Published on 3/25/2024 in the Prospect News Structured Products Daily.
New Issue: Citi prices $41.34 million trigger callable contingent yield notes on Stoxx, Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, March 25 – Citigroup Global Markets Holdings Inc. priced $41.34 million of trigger callable contingent yield notes with daily coupon observation due Dec. 24, 2026 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 10% if each index closes at or above its coupon barrier level, 70% of its initial level, on each trading day during the observation period.
The notes will be callable after six months at par of $10 plus any coupon otherwise due on any quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its downside threshold level, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the least-performing index from its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the selling agent.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Trigger callable contingent yield notes with daily coupon observation
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Underlying indexes: | Euro Stoxx 50 index, Russell 2000 index, S&P 500 index
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Amount: | $41,344,500
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Maturity: | Dec. 24, 2026
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Coupon: | 10% per year, payable quarterly if each index closes at or above its coupon barrier level on each trading day during the observation period
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Price: | Par of $10
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Payout at maturity: | Par unless any index finishes below downside threshold level, in which case 1% loss for every 1% decline of worst performing index from initial level
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Call option: | After six months at par plus any coupon due on any quarterly observation date other than final one
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Initial levels: | 2,074.88 for Russell, 5,224.62 for S&P, 5,000.31 for Stoxx
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Coupon barrier levels: | 1,452.416 for Russell, 3,657.23 for S&P, 3,500.22 for Stoxx; 70% of initial levels
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Knock-in levels: | 1,244.928 for Russell, 3,134.77 for S&P, 3,000.19 for Stoxx; 60% of initial levels
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Pricing date: | March 20
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Settlement date: | March 25
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Agents: | UBS Financial Services Inc. and Citigroup Global Markets Inc.
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Fees: | 1%
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Cusip: | 17331N665
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