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Published on 5/10/2023 in the Prospect News Structured Products Daily.

New Issue: Citigroup prices $625,000 9.15% autocallable contingent coupon equity notes on ETFs

Chicago, May 10 – Citigroup Global Markets Holdings Inc. priced $625,000 of autocallable contingent coupon equity linked securities due June 24, 2024 linked to the worst performing of the Invesco QQQ Trust, Series 1, SPDR S&P 500 ETF Trust and iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.

Investors will receive a coupon of 9.15% paid quarterly if the worst performing ETF closes at or above its 60% coupon barrier on the related valuation date.

The securities will be called automatically starting Sept. 14, 2022 if the price of the worst performing ETF is greater than or equal to its initial price and on any subsequent quarterly valuation date.

If the worst performing ETF finishes at or above its 60% final barrier the payout at maturity will be par. Otherwise investors will lose 1% loss for every 1% that the worst performing ETF declines, payable in shares or cash at the issuer’s option.

The notes are guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent.

Issuer:Citigroup Global Markets Holdings Inc.
Guarantor:Citigroup Inc.
Issue:Autocallable contingent coupon equity linked securities
Underlying ETFs:Invesco QQQ Trust, Series 1, SPDR S&P 500 ETF Trust and iShares Russell 2000 ETF
Amount:$625,000
Maturity:June 24, 2024
Coupon:9.15% annual rate, paid quarterly if the worst performing ETF closes at or above its 60% coupon barrier on the related valuation date
Price:Par
Payout at maturity:If worst performing ETF finishes at or above final barrier par; 1% loss for every 1% that worst performing ETF declines if it ends below final barrier
Call:Automatically at par starting Sept. 14, 2022 if the price of the worst performing ETF is greater than or equal to its initial price and on any subsequent quarterly valuation date
Initial levels:$275.41 for QQQ, $375.00 for S&P, $170.20 for Russell
Coupon barriers:$165.246 for QQQ, $225.000 for S&P, $102.120 for Russell, 60% of initial levels
Final barriers:$165.246 for QQQ, $225.000 for S&P, $102.120 for Russell, 60% of initial levels
Pricing date:June 14, 2022
Settlement date:June 22, 2022
Agent:Citigroup Global Markets Inc.
Fees:2%
Cusip:17330DHP4

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