Published on 7/11/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $20 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, July 11 – Citigroup Global Markets Holdings Inc. priced $20 million of trigger callable contingent yield notes with daily coupon observation due March 27, 2026 linked to the least performing of the Nasdaq-100 index, 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 11% if each index closes at or above its coupon barrier, 70% of its initial value, on every trading day during the observation period.
The notes are redeemable in whole, at the issuer’s option, at par plus any coupon otherwise due on any quarterly observation date.
The payout at maturity will be par plus any final coupon otherwise due unless any index finishes below the 60% downside threshold, in which case investors will lose 1% for each 1% decline of the worst performing index 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 callable contingent yield notes with daily coupon observation
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| Underlying indexes: | Nasdaq-100 index, S&P 500 index, Russell 2000 index
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| Amount: | $20 million
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| Maturity: | March 27, 2026
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| Coupon: | 11% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period
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| Price: | Par of $10
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| Payout at maturity: | Par plus any coupon otherwise due unless any index finishes below its downside threshold, in which case 1% loss for each 1% decline of the worst performer from initial value
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| Call: | In whole at par plus any coupon otherwise due on any quarterly observation date
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| Initial values: | 4,365.69 for S&P, 14,867.45 for Nasdaq, 1,863.015 for Russell
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| Coupon barriers: | 3,055.98 for S&P, 10,407.22 for Nasdaq, 1,304.111 for Russell; 70% of initial values
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| Downside thresholds: | 2,619.41 for S&P, 8,920.47 for Nasdaq, 1,117.809 for Russell; 60% of initial values
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| Pricing date: | June 27
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| Settlement date: | June 29
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| Agents: | Citigroup Global Markets Inc. and UBS Financial Services Inc.
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| Fees: | 1%
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| Cusip: | 17331M444
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