Published on 8/23/2023 in the Prospect News Structured Products Daily.
New Issue: Citi prices $10.24 million trigger autocallable contingent yield notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Aug. 23 – Citigroup Global Markets Holdings Inc. priced $10.24 million of trigger autocallable contingent yield notes due Aug. 21, 2028 linked to the least performing of 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 9.67% if each index closes at or above its coupon barrier, 70% of its initial value, on the corresponding observation date.
The notes will be redeemed at par plus the coupon if each index closes at or above their initial values on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon, if any, unless either index finishes below the 60% downside threshold, in which case investors will lose 1% for each 1% decline of the worst performer 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 autocallable contingent yield notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $10,236,100
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| Maturity: | Aug. 21, 2028
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| Coupon: | 9.67% per year, payable quarterly if each index closes at or above coupon barrier on the corresponding observation date
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| Price: | Par of $10
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| Payout at maturity: | Par plus coupon, if any, if each index finishes at or above downside threshold; otherwise, 1% loss for each 1% decline of the worst performer from initial value
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| Call: | At par plus the coupon if each index closes at or above initial values on any quarterly observation date after six months
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| Initial values: | 4,404.33 for S&P, 1,871.519 for Russell
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| Coupon barrier: | 3,083.03 for S&P, 1,310.063 for Russell; 70% of initial values
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| Downside threshold: | 2,642.6 for S&P, 1,122.911 for Russell; 60% of initial values
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| Pricing date: | Aug. 16
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| Settlement date: | Aug. 21
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| Agents: | Citigroup Global Markets Inc. and UBS Financial Services Inc.
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| Fees: | 0%
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| Cusip: | 17331M865
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