$16,900,000 Autocallable Contingent Coupon Equity Linked Securities Linked to the Worst Performing of Amazon.com, Inc. and Apple Inc. due January 26, 2023, priced on July 23, 2021, were issued by Citigroup Global Markets Holdings Inc. The pricing supplement for this note (CUSIP: 17328NSH2) can be found here. The notes had a $5,000 face value and paid a quarterly coupon of $112.50, so long as the notes had not been called and Amazon and Apple all closed above 76% of their July 23, 2021 closing prices on a determination date. If Amazon and Apple closed below 76% of their July 23, 2021 closing prices on a determination date, the notes did not pay a coupon. If not previously called, at maturity, the notes returned $5,000 in principal if Amazon and Apple all closed on the final determination date on January 23, 2023 and above 76% of their July 23, 2021 closing prices. If on January 23, 2023 Amazon and Apple closed below 76% of their July 23, 2021 closing prices, the notes paid reduced principal euqal to $5,000 multiplied by the lowest ratio of Amazon and Apple January 23, 2023 closing prices to their July 23, 2021 closing prices. The notes have matured. They paid two coupons totaling $337.50 and $2,666.93 repayment per $5,000 note. Investors thus suffered capital losses of $2,333.07 and net losses of $1,995.57.† In the aggregate, investors in this note suffered $7,885,779 in capital losses and $6,745,029 in net losses. See Table 1 and Figure 1.
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