New Issue: Citi sells $704,000 autocallable contingent coupon equity notes on three ETFs

By Kiku Steinfeld

Chicago, June 16 – Citigroup Global Markets Holdings Inc. priced $704,000 of autocallable contingent coupon equity-linked securities due June 3, 2024 linked to the worst performing of the Energy Select Sector SPDR Fund, the iShares Silver Trust and the SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The notes will pay a contingent quarterly coupon at an annual rate of 15.25% if each ETF closes at or above the coupon barrier level, 70% of the initial level, on the valuation date for that period.

The notes will be automatically called at par plus the coupon if each ETF closes at or above its initial level on any quarterly valuation date.

If the notes are not called, the payout at maturity will be par plus any coupon unless any ETF finishes below the 70% barrier level, in which case investors will lose 1% for each 1% decline of the least-performing ETF, payable in shares or cash at the issuer’s option.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Autocallable contingent coupon equity-linked securities
Underlying funds:	Energy Select Sector SPDR Fund, the iShares Silver Trust and the SPDR S&P Biotech ETF
Amount:	$704,000
Maturity:	June 3, 2024
Coupon:	15.25% annualized rate, payable quarterly if each ETF closes at or above coupon barrier level, on valuation date for that period
Price:	Par
Payout at maturity:	Par plus the coupon unless any ETF finishes below the barrier level, in which case 1% loss for each 1% decline of the least-performing ETF, payable in shares or cash at the issuer’s option
Call:	At par plus coupon if each ETF closes at or above its initial price on any quarterly observation date
Initial levels:	$55.90 for Energy, $21.16 for Silver, $115.05 for Biotech
Coupon barrier levels:	$39.130 for Energy, $14.812 for Silver, $80.535 for Biotech; 70% of initial levels
Final barrier levels:	$39.130 for Energy, $14.812 for Silver, $80.535 for Biotech; 70% of initial levels
Pricing date:	Nov. 29, 2021
Settlement date:	Dec. 2, 2021
Underwriter:	Citigroup Global Markets Inc.
Fees:	0.65%
Cusip:	17329UEZ0

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