New York, July 19 – Citigroup Global Markets Holdings Inc. priced $973,000 of 0% autocallable buffer securities due July 14, 2028 linked to the Russell 2000 index and the S&P 500 Dynamic Participation index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically at par plus an 8.7% annualized call premium if each index closes at or above its call level on any quarterly valuation date after one year. Call level starts at 100% of initial level and steps down by 50 basis points with each subsequent valuation.
If the worst performing index finishes at or above 92% of its initial level, the payout at maturity will be par plus 43.5%.
Investors will receive par if the worst performing index declines by no more than 15% and will lose 1% for every 1% that the worst performing index declines beyond 15%.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable buffer securities
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| Underlying indexes: | Russell 2000 index and S&P 500 Dynamic Participation index
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| Amount: | $973,000
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| Maturity: | July 14, 2028
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing index finishes at or above 92% of its initial value, par plus 43.5%; par if worst performing index declines by more than 8% but finishes at or above its 85% buffer level; otherwise, 1% loss for every 1% that worst performing index declines beyond 15%
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| Call: | Automatically at par plus an 8.7% annualized call premium if each index closes at or above its call level on any quarterly valuation date after one year; call level starts at 100% of initial level and steps down by 50 bps with each subsequent valuation.
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| Initial levels: | 1,913.361 for Russell 2000 index, 744.08 for S&P 500 Dynamic Participation index
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| Buffer: | 15%
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| Buffer levels: | 1,626.357 for Russell 2000 index, 632.468 for S&P 500 Dynamic Participation index, 85% of initial levels
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| Pricing date: | July 11
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| Settlement date: | July 14
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17291RLL4
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