New Issue: Citigroup sells $1.34 million autocallable contingent coupon notes on S&P, Russell

By Kiku Steinfeld

Chicago, Oct. 23 – Citigroup Global Markets Holdings Inc. priced $1.34 million of autocallable contingent coupon equity-linked securities due April 5, 2021 linked to the least performing of 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 a rate of 8.25% per year if each index closes at or above its coupon barrier, 70% of its initial level, on the valuation date for that quarter.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly valuation date beginning in March 2020 and ending in December 2020.

If the notes are not called and each index finishes at or above its knock-in level, 70% of its initial level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Autocallable contingent equity-linked securities
Underlying indexes:	S&P 500, Russell 2000
Amount:	$1,337,000
Maturity:	April 5, 2021
Coupon:	8.25% per year, payable each quarter that each index closes at or above coupon barrier on any quarterly valuation date
Price:	Par
Payout at maturity:	If notes are not called and each index finishes at or above knock-in level, par plus final coupon; otherwise, full exposure to decline of least performing index from initial level
Call option:	At par plus coupon if each index closes at or above initial level on any quarterly valuation date beginning in March 2020 and ending in December 2020
Initial levels:	2,976.74 for S&P, 1,523.373 for Russell
Coupon barriers:	2,083.718 for S&P, 1,066.361 for Russell; 70% of initial levels
Knock-in levels:	2,083.718 for S&P, 1,066.361 for Russell; 70% of initial levels
Pricing date:	Sept. 30
Settlement date:	Oct. 3
Underwriter:	Citigroup Global Markets Inc.
Fees:	0.875%
Cusip:	17327TVT0

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