New Issue: Citi prices $14.79 million contingent income callable notes on Russell, Dow, S&P

By Wendy Van Sickle

Columbus, Ohio, Feb. 25 – Citigroup Global Markets Holdings Inc. priced $14.79 million of contingent income callable securities due Feb. 24, 2023 linked to the worst performing of the Dow Jones industrial average, 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 an annual rate of 9% if each index closes at or above its coupon barrier level, 70% of its initial index level, on every day that quarter.

The notes are callable at par on any quarterly contingent coupon payment date after six months.

If each index finishes at or above its downside threshold level, 70% of its initial level, the payout at maturity will be par plus the final contingent coupon.

If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.

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

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Contingent income callable securities
Underlying indexes:	Russell 2000 index, S&P 500 index, Dow Jones industrial average
Amount:	$14.79 million
Maturity:	Feb. 24, 2023
Coupon:	9% per year, payable for each quarter that each index closes at or above coupon barrier on every day that quarter
Price:	Par
Payout at maturity:	If each index finishes at or above downside threshold, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
Call option:	At par on any quarterly contingent coupon payment date after six months
Initial levels:	2,266.689 for Russell, 3,906.71 for S&P, 30,494.32 for Dow
Coupon barriers:	1,586.682 for Russell, 2,734.679 for S&P, 22,046.024 for Dow; 70% of initial levels
Downside thresholds:	1,586.682 for Russell, 2,734.679 for S&P, 22,046.024 for Dow; 70% of initial levels
Pricing date:	Feb. 19
Settlement date:	Feb. 24
Underwriter:	Citigroup Global Markets Inc.
Dealer:	Morgan Stanley Wealth Management
Fees:	2%
Cusip:	17328YWB6

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