them. Citigroup Global Markets Inc. will also act as calculation agent for the notes. Potential conflicts of interest may exist between Citigroup Global Markets Inc. and you as a holder of the notes. CAN YOU TELL ME MORE ABOUT CITIGROUP GLOBAL MARKETS HOLDINGS? Citigroup Global Markets Holdings is a holding company that provides investment banking, securities and commodities trading, brokerage, asset management and other financial services through its subsidiaries. On April 7, 2003, Citigroup Global Markets Holdings filed a Restated Certificate of Incorporation in the State of New York changing its name from Salomon Smith Barney Holdings Inc. to Citigroup Global Markets Holdings Inc. Citigroup Global Markets Holdings is a subsidiary of Citigroup Inc., a diversified financial services holding company. Citigroup Global Markets Holdings' ratios of earnings to fixed charges (Citigroup Global Markets Holdings has no outstanding preferred stock) since 1998 are as follows:
YEAR ENDED DECEMBER 31, THREE MONTHS ENDED ------------------------------------- MARCH 31, 2003 2002 2001 2000 1999 1998 ------------------ ----- ----- ----- ----- ----- Ratio of earnings to fixed charges.......................... 1.74x 1.44x 1.34x 1.32x 1.46x 1.11x
PS-5 DOES ERISA IMPOSE ANY LIMITATIONS ON PURCHASES OF THE NOTES? Employee benefit plans and other entities the assets of which are subject to the fiduciary responsibility provisions of the Employee Retirement Income Security Act of 1974 or substantially similar federal, state or local laws ("ERISA-Type Plans") will not be permitted to purchase or hold the notes. Employee benefit plans that are not ERISA-Type Plans, such as individual retirement accounts, individual retirement annuities or Keogh plans, will be permitted to purchase or hold the notes. However, such plans will be deemed to have represented that their purchase, acquisition, holding and disposition of the notes and the transactions contemplated by this pricing supplement do not and will not constitute a prohibited transaction under Section 4975 of the Internal Revenue Code. ARE THERE ANY RISKS ASSOCIATED WITH MY INVESTMENT? Yes, the notes are subject to a number of risks. Please refer to the section "Risk Factors Relating to the Notes" in this pricing supplement. INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE The following documents, filed by us with the Securities and Exchange Commission, or the SEC, pursuant to Section 13 of the Securities Exchange Act of 1934 (File No. 1-4346), are incorporated herein by reference: (i) Annual Report on Form 10-K for the year ended December 31, 2002, (ii) Quarterly Report on Form 10-Q for the quarter ended March 31, 2003 and (iii) Current Reports on Form 8-K filed on January 22, 2003, April 7, 2003, April 14, 2003, April 28, 2003 and April 30, 2003. You should refer to "Prospectus Summary -- Where You Can Find More Information" in the accompanying prospectus. These documents may also be accessed electronically by means of the SEC's home page on the world wide web on the internet at http://www.sec.gov. PS-6 RISK FACTORS RELATING TO THE NOTES Because the terms of the notes differ from those of conventional debt securities in that the maturity payment will be based on the value of the Nasdaq-100 Index after the date the notes were priced for initial sale to the public up to and including the sixth index business day before the maturity date, an investment in the notes entails significant risks not associated with similar investments in conventional debt securities, including, among other things, fluctuations in the value of the Nasdaq-100 Index and other events that are difficult to predict and beyond our control. YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS IF THE NASDAQ-100 INDEX DECLINES The amount of the maturity payment will depend on the value of the Nasdaq-100 Index after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity. As a result, the amount you receive at maturity may be less than the amount you paid for your notes. If the ending value of the Nasdaq-100 Index is less than the starting value of the Nasdaq-100 Index and the value of the Nasdaq-100 Index on any index business day after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity (whether intra-day or at the close of trading on any index business day) is less than or equal to 577.24 (50% of the starting value of the Nasdaq-100 Index), the amount you receive at maturity for each note will be less than the $1,000 you pay for each note, and could be zero, in which case your investment in the notes will result in a loss. This will be true even if the value of the Nasdaq-100 Index at any point during the term of the notes exceeds the starting value of the Nasdaq-100 Index but the ending value of the Nasdaq-100 Index is less than the starting value of the Nasdaq-100 Index and the value of the Nasdaq-100 Index on any index business day after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity (whether intra-day or at the close of trading on any index business day) is less than or equal to 577.24 (50% of the starting value of the Nasdaq-100 Index). THE APPRECIATION OF YOUR INVESTMENT IN THE NOTES WILL BE CAPPED As a result of the appreciation cap of 20%, the notes may provide less opportunity for appreciation than an investment in an instrument directly linked to the Nasdaq-100 Index. The appreciation cap of 20%, together with the upside participation rate, will operate to limit the portion of any appreciation in the value of the Nasdaq-100 Index in which you will share to 40% of the principal amount of the notes. If the ending value of the Nasdaq-100 Index exceeds the starting value by more than 40%, the appreciation on an investment in the notes will be less than the appreciation on an investment in the underlying stocks of the Nasdaq-100 Index or an investment in an instrument that was directly linked to the Nasdaq-100 Index but was not subject to an appreciation cap. THE YIELD ON THE NOTES MAY BE LOWER THAN THE RETURN ON A STANDARD DEBT SECURITY OF COMPARABLE MATURITY The notes do not pay any interest. As a result, if the ending value of the Nasdaq-100 Index is less than 1201.24, the yield on the notes will be less than that which would be payable on a conventional fixed-rate, non-callable debt security of Citigroup Global Markets Holdings of comparable maturity. PS-7 YOU WILL NOT RECEIVE ANY PERIODIC PAYMENTS OF INTEREST You will not receive any periodic payments of interest or any other periodic payments on the notes. THE HISTORICAL PERFORMANCE OF THE NASDAQ-100 INDEX IS NOT AN INDICATION OF THE FUTURE PERFORMANCE OF THE NASDAQ-100 INDEX The historical performance of the Nasdaq-100 Index, which is included in this pricing supplement, should not be taken as an indication of the future performance of the Nasdaq-100 Index. While the trading prices of the underlying stocks of the Nasdaq-100 Index will determine the value of the index, it is impossible to predict whether the value of the index will fall or rise. Trading prices of the underlying stocks of the Nasdaq-100 Index will be influenced by both the complex and interrelated political, economic, financial and other factors that can affect the capital markets generally and the equity trading markets on which the underlying stocks are traded, and by various circumstances that can influence the values of the underlying stocks in a specific market segment or of a particular underlying stock. YOUR RETURN ON THE NOTES WILL NOT REFLECT THE RETURN YOU WOULD REALIZE IF YOU ACTUALLY OWNED THE STOCKS UNDERLYING THE NASDAQ-100 INDEX Your return on the notes will not reflect the return you would realize if you actually owned the stocks underlying the Nasdaq-100 Index because Nasdaq calculates the Nasdaq-100 Index by reference to the prices of the stocks comprising the Nasdaq-100 Index without taking into consideration the value of any dividends paid on those stocks. THE PRICE AT WHICH YOU WILL BE ABLE TO SELL YOUR NOTES PRIOR TO MATURITY WILL DEPEND ON A NUMBER OF FACTORS AND MAY BE SUBSTANTIALLY LESS THAN YOU ORIGINALLY INVEST We believe that the value of your notes in the secondary market will be affected by the supply of and demand for the notes, the value of the Nasdaq-100 Index and a number of other factors. Some of these factors are interrelated in complex ways; as a result, the effect of any one factor may be offset or magnified by the effect of another factor. The price at which you will be able to sell your notes prior to maturity may be substantially less than the amount you originally invest if, at such time, the value of the Nasdaq-100 Index is less than, equal to or not sufficiently above the value of the Nasdaq-100 Index on the date the notes were priced for initial sale to the public. The following paragraphs describe what we expect to be the impact on the market value of the notes of a change in a specific factor, assuming all other conditions remain constant. Value of the Nasdaq-100 Index. We expect that the market value of the notes will likely depend substantially on the relationship between the value of the Nasdaq-100 Index on the date the notes were priced for initial sale to the public and the future value of the Nasdaq-100 Index. However, changes in the value of the Nasdaq-100 Index may not always be reflected, in full or in part, in the market value of the notes. If you choose to sell your notes when the value of the Nasdaq-100 Index exceeds its starting value, you may receive substantially less than the amount that would be payable at maturity based on that value of the Nasdaq-100 Index because of expectations that the Nasdaq-100 Index will continue to fluctuate between that time and the time when the ending value of the Nasdaq-100 Index is determined. In addition, significant increases in the value of the Nasdaq-100 Index may not be reflected in the trading price of the notes as a result of the appreciation cap. If you choose to sell your notes when the value of the Nasdaq-100 Index is below the value of the index on the date the notes were priced for initial sale to the public, you may receive less than your original investment. Volatility of the Nasdaq-100 Index. Volatility is the term used to describe the size and frequency of market fluctuations. If the volatility of the Nasdaq-100 Index increases, the trading value of the notes may be reduced. Events involving the companies comprising the Nasdaq-100 Index. General economic conditions and earnings results of the companies whose common stocks comprise the Nasdaq-100 Index and real or PS-8 anticipated changes in those conditions or results may affect the market value of the notes. In addition, if the dividend yields on those stocks increase, the value of the notes may be adversely affected because the Nasdaq-100 Index does not incorporate the value of dividend payments. Conversely, if dividend yields on the stocks decrease, the value of the notes may be favorably affected. Interest rates. We expect that the market value of the notes will be affected by changes in U.S. interest rates. In general, if U.S. interest rates increase, the value of the notes may decrease, and if U.S. interest rates decrease, the value of the notes may increase. Interest rates may also affect the economy and, in turn, the value of the Nasdaq-100 Index, which (for the reasons discussed above) would affect the value of the notes. Citigroup Global Markets Holdings' credit ratings, financial condition and results. Actual or anticipated changes in our credit ratings, financial condition or results may affect the value of the notes. We want you to understand that the impact of one of the factors specified above, such as an increase in interest rates, may offset some or all of any change in the value of the notes attributable to another factor, such as an increase in the value of the Nasdaq-100 Index. YOU MAY NOT BE ABLE TO SELL YOUR NOTES IF AN ACTIVE TRADING MARKET FOR THE NOTES DOES NOT DEVELOP There is currently no secondary market for the notes. Citigroup Global Markets Inc. currently intends, but is not obligated, to make a market in the notes. Even if a secondary market does develop, it may not be liquid and may not continue for the term of the notes. If the secondary market for the notes is limited, there may be few buyers should you choose to sell your notes prior to maturity and this may reduce the price you receive. CITIGROUP GLOBAL MARKETS INC., AN AFFILIATE OF CITIGROUP GLOBAL MARKETS HOLDINGS, IS THE CALCULATION AGENT, WHICH COULD RESULT IN A CONFLICT OF INTEREST Because Citigroup Global Markets Inc., which is acting as the calculation agent for the notes, is an affiliate of ours, potential conflicts of interest may exist between the calculation agent and you, including with respect to certain determinations and judgments that the calculation agent must make in determining amounts due to you. THE MARKET VALUE OF THE NOTES MAY BE AFFECTED BY PURCHASES AND SALES OF THE STOCKS UNDERLYING THE NASDAQ-100 INDEX OR DERIVATIVE INSTRUMENTS RELATED TO THE INDEX BY AFFILIATES OF CITIGROUP GLOBAL MARKETS HOLDINGS Citigroup Global Markets Holdings' affiliates, including Citigroup Global Markets Inc., may from time to time buy or sell the underlying stocks of the Nasdaq-100 Index or derivative instruments relating to the index for their own accounts in connection with their normal business practices. These transactions could affect the value of the underlying stocks of the Nasdaq-100 Index and therefore the market value of the notes. Citigroup Global Markets Inc. or an affiliate may enter into a swap agreement with one of Citigroup Global Markets Holdings' other affiliates in connection with the sale of the notes and may earn additional income as a result of payments pursuant to the swap or related hedge transactions. THE UNITED STATES FEDERAL INCOME TAX CONSEQUENCES OF THE NOTES ARE UNCERTAIN No statutory, judicial or administrative authority directly addresses the characterization of the notes or instruments similar to the notes for U.S. federal income tax purposes. As a result, significant aspects of the U.S. federal income tax consequences of an investment in the notes are not certain. No ruling is being requested from the Internal Revenue Service with respect to the notes and no assurance can be given that the Internal Revenue Service will agree with the conclusions expressed under "Certain United States Federal Income Tax Considerations" in this pricing supplement. PS-9 DESCRIPTION OF THE NOTES The description in this pricing supplement of the particular terms of the Stock Market Upturn Notes Linked to the Nasdaq-100 Index Due November 27, 2006 supplements, and to the extent inconsistent therewith replaces, the descriptions of the general terms and provisions of the registered notes set forth in the accompanying prospectus and prospectus supplement. INTEREST We will not make any periodic payments of interest or any other payments on the notes until maturity. At maturity, in addition to your initial principal, you will receive an index return amount as described below. PAYMENT AT MATURITY The notes will mature on November 27, 2006. At maturity, you will receive for each note a maturity payment equal to the sum of the initial principal amount of $1,000 per note plus the index return amount, which may be positive, zero or negative. INDEX RETURN AMOUNT The index return amount will be based on the index return of the Nasdaq-100 Index. The index return, which is presented in this pricing supplement as a percentage, will equal the following fraction: Ending Value -- Starting Value ---------------------------------------- Starting Value provided that the index return cannot be greater than a cap of 20%. How the index return amount will be calculated depends on whether the index return is positive, zero or negative: - IF THE INDEX RETURN IS POSITIVE, the index return amount will equal the product of: $1,000 * Upside Participation Rate * Index Return The upside participation rate is 200%. Because the index return is capped at 20%, the index return amount cannot exceed $400 and the maturity payment cannot exceed $1,400 per note. - IF THE INDEX RETURN IS NEGATIVE and - the value of the Nasdaq-100 Index on any index business day after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity (whether intra-day or at the close of trading on any index business day) is less than or equal to 577.24 (50% of the starting value of the Nasdaq-100 Index), then the index return amount will equal the product of: $1,000 * Index Return In this case, the index return amount will be negative and the maturity payment will be less than the $1,000 principal amount per note and could be zero. - the value of the Nasdaq-100 Index on any index business day after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity (whether intra-day or at the close of trading on any index business day) is not less than or equal to 577.24 (50% of the starting value of the Nasdaq-100 Index), then the index return amount will be zero and the maturity payment will be $1,000 per note. PS-10 - IF THE INDEX RETURN IS ZERO (i.e., if there is no change in the value of the Nasdaq-100 Index over the term of the notes), the index return amount will be zero and the maturity payment will be the $1,000 principal amount per note. The starting value will equal 1154.48, the closing value of the Nasdaq-100 Index on May 16, 2003, the date the notes were priced for initial sale to the public. The ending value will be the closing value of the Nasdaq-100 Index on the sixth index business day before the maturity date. If no value (including a closing value) of the Nasdaq-100 Index is available on any date of determination because of a market disruption event or otherwise, unless deferred by the calculation agent as described below, the value of the Nasdaq-100 Index will be the arithmetic mean, as determined by the calculation agent, of the value of the Nasdaq-100 Index obtained from as many dealers in equity securities (which may include Citigroup Global Markets Inc. or any of our other subsidiaries or affiliates), but not exceeding three such dealers, as will make such value available to the calculation agent. The determination of the value of the Nasdaq-100 Index by the calculation agent in the event no such value is available may be deferred by the calculation agent for up to five consecutive index business days on which a market disruption event is occurring. An index business day means a day, as determined by the calculation agent, on which the New York Stock Exchange, the American Stock Exchange, the Nasdaq National Market, the Chicago Mercantile Exchange and the Chicago Board Options Exchange are open for trading (or would have been open for trading, but for the occurrence of a market disruption event) and the Nasdaq-100 Index or any successor index is calculated and published. The calculation agent may, in its sole discretion, add to or delete from the definition of "index business day" any major U.S. exchange or market which commences or ceases to serve as a primary exchange or market upon which a stock underlying the Nasdaq-100 Index trades or as an exchange upon which a futures contract, an option contract, or an option on a futures contract relating to the Nasdaq-100 Index trades. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will be conclusive for all purposes and binding on us and the beneficial owners of the notes, absent manifest error. A market disruption event means, as determined by the calculation agent in its sole discretion, the occurrence or existence of any suspension of or limitation imposed on trading (by reason of movements in price exceeding limits permitted by any relevant exchange or market or otherwise) of, or the unavailability, through a recognized system of public dissemination of transaction information, of accurate price, volume or related information in respect of, (a) 20% or more of the number of underlying stocks which then comprise the Nasdaq-100 Index or any successor index, (b) any options or futures contracts, or any options on such futures contracts relating to the Nasdaq-100 Index or any successor index, or (c) any options or futures contracts relating to 20% or more of the number of underlying stocks which then comprise the Nasdaq-100 Index or any successor index on any exchange or market if, in each case, in the determination of the calculation agent, any such suspension, limitation or unavailability is material. Based on the information currently available to us, on each of September 11, 12, 13 and 14, 2001, the NYSE suspended all trading for the entire day, and on October 27, 1997, the NYSE suspended all trading during the one-half hour period preceding the close of trading. If any such suspension of trading occurred during the term of the notes, it would constitute a market disruption event. The existence or non-existence of these circumstances, however, is not necessarily indicative of the likelihood of these circumstances arising or not arising in the future. MATURITY PAYMENT -- HYPOTHETICAL EXAMPLES Because the return on the notes is dependent on the ending value of the Nasdaq-100 Index, and because the ending value of the Nasdaq-100 Index could be a number of different values, it is not possible to present a chart or table illustrating a complete range of possible payments at maturity. PS-11 The table below shows hypothetical maturity payments on the notes for a range of ending values of the Nasdaq-100 Index. The table assumes that the starting value of the Nasdaq-100 Index is 1154.48, that the appreciation cap is 20%, that the upside participation rate is 200% and that, in the case of a negative index return, whether holders will receive $1,000 at maturity or $1,000 plus an index return amount based on the negative index return depends on whether the value of the Nasdaq-100 Index decreases by 50% or more from its starting value at any time during the term of the notes. The percentage change of the Nasdaq-100 Index does not include any dividends paid on the stocks underlying the index.
INDEX VALUE DID NOT DECREASE INDEX VALUE DECREASED BY 50% PERCENTAGE BY 50% AT ANY TIME OR MORE AT ANY TIME CHANGE OF ----------------------------- ----------------------------- THE INDEX MATURITY MATURITY FROM STARTING VALUE RETURN ON PAYMENT PER RETURN ON PAYMENT PER TO ENDING VALUE THE NOTES NOTE THE NOTES NOTE - ------------------- -------------- ------------ -------------- ------------ -100.00% N/A N/A -100.00% 0.00 -90.00% N/A N/A -90.00% 100.00 -80.00% N/A N/A -80.00% 200.00 -70.00% N/A N/A -70.00% 300.00 -60.00% N/A N/A -60.00% 400.00 -50.00% N/A N/A -50.00% 500.00 -49.00% 0.00% 1,000.00 -49.00% 510.00 -40.00% 0.00% 1,000.00 -40.00% 600.00 -30.00% 0.00% 1,000.00 -30.00% 700.00 -20.00% 0.00% 1,000.00 -20.00% 800.00 -10.00% 0.00% 1,000.00 -10.00% 900.00 0.00% 0.00% 1,000.00 0.00% 1,000.00 5.00% 10.00% 1,100.00 10.00% 1,100.00 10.00% 20.00% 1,200.00 20.00% 1,200.00 15.00% 30.00% 1,300.00 30.00% 1,300.00 20.00% 40.00% 1,400.00 40.00% 1,400.00 25.00% 40.00% 1,400.00 40.00% 1,400.00 30.00% 40.00% 1,400.00 40.00% 1,400.00 35.00% 40.00% 1,400.00 40.00% 1,400.00 40.00% 40.00% 1,400.00 40.00% 1,400.00 45.00% 40.00% 1,400.00 40.00% 1,400.00 50.00% 40.00% 1,400.00 40.00% 1,400.00
The examples are for purposes of illustration only. The actual index return amount will depend on the starting value and the actual ending value determined by the calculation agent as provided in this pricing supplement. Historical closing values for the Nasdaq-100 Index are included in this pricing supplement under "Description of the Nasdaq-100 Index -- Historical Data on the Nasdaq-100 Index." DISCONTINUANCE OF NASDAQ-100 INDEX If Nasdaq discontinues publication of the Nasdaq-100 Index or if it or another entity publishes a successor or substitute index that the calculation agent determines, in its sole discretion, to be comparable to the Nasdaq-100 Index, then the value of the index will be determined by reference to the value of that index, which we refer to as a "successor index." Upon any selection by the calculation agent of a successor index, the calculation agent will cause notice to be furnished to us and the trustee, who will provide notice of the selection of the successor index to the registered holders of the notes. If Nasdaq discontinues publication of the Nasdaq-100 Index and a successor index is not selected by the calculation agent or is no longer published on any date of determination of the value of the index, the value to be substituted for the Nasdaq-100 Index for that date will be a value computed by the calculation PS-12 agent for that date in accordance with the procedures last used to calculate the Nasdaq-100 Index prior to any such discontinuance. If Nasdaq discontinues publication of the Nasdaq-100 Index prior to the determination of the index return amount and the calculation agent determines that no successor index is available at that time, then on each index business day until the earlier to occur of (a) the determination of the index return amount and (b) a determination by the calculation agent that a successor index is available, the calculation agent will determine the value that is to be used in computing the value of the Nasdaq-100 Index. The calculation agent will cause notice of daily closing values to be published not less often than once each month in The Wall Street Journal (or another newspaper of general circulation), and arrange for information with respect to those values to be made available by telephone. Notwithstanding these alternative arrangements, discontinuance of the publication of the Nasdaq-100 Index may adversely affect trading in the notes. If a successor index is selected or the calculation agent calculates a value as a substitute for the Nasdaq-100 Index as described above, the successor index or value will be substituted for the Nasdaq-100 Index for all purposes, including for purposes of determining whether an index business day or market disruption event occurs. Notwithstanding these alternative arrangements, discontinuance of the publication of the Nasdaq-100 Index may adversely affect the value of the notes. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will be conclusive for all purposes and binding on us and the beneficial owners of the notes, absent manifest error. ALTERATION OF METHOD OF CALCULATION If at any time the method of calculating the Nasdaq-100 Index or a successor index is changed in any material respect, or if the Nasdaq-100 Index or a successor index is in any other way modified so that the value of the Nasdaq-100 Index or the successor index does not, in the opinion of the calculation agent, fairly represent the value of that index had the changes or modifications not been made, then, from and after that time, the calculation agent will, at the close of business in New York, New York, make those adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a calculation of a value of a stock index comparable to the Nasdaq-100 Index or the successor index as if the changes or modifications had not been made, and calculate the value of the index with reference to the Nasdaq-100 Index or the successor index. Accordingly, if the method of calculating the Nasdaq-100 Index or the successor index is modified so that the value of the Nasdaq-100 Index or the successor index is a fraction or a multiple of what it would have been if it had not been modified (e.g., due to a split in the Nasdaq-100 Index), then the calculation agent will adjust that index in order to arrive at a value of the index as if it had not been modified (e.g., as if the split had not occurred). PAYING AGENT, TRUSTEE AND CUSIP Citibank, N.A. will serve as paying agent and registrar for the notes and will also hold the global security representing the notes as custodian for DTC. Bank One Trust Company, N.A., as successor trustee under an indenture dated as of December 1, 1988, as amended from time to time, will serve as trustee for the notes. The CUSIP number for the notes is 17307EAM5. CALCULATION AGENT The calculation agent for the notes will be Citigroup Global Markets Inc. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes and binding on Citigroup Global Markets Holdings and the holders of the notes. Because the calculation agent is an affiliate of Citigroup Global Markets Holdings, potential conflicts of interest may exist between the calculation agent and the holders of the notes, including with respect to certain determinations and judgments that the calculation agent must make in determining amounts due to holders of the notes. Citigroup Global Markets Inc. is obligated to carry out its duties and functions as calculation agent in good faith and using its reasonable judgment. PS-13 DESCRIPTION OF THE NASDAQ-100 INDEX GENERAL The Nasdaq-100 Index is a modified capitalization-weighted index of 100 of the largest and most actively traded stocks of non-financial companies listed on the Nasdaq National Market tier of The Nasdaq Stock Market. The Nasdaq-100 Index was first published in January 1985 and includes companies across a variety of major industry groups. As of March 31, 2003, the major industry groups covered in the Nasdaq-100 Index (listed according to their respective capitalization in the Nasdaq-100 Index) were as follows: computer software/services (28.62%), computer and office equipment (27.25%), telecommunications (13.91%), biotechnology (11.39%), retail/wholesale trade (7.98%), health care (4.70%), services (3.13%), manufacturing (1.88%) and transportation (1.14%). The identity and capitalization weightings of the five largest companies represented in the Nasdaq-100 Index as of March 31, 2003 were as follows: Microsoft Corporation (11.34%), Intel Corporation (4.74%), Amgen Inc. (4.41%), QUALCOMM Incorporated (4.36%) and Cisco Systems, Inc. (4.19%). Current information regarding the market value of the Nasdaq-100 Index is available from The Nasdaq Stock Market, Inc. as well as numerous market information services. The Nasdaq-100 Index share weights of the component securities, or underlying stocks (the "Underlying Stocks"), of the Nasdaq-100 Index at any time are based upon the total shares outstanding in each of the 100 securities in the Nasdaq-100 Index and are additionally subject, in certain cases, to rebalancing to ensure that the relative weighting of the Underlying Stocks continues to meet minimum pre-established requirements for a diversified portfolio. Accordingly, each Underlying Stock's influence on the value of the Nasdaq-100 Index is directly proportional to the value of its Nasdaq-100 Index share weight. At any moment in time, the value of the Nasdaq-100 Index equals the aggregate value of the then current Nasdaq-100 Index share weights of each of the component 100 Underlying Stocks multiplied by each such security's respective last sale price on The Nasdaq Stock Market, and divided by a scaling factor (the "divisor") which becomes the basis for the reported Nasdaq-100 Index value. The divisor serves the purpose of scaling such aggregate value (otherwise in the trillions) to a lower order of magnitude which is more desirable for Nasdaq-100 Index reporting purposes. For more information concerning the composition of the Nasdaq-100 Index, see Nasdaq's website at http://www.nasdaq.com. THE NASDAQ-100 INDEX DOES NOT REFLECT THE PAYMENT OF DIVIDENDS ON THE STOCKS UNDERLYING IT AND THEREFORE THE INDEX RETURN ON THE NOTES WILL NOT PRODUCE THE SAME RETURN YOU WOULD RECEIVE IF YOU WERE TO PURCHASE SUCH UNDERLYING STOCKS AND HOLD THEM UNTIL THE MATURITY DATE. COMPUTATION OF THE NASDAQ-100 INDEX UNDERLYING STOCK ELIGIBILITY CRITERIA AND ANNUAL RANKING REVIEW To be eligible for inclusion in the Nasdaq-100 Index, a security must be traded on the Nasdaq National Market tier of The Nasdaq Stock Market and meet the following criteria: (1) the security must be of a non-financial company; (2) only one class of security per issuer is allowed; (3) the security may not be issued by an issuer currently in bankruptcy proceedings; (4) the security must have average daily trading volume of at least 200,000 shares per day; (5) the security must have "seasoned" on The Nasdaq Stock Market or another recognized market (generally, a company is considered to be seasoned by Nasdaq if it has been listed on a market for at least two years; in the case of spin-offs, the operating history of the spin-off will be considered); PS-14 (6) if a security would otherwise qualify to be in the top 25.0% of the issuers included in the Nasdaq-100 Index by market capitalization for the six prior consecutive month ends, then a one year "seasoning" criteria would apply; (7) if the security is of a foreign issuer, the company must have listed options or be eligible for listed options trading; (8) the issuer of the security may not have entered into a definitive agreement or other arrangement which would result in the security no longer being index eligible within the next six months; and (9) the issuer of the security may not have annual audited financial statements with an audit opinion which the auditor or the issuer has indicated cannot be currently relied upon. These Nasdaq-100 Index eligibility criteria may be revised from time to time by the National Association of Securities Dealers, Inc. In addition, to be eligible for continued inclusion a security must meet additional criteria. The Underlying Stocks are evaluated annually as follows (such evaluation is referred to herein as the "Annual Ranking Review"). Securities listed on The Nasdaq Stock Market which meet the above eligibility criteria are ranked by market value. Index-eligible securities which are already in the Nasdaq-100 Index and which are in the top 150 eligible securities (based on market value) are retained in the Nasdaq-100 Index provided that such security was ranked in the top 100 eligible securities as of the previous year's annual review. Securities not meeting such criteria are replaced. The replacement securities chosen are those Nasdaq-100 Index-eligible securities not currently in the Nasdaq-100 Index which have the largest market capitalization. The list of annual additions and deletions is publicly announced via a press release in the early part of December. Replacements are made effective after the close of trading on the third Friday in December. Moreover, if at any time during the year an Underlying Stock is no longer traded on The Nasdaq Stock Market, or is otherwise determined by Nasdaq to become ineligible for continued inclusion in the Nasdaq-100 Index, the security will be replaced with the largest market capitalization security not currently in the Nasdaq-100 Index and meeting the Nasdaq-100 Index eligibility criteria listed above. In addition to the Annual Ranking Review, the securities in the Nasdaq-100 Index are monitored every day by Nasdaq with respect to changes in total shares outstanding arising from secondary offerings, stock repurchases, conversions, or other corporate actions. Nasdaq has adopted the following quarterly scheduled weight adjustment procedures with respect to such changes. If the change in total shares outstanding arising from such corporate action is greater than or equal to 5.0%, such change is ordinarily made to the Nasdaq-100 Index on the evening prior to the effective date of such corporate action. Otherwise, if the change in total shares outstanding is less than 5.0%, then all such changes are accumulated and made effective at one time on a quarterly basis after the close of trading on the third Friday in each of March, June, September, and December. In either case, the Nasdaq-100 Index share weights for such Underlying Stocks are adjusted by the same percentage amount by which the total shares outstanding have changed in such Underlying Stocks. Ordinarily, whenever there is a change in Nasdaq-100 Index share weights or a change in a component security included in the Nasdaq-100 Index, Nasdaq adjusts the divisor to assure that there is no discontinuity in the value of the Nasdaq-100 Index which might otherwise be caused by any such change. REBALANCING OF THE NASDAQ-100 INDEX Effective after the close of trading on December 18, 1998, the Nasdaq-100 Index has been calculated under a "modified capitalization-weighted" methodology, which is a hybrid between equal weighting and conventional capitalization weighting. This methodology is expected to: (1) retain in general the economic attributes of capitalization weighting; (2) promote portfolio weight diversification (thereby limiting domination of the Nasdaq-100 Index by a few large stocks); (3) reduce Nasdaq-100 Index performance distortion by preserving the capitalization ranking of companies; and (4) reduce market impact on the smallest Underlying Stocks from necessary weight rebalancings. PS-15 Under the methodology employed, on a quarterly basis coinciding with Nasdaq's quarterly scheduled weight adjustment procedures, the Underlying Stocks are categorized as either "Large Stocks" or "Small Stocks" depending on whether their current percentage weights (after taking into account such scheduled weight adjustments due to stock repurchases, secondary offerings, or other corporate actions) are greater than, or less than or equal to, the average percentage weight in the Nasdaq-100 Index (i.e., as a 100-stock index, the average percentage weight in the Nasdaq-100 Index is 1.0%). Such quarterly examination will result in a Nasdaq-100 Index rebalancing if either one or both of the following two weight distribution requirements are not met: (1) the current weight of the single largest market capitalization Underlying Stock must be less than or equal to 24.0% and (2) the "collective weight" of those Underlying Stocks whose individual current weights are in excess of 4.5%, when added together, must be less than or equal to 48.0%. If either one or both of these weight distribution requirements are not met upon quarterly review, a weight rebalancing will be performed in accordance with the following plan. First, relating to weight distribution requirement (1) above, if the current weight of the single largest Underlying Stock exceeds 24.0%, then the weights of all Large Stocks will be scaled down proportionately towards 1.0% by enough for the adjusted weight of the single largest Underlying Stock to be set to 20.0%. Second, relating to weight distribution requirement (2) above, for those Underlying Stocks whose individual current weights or adjusted weights in accordance with the preceding step are in excess of 4.5%, if their "collective weight" exceeds 48.0%, then the weights of all Large Stocks will be scaled down proportionately towards 1.0% by enough for the "collective weight," so adjusted, to be set to 40.0%. The aggregate weight reduction among the Large Stocks resulting from either or both of the above rescalings will then be distributed to the Small Stocks in the following iterative manner. In the first iteration, the weight of the largest Small Stock will be scaled upwards by a factor which sets it equal to the average Nasdaq-100 Index weight of 1.0%. The weights of each of the smaller remaining Small Stocks will be scaled up by the same factor reduced in relation to each stock's relative ranking among the Small Stocks such that the smaller the Underlying Stock in the ranking, the less the scale-up of its weight. This is intended to reduce the market impact of the weight rebalancing on the smallest component securities in the Nasdaq-100 Index. In the second iteration, the weight of the second largest Small Stock, already adjusted in the first iteration, will be scaled upwards by a factor which sets it equal to the average index weight of 1.0%. The weights of each of the smaller remaining Small Stocks will be scaled up by this same factor reduced in relation to each stock's relative ranking among the Small Stocks such that, once again, the smaller the stock in the ranking, the less the scale-up of its weight. Additional iterations will be performed until the accumulated increase in weight among the Small Stocks exactly equals the aggregate weight reduction among the Large Stocks from rebalancing in accordance with weight distribution requirement (1) above and/or weight distribution requirement (2) above. Then, to complete the rebalancing procedure, once the final percent weights of each Nasdaq-100 Index Security are set, the Nasdaq-100 Index share weights will be determined anew based upon the last sale prices and aggregate capitalization of the Nasdaq-100 Index at the close of trading on the Thursday in the week immediately preceding the week of the third Friday in March, June, September, and December. Changes to the Nasdaq-100 Index share weights will be made effective after the close of trading on the third Friday in March, June, September, and December and an adjustment to the Nasdaq-100 Index divisor will be made to ensure continuity of the Nasdaq-100 Index. HISTORICAL DATA ON THE NASDAQ-100 INDEX The following table sets forth the value of the Nasdaq-100 Index at the end of each month in the period from January 1998 through April 2003. These historical data on the Nasdaq-100 Index are not necessarily indicative of the future performance of the Nasdaq-100 Index or what the value of the notes may be. Any historical upward or downward trend in the value of the Nasdaq-100 Index during any period PS-16 set forth below is not an indication that the Nasdaq-100 Index is more or less likely to increase or decrease at any time during the term of the notes.
1998 1999 2000 2001 2002 2003 ------- ------- ------- ------- ------- ------- January............................. 1071.13 2127.19 3570.05 2593.00 1550.17 983.05 February............................ 1194.13 1925.28 4266.94 1908.32 1359.22 1009.74 March............................... 1220.66 2106.39 4397.84 1573.25 1452.81 1018.66 April............................... 1248.12 2136.39 3773.18 1855.15 1277.07 1106.06 May................................. 1192.07 2089.70 3324.08 1799.89 1208.34 June................................ 1337.34 2296.77 3763.79 1830.19 1051.41 July................................ 1377.26 2270.93 3609.35 1683.61 962.11 August.............................. 1140.34 2396.87 4077.59 1469.70 942.38 September........................... 1345.48 2407.90 3570.61 1168.37 832.52 October............................. 1400.52 2637.44 3282.30 1364.78 989.54 November............................ 1557.96 2966.71 2506.54 1596.05 1116.10 December............................ 1836.01 3707.83 2341.70 1577.05 984.36
The closing value of the Nasdaq-100 Index on May 19, 2003 was 1112.49. HISTORICAL CLOSING VALUES The following graph illustrates the historical performance of the Nasdaq-100 Index based on the closing value thereof at the end of each month from April 1985 through April 2003. Past movements of the index are not necessarily indicative of future index values. [GRAPH] LICENSE AGREEMENT The Nasdaq Stock Market, Inc. and Citigroup Global Markets Holdings have entered into a non-exclusive license agreement providing for the license to Citigroup Global Markets Holdings, in exchange for a fee, of the right to use indices owned and published by The Nasdaq Stock Market, Inc. in connection with certain securities, including the notes. PS-17 The license agreement between The Nasdaq Stock Market, Inc. and Citigroup Global Markets Holdings provides that the following language must be stated in this pricing supplement. The notes are not sponsored, endorsed, sold or promoted by The Nasdaq Stock Market, Inc. (including its affiliates) (The Nasdaq Stock Market, Inc., with its affiliates, is referred to as the "Corporations"). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the notes. The Corporations make no representation or warranty, express or implied to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly, or the ability of the Index to track general stock market performance. The Corporations' only relationship to Citigroup Global Markets Holdings and its affiliates (the "Licensee") is in the licensing of the Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq(R) trademarks or service marks, and certain trade names of the Corporations and the use of the Nasdaq-100 Index(R) which is determined, composed and calculated by Nasdaq without regard to the Licensee or the notes. Nasdaq-100 has no obligation to take the needs of the Licensee or the owners of the notes into consideration in determining, composing or calculating the Index. The Corporations are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation by which the notes are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of the notes. Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq(R) are trade or service marks of The Nasdaq Stock Market, Inc. (which with its affiliates are the "Corporations") and are licensed for use by the Licensee. THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATIONS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WILL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. All disclosures contained in this pricing supplement regarding the Nasdaq-100 Index, including its makeup, method of calculation and changes in its components, are derived from publicly available information prepared by The Nasdaq Stock Market, Inc. None of Citigroup Global Markets Holdings, Citigroup Global Markets Inc. or the trustee assumes any responsibility for the accuracy or completeness of such information. CERTAIN UNITED STATES FEDERAL INCOME TAX CONSIDERATIONS The following discussion is a summary of the principal U.S. federal income tax consequences that may be relevant to a citizen or resident of the United States, a corporation, partnership or other entity created or organized under the laws of the United States, an estate the income of which is subject to U.S. federal income taxation regardless of its source, or a trust that is a United States person for U.S. federal income tax purposes (any of the foregoing, a "U.S. person") who is the beneficial owner of a note (a "U.S. Holder"). All references to "holders" (including U.S. Holders) are to beneficial owners of the notes. This summary is based on U.S. federal income tax laws, regulations, rulings and decisions in effect as of the date of this pricing supplement, all of which are subject to change at any time (possibly with retroactive effect). As the law is technical and complex, the discussion below necessarily represents only a general summary. PS-18 This summary addresses the U.S. federal income tax consequences to holders who are initial holders of the notes and who will hold the notes as capital assets. This summary does not address all aspects of U.S. federal income taxation that may be relevant to a particular holder in light of its individual investment circumstances or to certain types of holders subject to special treatment under the U.S. federal income tax laws, such as dealers in securities or foreign currency, financial institutions, insurance companies, tax-exempt organizations and taxpayers holding the notes as part of a "straddle," "hedge," "conversion transaction," "synthetic security" or other integrated investment. Moreover, the effect of any applicable state, local or foreign tax laws is not discussed. No statutory, judicial or administrative authority directly addresses the characterization of the notes or instruments similar to the notes for U.S. federal income tax purposes. As a result, significant aspects of the U.S. federal income tax consequences of an investment in the notes are not certain. No ruling is being requested from the Internal Revenue Service (the "IRS") with respect to the notes and no assurance can be given that the IRS will agree with the conclusions expressed herein. ACCORDINGLY, A PROSPECTIVE INVESTOR (INCLUDING A TAX-EXEMPT INVESTOR) IN THE NOTES SHOULD CONSULT ITS TAX ADVISOR IN DETERMINING THE TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES, INCLUDING THE APPLICATION OF STATE, LOCAL OR OTHER TAX LAWS AND THE POSSIBLE EFFECTS OF CHANGES IN FEDERAL OR OTHER TAX LAWS. In purchasing a note, each holder agrees with Citigroup Global Markets Holdings that Citigroup Global Markets Holdings and such holder intend to treat a note for U.S. federal income tax purposes as a cash-settled capped variable forward contract on the value of the Nasdaq-100 Index at maturity under which an amount equal to the purchase price of the note is treated as a non-interest-bearing cash deposit to be applied at maturity in full satisfaction of the holder's payment obligation under the forward contract. (Prospective investors should note that cash proceeds of this offering will not be segregated by Citigroup Global Markets Holdings during the term of the notes, but instead will be commingled with Citigroup Global Markets Holdings' other assets and applied in a manner consistent with the "Use of Proceeds and Hedging" in the accompanying prospectus.) As discussed below, there is no assurance that the IRS will agree with this treatment, and alternative treatments of the notes could result in less favorable U.S. federal income tax consequences to a holder, including a requirement to accrue income on a current basis. Under the characterization of the notes as cash-settled capped variable forward contracts, a holder's tax basis in a note generally will equal the holder's cost for that note. Upon the sale or other taxable disposition of a note, a U.S. Holder generally will recognize gain or loss equal to the difference between the amount realized on the sale or other taxable disposition and the U.S. Holder's tax basis in the note. Such gain or loss generally will be long-term capital gain or loss if the U.S. Holder has held the note for more than one year at the time of disposition. Under such characterization, at maturity a U.S. Holder will recognize capital gain or loss equal to any difference between the amount of cash received from Citigroup Global Markets Holdings and the U.S. Holder's tax basis in the notes at that time. Such gain or loss generally will be long-term capital gain or loss if the U.S. Holder has held the notes for more than one year at maturity. Due to the absence of authority as to the proper characterization of the notes and the absence of any comparable notes or instruments for which there is a widely accepted tax treatment, no assurance can be given that the IRS will accept, or that a court will uphold, the characterization of the notes as cash-settled capped variable forward contracts and the tax treatment described above. In particular, because a holder will be entitled to a cash amount equal to or greater than the principal amount of such holder's notes unless (i) the Nasdaq-100 Index decreases by at least 50% from its starting value at any time after the date the notes were priced for initial sale to the public up to and including the sixth index business day before maturity and (ii) the index return is negative, the IRS could seek to analyze the federal income tax consequences of owning notes under Treasury regulations governing contingent payment debt instruments (the "Contingent Payment Regulations"). The Contingent Payment Regulations are complex, but very generally apply the original issue discount rules of the Internal Revenue Code to a contingent payment PS-19 debt instrument by requiring that original issue discount be accrued every year at a "comparable yield" for the issuer of the instrument, determined at the time of issuance of the obligation. In addition, the Contingent Payment Regulations require that a projected payment schedule, which results in such a "comparable yield," be determined, and that adjustments to income accruals be made to account for differences between actual payments and projected amounts. To the extent that the comparable yield as so determined exceeds the interest actually paid on a contingent debt instrument in any taxable year, the owner of that instrument will recognize ordinary interest income for that taxable year in excess of the cash the owner receives and such excess would increase the U.S. Holder's tax basis in the debt instrument. In addition, any gain realized on the sale, exchange or redemption of a contingent payment debt instrument will be treated as ordinary income. Any loss realized on such sale, exchange or redemption will be treated as an ordinary loss to the extent that the holder's original issue discount inclusions with respect to the obligation exceed prior reversals of such inclusions required by the adjustment mechanism described above. Any loss realized in excess of such amount generally will be treated as a capital loss. The Contingent Payment Regulations apply only to debt instruments that provide for contingent payments. The notes provide economic returns that are indexed to the performance of the Nasdaq-100 Index, and offer no assurance that a holder's investment will be returned to the holder at maturity. Accordingly, Citigroup Global Markets Holdings believes that it is reasonable to treat the notes for U.S. federal income tax purposes, not as debt instruments, but as cash-settled capped variable forward contracts in respect of which holders have deposited a fixed amount of cash with Citigroup Global Markets Holdings. If, however, the IRS were successfully to maintain that the Contingent Payment Regulations apply to the notes, then, among other matters, a U.S. Holder would be required to include in income each year an accrual of interest at a comparable yield for a comparable non-contingent note issued by Citigroup Global Markets Holdings even though the holder will be entitled to no payments until the maturity of the notes. In addition, gain realized by a holder on the sale or other taxable disposition of a note (including as a result of payments made at maturity) generally would be characterized as ordinary income, rather than as short- or long-term capital gain (depending on whether the note has been held for more than one year). Even if the Contingent Payment Regulations do not apply to the notes, it is possible that the IRS could seek to characterize the notes in a manner that results in tax consequences different from those described above. Under alternative characterizations of the notes, it is possible, for example, that a note could be treated as including a debt instrument and a forward contract or two or more options. Some or all of the net long-term capital gain arising from certain "constructive ownership" transactions may be characterized as ordinary income, in which case an interest charge would be imposed on any such ordinary income. These rules have no immediate application to forward contracts in respect of the stock of most corporations, including the notes transaction. The rules, however, grant discretionary authority to the U.S. Treasury Department to expand the scope of "constructive ownership" transactions to include forward contracts in respect of the stock of all corporations. The rules separately also direct the Treasury to promulgate regulations excluding a forward contract that does not convey "substantially all" of the economic return on an underlying asset from the scope of "constructive ownership" transactions. This category may include the notes transaction. It is not possible to predict whether such regulations will be promulgated by the U.S. Treasury Department, or the form or effective date that any regulations that may be promulgated might take. NON-UNITED STATES PERSONS In the case of a holder of the notes that is not a U.S. person, payments made with respect to the notes will not be subject to U.S. withholding tax, provided that such holder complies with applicable certification requirements. Any capital gain realized upon the sale or other disposition of the notes by a holder that is not a U.S. person will generally not be subject to U.S. federal income tax if (i) such gain is not effectively connected with a U.S. trade or business of such holder and (ii) in the case of an individual, such individual is not present in the United States for 183 days or more in the taxable year of the sale or other disposition. PS-20 BACKUP WITHHOLDING AND INFORMATION REPORTING A holder of the notes may be subject to information reporting and to backup withholding with respect to certain amounts paid to the holder unless such holder provides proof of an applicable exemption or a correct taxpayer identification number, and otherwise complies with applicable requirements of the backup withholding rules. Backup withholding is not an additional tax. Rather, any amounts withheld under the backup withholding rules may be refunded or credited against the U.S. Holder's U.S. federal income tax liability, provided the required information is furnished to the IRS. ERISA MATTERS The purchaser, by its purchase or other acquisition of the notes, is deemed to represent that such purchaser is not an employee benefit plan subject to the fiduciary responsibility provisions of the Employee Retirement Income Security Act of 1974, as amended ("ERISA"), or any entity with respect to which part or all of its assets constitute assets of any such employee benefit plan by reason of 29 C.F.R. 2510.3-101 or otherwise, or any government or other plan subject to Federal, state, or local law substantially similar to the fiduciary responsibility provisions of ERISA (an "ERISA-Type Plan"). Any plan that is subject to Section 4975(e)(1) of the Internal Revenue Code that is not an ERISA-Type Plan (for example, individual retirement accounts, individual retirement annuities or Keogh Plans) will be deemed to have represented, by its purchase or other acquisition of the notes, that such purchase, acquisition, holding and subsequent disposition of such notes and the transactions contemplated hereby do not and will not constitute a prohibited transaction under Section 4975 of the Internal Revenue Code. PS-21 The accompanying prospectus supplement and prospectus relate to Citigroup Global Markets Holdings Inc., which changed its name from Salomon Smith Barney Holdings Inc. on April 7, 2003. - ------------------------------------------------------ - ------------------------------------------------------ YOU SHOULD RELY ON THE INFORMATION CONTAINED OR INCORPORATED BY REFERENCE IN THIS PRICING SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS SUPPLEMENT AND PROSPECTUS. WE HAVE NOT AUTHORIZED ANYONE TO PROVIDE YOU WITH DIFFERENT INFORMATION. WE ARE NOT MAKING AN OFFER OF THESE SECURITIES IN ANY STATE WHERE THE OFFER IS NOT PERMITTED. YOU SHOULD NOT ASSUME THAT THE INFORMATION CONTAINED OR INCORPORATED BY REFERENCE IN THIS PRICING SUPPLEMENT IS ACCURATE AS OF ANY DATE OTHER THAN THE DATE ON THE FRONT OF THE DOCUMENT. ------------------ TABLE OF CONTENTS
PAGE ----- PRICING SUPPLEMENT Summary Information -- Q&A........... PS-2 Incorporation of Certain Documents by Reference.......................... PS-6 Risk Factors Relating to the Notes... PS-7 Description of the Notes............. PS-10 Description of the Nasdaq-100 Index.............................. PS-14 Certain United States Federal Income Tax Considerations................. PS-18 ERISA Matters........................ PS-21 PROSPECTUS SUPPLEMENT Risk Factors......................... S-3 Important Currency Information....... S-6 Description of the Notes............. S-7 United States Federal Income Tax Considerations..................... S-31 Plan of Distribution................. S-38 Legal Matters........................ S-39 PROSPECTUS Prospectus Summary................... 2 Forward-Looking Statements........... 6 Salomon Smith Barney Holdings Inc. .............................. 7 Use of Proceeds and Hedging.......... 8 Ratio of Earnings to Fixed Charges... 9 European Monetary Union.............. 10 Description of Debt Securities....... 11 Description of Index Warrants........ 18 Book-Entry Procedures and Settlement......................... 21 Limitations on Issuances in Bearer Form............................... 22 Plan of Distribution................. 23 ERISA Matters........................ 25 Legal Matters........................ 25 Experts.............................. 25
------------------------------------------------------ ------------------------------------------------------ - ------------------------------------------------------ - ------------------------------------------------------ Citigroup Global Markets Holdings Inc. Medium-Term Notes $16,750,000 principal amount Stock Market Upturn Notes Linked to the Nasdaq-100 Index Due November 27, 2006 ($1,000 PRINCIPAL AMOUNT PER NOTE) ------------ PRICING SUPPLEMENT MAY 19, 2003 (INCLUDING PROSPECTUS SUPPLEMENT DATED MARCH 1, 2001 AND PROSPECTUS DATED FEBRUARY 23, 2001) ------------ Citigroup ------------------------------------------------------ ------------------------------------------------------ -----END PRIVACY-ENHANCED MESSAGE-----