New Issue: Citigroup sells $1.18 leveraged market-linked notes tied to MSCI Brazil ETF

By Kiku Steinfeld

Chicago, Oct. 21 – Citigroup Global Markets Holdings Inc. priced $1.18 of 0% market-linked securities – leveraged upside participation to a cap and fixed percentage buffered downside due Oct. 5, 2022 linked to the iShares MSCI Brazil ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The payout at maturity will be par plus 150% of any ETF gain, capped at par plus 32%. If the ETF falls by up to 7.5%, the payout will be par. Otherwise, investors will lose 1% for every 1% decline of the ETF beyond 7.5%.

Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Market-linked securities – leveraged upside participation to a cap and fixed percentage buffered downside
Underlying ETF:	iShares MSCI Brazil ETF
Amount:	$1,175,000
Maturity:	Oct. 5, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 150% of any ETF gain, capped at par plus 32%; if the ETF falls by up to 7.5%, par; otherwise, investors will lose 1% for every 1% decline of the ETF beyond 7.5%
Initial ETF level:	$27.66
Buffer value:	$25.5855, 92.5% of initial level
Pricing date:	Sept. 30
Settlement date:	Oct. 5
Agents:	Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
Fees:	2.82%
Cusip:	17324X2X7

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