Published on 7/10/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $8.57 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, July 10 – Citigroup Global Markets Holdings Inc. priced $8.57 million of trigger callable contingent yield notes with daily coupon observation due Feb. 25, 2028 linked to the least performing of the MSCI EAFE index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly coupon at an annualized rate of 10.05% if each index closes at or above its coupon barrier, 70% of its initial value, on every trading day during the observation period.
The notes are redeemable in whole, at the issuer’s option, at par plus any coupon otherwise due on any quarterly observation date.
The payout at maturity will be par plus any final coupon otherwise due unless any index finishes below the 65% downside threshold, in which case investors will lose 1% for each 1% decline of the worst performing index from its initial value.
Citigroup Global Markets Inc. and UBS Financial Services Inc. are the agents.
| 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: | MSCI EAFE index, S&P 500 index, Russell 2000 index
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| Amount: | $8.57 million
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| Maturity: | Feb. 25, 2028
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| Coupon: | 10.05% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period
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| Price: | Par of $10
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| Payout at maturity: | Par plus any coupon otherwise due unless any index finishes below its downside threshold, in which case 1% loss for each 1% decline of the worst performer from initial value
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| Call: | In whole at par plus any coupon otherwise due on any quarterly observation date
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| Initial values: | 3,991.05 for S&P, 2,069.07 for EAFE, 1,894.675 for Russell
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| Coupon barriers: | 2,793.74 for S&P, 1,448.35 for EAFE, 1,326.273 for Russell; 70% of initial values
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| Downside thresholds: | 2,594.18 for S&P, 1,344.9 for EAFE, 1,231.539 for Russell; 65% of initial values
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| Pricing date: | Feb. 22
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| Settlement date: | Feb. 27
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| Agents: | Citigroup Global Markets Inc. and UBS Financial Services Inc.
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| Fees: | 1.5%
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| Cusip: | 17331D667
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