By Wendy Van Sickle
Columbus, Ohio, Nov. 21 – Citigroup Global Markets Holdings Inc. priced $6.2 million of trigger callable contingent yield notes with daily coupon observation due May 25, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the MSCI Emerging Markets index, 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 if each index closes at or above its coupon barrier, 65% of its initial level, on each day that quarter. The contingent coupon rate is 9% per year.
The notes are callable at par of $10 on each quarterly observation date.
If the notes are not called and each index finishes at or above its 60% downside threshold, 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.
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 callable contingent yield notes with daily coupon observation
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| Underlying indexes: | S&P 500, Russell 2000 and MSCI Emerging Markets
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| Amount: | $6.2 million
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| Maturity: | May 25, 2023
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| Coupon: | 9% per year, payable each quarter that each index closes at or above its coupon barrier on each day that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus any contingent coupon; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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| Call option: | At par on each quarterly observation date
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| Initial levels: | 3,122.03 for S&P, 1,592.341 for Russell and 1,052.12 for MSCI Emerging Markets
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| Coupon barriers: | 2,029.32 for S&P, 1,035.022 for Russell and 683.878 for MSCI Emerging Markets; 65% of initial levels
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| Downside thresholds: | 1,873.218 for S&P, 955.405 for Russell and 631.272 for MSCI Emerging Markets; 60% of initial levels
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| Pricing date: | Nov. 18
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| Settlement date: | Nov. 21
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| Agents: | UBS Financial Services Inc. and Citigroup Global Markets Inc.
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| Fees: | 1.25%
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| Cusip: | 17327P773
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