New Issue: Citigroup sells $1 million market-linked securities on best of two baskets

By Sarah Lizee

Olympia, Wash., Feb. 21 – Citigroup Global Markets Holdings Inc. priced $1 million of 0% market-linked securities due Feb. 21, 2024 linked to the best performing of two baskets, one focusing on equities and one focusing on bonds, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup, Inc.

The components of the equities-focused basket are the S&P 500 index with a 39% weight, the Euro Stoxx 50 index with a 9.75% weight, the Nikkei 225 index with a 6.5% weight, the MSCI Emerging Markets index with a 9.75% weight, the iShares 20+ Year Treasury Bond ETF with an 8.75% weight, the iShares Core U.S. Aggregate Bond ETF with a 3.5% weight, the iShares iBoxx $ High Yield Corporate Bond ETF with a 3.5% weight, the iShares J.P. Morgan USD Emerging Markets Bond ETF with a 1.75% weight, gold with an 8.75% weight and crude oil futures with an 8.75% weight.

The components of the bond-focused basket are the S&P 500 index with a 10.5% weight, the Euro Stoxx 50 index with a 2.625% weight, the Nikkei 225 index with a 1.75% weight, the MSCI Emerging Markets index with a 2.625% weight, the iShares 20+ Year Treasury Bond ETF with a 32.5% weight, the iShares Core U.S. Aggregate Bond ETF with a 13% weight, the iShares iBoxx $ High Yield Corporate Bond ETF with a 13% weight, the iShares J.P. Morgan USD Emerging Markets Bond ETF with a 6.5% weight, gold with an 8.75% weight and crude oil futures with an 8.75% weight.

The payout at maturity will be par plus 155% of any basket gain of the best-performing basket.

Investors will be exposed to any loss of the best-performing basket.

Citigroup Global Markets Inc. is the agent.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup, Inc.
Issue:	Market-linked securities
Equity-focused basket components:	S&P 500 index (39% weight), Euro Stoxx 50 index (9.75% weight), Nikkei 225 index (6.5% weight), MSCI Emerging Markets index (9.75% weight), iShares 20+ Year Treasury Bond ETF (8.75% weight), iShares Core U.S. Aggregate Bond ETF (3.5% weight), iShares iBoxx $ High Yield Corporate Bond ETF (3.5% weight), iShares J.P. Morgan USD Emerging Markets Bond ETF (1.75% weight), gold (8.75% weight) and crude oil futures (8.75% weight)
Bond-focused basket components:	S&P 500 index (10.5% weight), Euro Stoxx 50 index (2.625% weight), Nikkei 225 index (1.75% weight), MSCI Emerging Markets index (2.625% weight), iShares 20+ Year Treasury Bond ETF (32.5% weight), iShares Core U.S. Aggregate Bond ETF (13% weight), iShares iBoxx $ High Yield Corporate Bond ETF (13% weight), iShares J.P. Morgan USD Emerging Markets Bond ETF (6.5% weight), gold (8.75% weight) and crude oil futures (8.75% weight)
Amount:	$1 million
Maturity:	Feb. 21, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.55 times any gain of best-performing basket; exposure to any loss of best-performing basket
Initial levels:	2,775.60 for S&P, 3,241.25 for Stoxx, 20,900.63 for Nikkei, 1,030.64 for Emerging Markets, $121.98 for Treasury Bond ETF, $107.30 for U.S. Aggregate Bond ETF, $85.40 for iBoxx High Yield Corporate Bond ETF, $108.23 for Emerging Market Bond ETF, $1,316.55 for gold, $55.59 for crude oil
Pricing date:	Feb. 15
Settlement date:	Feb. 21
Agent:	Citigroup Global Markets Inc.
Fees:	0%
Cusip:	17326YEE2

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