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Published on 2/27/2023 in the Prospect News Structured Products Daily.

New Issue: Citigroup prices $255,000 22.2% autocallable contingent coupon equity notes on stocks

Chicago, Feb. 27 – Citigroup Global Markets Holdings Inc. priced $255,000 of autocallable contingent coupon equity linked securities due May 8, 2025 linked to the worst performing of the common stocks of Apple Inc., JPMorgan Chase & Co. and Microsoft Corp., according to a 424B2 filing with the Securities and Exchange Commission.

Investors will receive a coupon of 22.2% paid monthly if the worst performing stock closes at or above its 80% coupon barrier on the related valuation date.

The securities will be called automatically starting May 8, 2023 if the price of the worst performing stock is greater than or equal to its initial price and on the subsequent annual determination date.

If the worst performing stock finishes at or above its 80% final barrier the payout at maturity will be par. Otherwise investors will lose 1% loss for every 1% that the worst performing stock 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 stocks:Apple Inc., JPMorgan Chase & Co. and Microsoft Corp.
Amount:$255,000
Maturity:May 8, 2025
Coupon:22.2% annual rate, paid monthly if the worst performing stock closes at or above its 80% coupon barrier on the related valuation date
Price:Par
Payout at maturity:If worst performing stock finishes at or above final barrier par; 1% loss for every 1% that worst performing stock declines if it ends below final barrier
Call:Automatically at par starting May 8, 2023 if the price of the worst performing stock is greater than or equal to its initial price and on the subsequent annual determination date
Initial levels:$166.02 for Apple, $127.10 for JPMorgan, $289.98 for Microsoft
Coupon barriers:$132.816 for Apple, $101.680 for JPMorgan, $231.984 for Microsoft, 80% of initial levels
Final barriers:$132.816 for Apple, $101.680 for JPMorgan, $231.984 for Microsoft, 80% of initial levels
Pricing date:May 5, 2022
Settlement date:May 10, 2022
Agent:Citigroup Global Markets Inc.
Fees:0.6%
Cusip:17330FTS0

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