New Issue: Citi sells $2.55 million barrier securities with upside reset feature on Dow, S&P

By William Gullotti

Buffalo, N.Y., Aug. 24 – Citigroup Global Markets Holdings Inc. priced $2.55 million of barrier securities with upside reset feature due Aug. 26, 2027 linked to the performance of the Dow Jones industrial average and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

A reset event will occur if, on any trading day during the period from the pricing date to and including Aug. 21, 2023, the closing value of the laggard index is less than the reset barrier value, which is 85% of the initial index value.

The upside barrier value will be the initial value if a reset event has not occurred. If a reset event has occurred, the upside barrier value will be equal to the 85% reset barrier value.

If the final value of the laggard index is greater than its upside barrier value, the payout at maturity will be par plus 110% of the underlying upside return of that index. The underlying upside return is (i) the final value minus the upside barrier value, divided by (ii) the initial value.

If the final value of the laggard index is less than or equal to its upside barrier value but greater than or equal to its downside barrier value, which is 70% of the initial value, the payout will be par.

If the final value is less than the downside barrier value, investors will be fully exposed to the decline of the laggard index from its initial value.

Citigroup Global Markets Inc. is the agent.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Barrier securities with upside reset feature
Underlying indexes:	S&P 500 index, Dow Jones industrial average
Amount:	$2,547,000
Maturity:	Aug. 26, 2027
Coupon:	0%
Price:	Par
Payout at maturity:	If the final value of the laggard index is greater than its upside barrier value, par plus 110% of the underlying upside return; if the final value of the laggard index is less than or equal to its upside barrier value but greater than or equal to its downside barrier value, par; if the final value of the laggard index is less than its downside barrier value, full exposure to the decline of that index from its initial value
Underlying upside return:	Final underlying value minus upside barrier value, divided by initial underlying value
Reset event:	Occurs if, on any trading day during the period from the pricing date to and including Aug. 21, 2023, the closing value of the laggard index is less than the reset barrier value
Upside barrier value:	Initial value if a reset event has not occurred; if a reset event has occurred, 85% of the initial value
Initial values:	33,706.74 for Dow, 4,228.48 for S&P
Reset barrier values:	28,650.729 for Dow, 3,594.208 for S&P; 85% of initial levels
Downside barrier values:	23,594.718 for Dow, 2,959.936 for S&P; 70% of initial levels
Pricing date:	Aug. 19
Settlement date:	Aug. 26
Agent:	Citigroup Global Markets Inc.
Fees:	3%
Cusip:	17330R2H7

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