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Published on 1/18/2022 in the Prospect News Structured Products Daily.

New Issue: Citi sells $1.18 million barrier securities on Russell, Dow, S&P

By Wendy Van Sickle

Columbus, Ohio, Jan. 18 – Citigroup Global Markets Holdings Inc. priced $1.18 million of 0% barrier securities due Sept. 1, 2026 linked to the performance of the Russell 2000 index, the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 133.5% of the return of the least performing index.

If the worst performer declines but finishes at or above 70% of its initial level, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

Issuer:Citigroup Global Markets Holdings Inc.
Guarantor:Citigroup Inc.
Issue:Barrier securities
Underlying indexes:Russell 2000 index, S&P 500 index, Dow Jones industrial average
Amount:$1,175,000
Maturity:Sept. 1, 2026
Coupon:0%
Price:Par
Payout at maturity:If all indexes finish positive, par plus 133.5% of return of worst performer; par if at least one index declines but worst performer finishes at or above barrier level; otherwise, investors will lose 1% for each 1% decline from the initial level of the worst performing index
Initial levels:2,277.151 for Russell, 4,509.37 for S&P, 35,455.8 for Dow
Trigger levels:1,594.006 for Russell, 3,156.559 for S&P, 24,819.06 for Dow; 70% of initial levels
Pricing date:Aug. 27
Settlement date:Sept. 1
Agent:Citigroup Global Markets Inc.
Fees:4.125%
Cusip:17329QA75

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