By Kiku Steinfeld
Chicago, Nov. 23 – Citigroup Global Markets Holdings Inc. priced $1.18 million of 0% dual directional barrier securities due Sept. 26, 2024 linked to the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
If the ETF gains, the payout will be par plus 100% of the ETF return subject to a maximum return of par plus 26%.
The payout will be par plus the absolute value of the return if the ETF declines but ends above the 76% final barrier.
Investors will lose 1% for every 1% that the ETF declines if it finishes below the final barrier, payable in 2.22425 ETF shares or cash at the option of the issuer.
The securities are non-callable.
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: | Dual directional barrier securities
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| Underlying ETF: | SPDR S&P 500 ETF Trust
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| Amount: | $1.18 million
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| Maturity: | Sept. 26, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If ETF gains, par plus 100% of ETF return subject to a maximum return of par plus 26%; par plus absolute value of return if ETF declines but ends above final barrier; otherwise, 1% loss for every 1% that ETF declines, payable in 2.22425 ETF shares or cash at the option of the issuer
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| Upside leverage: | 100%
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| Cap: | 26%
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| Final barrier: | $341.688, 76% of initial level
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| Call: | Non-callable
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| Initial level: | $449.59
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| Pricing date: | March 22
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| Settlement date: | March 25
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328N3T3
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