New Issue: Citi prices $10 million trigger callable contingent yield notes on three indexes

By Kiku Steinfeld

Chicago, March 1 – Citigroup Global Markets Holdings Inc. priced $10 million of trigger callable contingent yield notes with daily coupon observation due May 30, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, 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 a rate of 10.5% per year if each index closes at or above its coupon barrier, 65% of its initial level, on each day that quarter.

The notes are callable at par of $10 plus any coupon due on any quarterly coupon payment date.

If the notes are not called and each index finishes at or above its downside threshold, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.

Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the agent.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Trigger callable contingent yield notes with daily coupon observation
Underlying indexes:	S&P 500 index, Russell 2000 index and Dow Jones industrial average
Amount:	$10,000,000
Maturity:	May 30, 2023
Coupon:	10.5% per year, payable each quarter that each index closes at or above its coupon barrier on each day that quarter
Price:	Par of $10
Payout at maturity:	If each index finishes at or above downside threshold, par; otherwise, full exposure to decline of least-performing index below its initial level
Call option:	At par plus any coupon due on any quarterly coupon payment date
Initial levels:	3,925.43 for S&P, 2,284.381 for Russell, 31,961.86 for Dow
Coupon barriers:	2,551.53 for S&P, 1,484.848 for Russell, 20,775.21 for Dow; 65% of initial levels
Downside thresholds:	2,355.26 for S&P, 1,370.629 for Russell, 19,177.12 for Dow; 60% of initial levels
Pricing date:	Feb. 24
Settlement date:	Feb. 26
Underwriter:	Citigroup Global Markets Inc.
Agent:	UBS Financial Services Inc.
Fees:	1%
Cusip:	17329B814

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