New Issue: Citi prices $41 million trigger callable contingent yield notes on three indexes

By Marisa Wong

Los Angeles, Aug. 19 – Citigroup Global Markets Holdings Inc. priced $41 million of trigger callable contingent yield notes with daily coupon observation due Aug. 21, 2024 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Each quarter, the notes will pay a contingent coupon at an annualized rate of 8.5% if each index closes at or above its coupon barrier level, 70% of its initial level, on each trading day during that quarter.

The notes will be callable at par of $10 plus any contingent coupon due on any quarterly coupon payment date prior to maturity.

If the notes have not been called and each index finishes at or above its downside threshold level, 65% of its initial level, the payout at maturity will be par plus the final coupon, if any. Otherwise, investors will lose 1% for every 1% decline of the least performing index.

Citigroup Global Markets Inc. and UBS Financial Services Inc. are the agents.

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, Nasdaq-100 index
Amount:	$41 million
Maturity:	Aug. 21, 2024
Coupon:	8.5% per year, payable each quarter that each index closes at or above its coupon barrier on each trading day during that quarter
Price:	Par of $10
Payout at maturity:	Par plus final coupon, if any, unless any index finishes below downside threshold, in which case 1% loss for every 1% decline of worst performing index
Call option:	At par plus any coupon due on any quarterly coupon payment date prior to maturity
Initial levels:	4,479.71 for S&P, 2,203.415 for Russell, 15,140.77 for Nasdaq
Coupon barriers:	3,135.80 for S&P, 1,542.391 for Russell, 10,598.54 for Nasdaq; 70% of initial levels
Downside thresholds:	2,911.81 for S&P, 1,432.220 for Russell, 9,841.50 for Nasdaq; 65% of initial levels
Pricing date:	Aug. 16
Settlement date:	Aug. 19
Agents:	Citigroup Global Markets Inc. and UBS Financial Services Inc.
Fees:	1%
Cusip:	17329L416

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