New Issue: Citi sells $190,000 barrier securities with upside reset feature on S&P, Dow

By Wendy Van Sickle

Columbus, Ohio, May 21 – Citigroup Global Markets Holdings Inc. priced $190,000 of barrier securities with upside reset feature due May 20, 2026 linked to the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The upside barrier level will be the initial underlying level of the lesser performing index unless a reset event has occurred, in which case the upside barrier level will be 85% of the initial underlying level of the lesser performing index. A reset event will occur if on any trading day until May 17, 2021, either underlier closes below 85% of its initial underlying level.

If the final underlying level of the lesser performing index is greater than its upside barrier level, the payout at maturity will be par plus 125% of the upside underlying return of the lesser performing index. For each index, the underlying upside return is the quotient of (i) its final underlying level minus its upside barrier value divided by (ii) its initial underlying level.

If the final underlying level of the lesser performing index is less than or equal to the upside barrier level but greater than or equal to the downside barrier level, 70% of the initial underlying level, the payout will be par.

If the final underlying level is less than the downside barrier level, investors will be fully exposed to the decline of the lesser performing index.

Citigroup Global Markets Inc. is the agent.

Issuer:	Citigroup Global Markets Holdings Inc.
Issue:	Barrier securities with upside reset feature
Underlying indexes:	S&P 500 index, Dow Jones industrial average
Amount:	$190,000
Maturity:	May 20, 2026
Coupon:	0%
Price:	Par
Payout at maturity:	If the final level of the lesser performing index is greater than the upside barrier level, par plus 125% of the underlying upside return of the lesser performing index; if the final level of the lesser performing index is less than or equal to the upside barrier level but greater than or equal to the downside barrier level, par; otherwise, full exposure to decline of lesser-performing index
Underlying upside return:	For each index, quotient of (i) its final underlying level minus its upside barrier value divided by (ii) its initial underlying level.
Reset event:	Occurs if on any scheduled trading day until May 17, 2021, either underlier closes below 85% of its initial underlying value
Upside barrier value:	Initial level of the lesser performing index if a reset event has not occurred; if a reset event has occurred, 85% of the initial level of the lesser performing index
Initial levels:	2,863.7 for S&P, 23,685.42 for Dow
Reset barrier levels:	2,434.145 for S&P, 20,132.607 for Dow, 85% of initial levels
Downside barrier levels:	2,004.59 for S&P, 16,579.794 for Dow, 70% of initial levels
Pricing date:	May 15
Settlement date:	May 20
Agent:	Citigroup Global Markets Inc.
Fees:	4%
Cusip:	17328VY20

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