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Published on 11/23/2022 in the Prospect News Structured Products Daily.

New Issue: Citigroup prices $1.18 million 0% dual directional barrier notes on SPDR S&P

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.
Guarantor:Citigroup Inc.
Issue:Dual directional barrier securities
Underlying ETF:SPDR S&P 500 ETF Trust
Amount:$1.18 million
Maturity:Sept. 26, 2024
Coupon:0%
Price:Par
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
Upside leverage:100%
Cap:26%
Final barrier:$341.688, 76% of initial level
Call:Non-callable
Initial level:$449.59
Pricing date:March 22
Settlement date:March 25
Agent:Citigroup Global Markets Inc.
Fees:1.75%
Cusip:17328N3T3

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