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Published on 7/12/2023 in the Prospect News Structured Products Daily.

New Issue: Citigroup prices $1.32 million 7% autocallable contingent coupon notes on indexes, ETF

New York, July 12 – Citigroup Global Markets Holdings Inc. priced $1.32 million of autocallable contingent coupon equity linked securities due July 10, 2028 linked to the Nasdaq-100 index, S&P 500 index and iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.

Investors will receive a coupon of 7% paid monthly if the worst performing asset closes at or above its 75% coupon barrier on the related valuation date.

The securities will be called automatically starting July 5, 2024 if the price of the worst performing asset is greater than or equal to its initial price and on any subsequent quarterly valuation date.

If the worst performing asset finishes at or above its 70% final barrier the payout at maturity will be par. Otherwise investors will lose 1% loss for every 1% that the worst performing asset declines.

The notes are guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent.

Issuer:Citigroup Global Markets Holdings Inc.
Guarantor:Citigroup Inc.
Issue:Autocallable contingent coupon equity linked securities
Underlying assets:Nasdaq-100 index, S&P 500 index and iShares Russell 2000 ETF
Amount:$1,322,000
Maturity:July 10, 2028
Coupon:7% paid monthly if the worst performing asset closes at or above its 75% coupon barrier on the related valuation date
Price:Par
Payout at maturity:If worst performing asset finishes at or above final barrier par; 1% loss for every 1% that worst performing asset declines if it ends below final barrier
Call:Automatically starting July 5, 2024 if the price of the worst performing asset is greater than or equal to its initial price and on any subsequent quarterly valuation date
Initial levels:15,203.78 for Nasdaq-100 index, 4,446.82 for S&P 500 index, $185.78 for iShares Russell 2000 ETF
Coupon barriers:11,402.835 for Nasdaq-100 index, 3,335.115 for S&P 500 index, $139.335 for iShares Russell 2000 ETF, 75% of initial levels
Final barriers:10,642.646 for Nasdaq-100 index, 3,112.774 for S&P 500 index, $130.046 for iShares Russell 2000 ETF, 70% of initial levels
Pricing date:July 5
Settlement date:July 10
Agent:Citigroup Global Markets Inc.
Fees:4.125%
Cusip:17291RPM8

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