New Issue: Citi prices $6.81 million contingent income callable notes S&P, Russell, MSCI EM

By Kiku Steinfeld

Chicago, June 21 – Citigroup Global Markets Holdings Inc. priced $6.81 million of contingent income callable securities due May 25, 2023 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the MSCI Emerging Markets 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 8.25% if each index closes at or above its coupon barrier level, 75% of its initial index level, on each day that quarter.

The notes are callable at par on any contingent coupon payment date.

If each index finishes at or above its downside threshold level, 75% of its initial level, the payout at maturity will be par. 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 a selected dealer.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Contingent income callable securities
Underlying indexes:	S&P 500 index, Russell 2000 index and MSCI Emerging Markets index
Amount:	$6,809,000
Maturity:	May 25, 2023
Coupon:	8.25% per year, payable for each quarter that each index closes at or above coupon barrier on each day that quarter
Price:	Par
Payout at maturity:	If each index finishes at or above downside threshold, par; 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 contingent coupon payment date
Initial levels:	2,215.268 for Russell, 4,155.86 for S&P, 1,330.04 for EM
Coupon barriers:	1,661.451 for Russell, 3,116.895 for S&P, 997.530 for EM; 75% of initial levels
Downside thresholds:	1,661.451 for Russell, 3,116.895 for S&P, 997.530 for EM; 75% of initial levels
Pricing date:	May 21
Settlement date:	May 26
Underwriter:	Citigroup Global Markets Inc.
Selected dealer:	Morgan Stanley Wealth Management
Fees:	2%
Cusip:	17329FET7

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