By Susanna Moon
Chicago, March 2 – Citigroup Global Markets Holdings Inc. priced $1 million of trigger autocallable contingent yield notes due Feb. 16, 2023 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 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 annual rate of 9.1% if each index closes at or above its 70% coupon barrier on each day during that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly determination date after one year.
The payout at maturity will be par unless either index finishes below its 70% downside threshold, in which case investors will be fully exposed to any losses of the worse performing index.
UBS Financial Services Inc. and Citigroup Global Markets 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: | Euro Stoxx 50 and S&P 500
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| Amount: | $1 million
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| Maturity: | Feb. 16, 2023
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| Coupon: | 9.1% annualized, payable quarterly if each index closes at or above 70% coupon barrier on each day during that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above 70% downside threshold, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly determination date after one year
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| Initial levels: | 2,656 for S&P, 3,368.25 for Stoxx
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| Downside thresholds: | 1,859.20 for S&P, 2,357.775 for Stoxx, 70% of initial levels
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| Pricing date: | Feb. 12
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| Settlement date: | Feb. 15
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| Agents: | UBS Financial Services Inc. and Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17326E324
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