New Issue: Citigroup prices $13.81 million contingent income callable notes linked to indexes

By Wendy Van Sickle

Columbus, Ohio, Dec. 19 – Citigroup Global Markets Holdings Inc. priced $13.81 million of contingent income callable securities due Dec. 17, 2021 linked to the worst performing of the Nikkei 225 index, the MSCI Emerging Markets index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Each quarter, the notes pay a contingent coupon at an annual rate of 11.75% if each index closes at or above its coupon barrier level, 75% of its initial index level, on each day during that quarter.

The notes are callable at par on any quarterly determination date.

If each index finishes at or above its trigger level, 65% of its initial level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.

Citigroup Global Markets Inc. is the agent. Distribution is through Morgan Stanley Wealth Management.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Contingent income callable securities
Underlying indexes:	Nikkei 225 index, MSCI Emerging Markets index and S&P 500 index
Amount:	$13,814,000
Maturity:	Dec. 17, 2021
Coupon:	11.75% per year, payable quarterly if each index closes at or above coupon barrier level on each day during that quarter
Price:	Par
Payout at maturity:	If each index finishes at or above trigger level, par plus final contingent coupon, if any; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
Call option:	At par on any quarterly determination date
Initial levels:	971.9 for MSCI Emerging Markets, 2,599.95 for S&P and 21,374.83 for Nikkei
Coupon barriers:	728.925 for MSCI Emerging Markets, 1,949.963 for S&P and 16,031.123 for Nikkei, 75% of initial levels
Trigger levels:	631.735 for MSCI Emerging Markets, 1,689.968 for S&P and 13,893.64 for Nikkei, 65% of initial levels
Pricing date:	Dec. 14
Settlement date:	Dec. 19
Agent:	Citigroup Global Markets Inc.
Distribution:	Morgan Stanley Wealth Management
Fees:	2.5%
Cusip:	17326YKC9

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