New Issue: Citigroup prices $5.79 million contingent income callable notes linked to indexes

By Taylor Fox

New York, Nov. 5 – Citigroup Global Markets Holdings Inc. priced $5.79 million of contingent income callable securities due Oct. 12, 2023 linked to the least performing of the Nasdaq-100 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Each quarter, the notes pay a contingent coupon at the rate of 10% per year if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date that quarter.

The notes are callable at par plus the coupon, if any, on any quarterly coupon payment date other than the final one.

If each index finishes at or above its downside threshold level, 65% of its initial level, the payout at maturity will be par plus the coupon. Otherwise, investors will be fully exposed to decline of the least-performing index from its initial level.

Citigroup Global Markets Inc. is the underwriter. Morgan Stanley Wealth Management is the dealer.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Contingent income callable securities
Underlying indexes:	Nasdaq-100, S&P 500 and Russell 2000
Amount :	$5,787,000
Maturity:	Oct. 12, 2023
Coupon:	10% per year, payable quarterly if each index closes at or above coupon barrier level on observation date that quarter
Price:	Par
Payout at maturity:	If each index finishes at or above downside threshold level, par plus coupon, if any; otherwise, full exposure to least-performing index’s decline from initial level
Call option:	Callable at par plus coupon on any quarterly coupon payment date except final one
Initial levels:	3,446.83 for S&P, 1,628.547 for Russell and 11,550.94 for Nasdaq
Coupon barriers:	2,412.781 for S&P, 1,139.983 for Russell and 8,085.658 for Nasdaq; 70% of initial levels
Downside thresholds:	2,240.44 for S&P, 1,058.556 for Russell and 7,508.111 for Nasdaq; 65% of initial levels
Pricing date:	Oct. 8
Settlement date:	Oct. 14
Underwriter:	Citigroup Global Markets Inc.
Dealer:	Morgan Stanley Wealth Management
Fees:	2.5%
Cusip:	17328WZ92

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