By William Gullotti
Buffalo, N.Y., June 24 – Citigroup Global Markets Holdings Inc. priced $2.37 million of trigger autocallable contingent yield notes due June 23, 2032 linked to the SPDR S&P 500 ETF Trust and the iShares Russell 2000 Value ETF, 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 9.4% if each fund closes at or above its coupon barrier, 70% of its initial value, on the observation date for that quarter.
The notes will be redeemed at par of $10 plus the coupon if both ETFs close at or above their initial values on any quarterly observation date after one year.
If each ETF finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its 50% downside threshold, the payout will be par. Otherwise, investors will be fully exposed to the 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.
|
| Issue: | Trigger autocallable contingent yield notes
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| Underlying ETFs: | SPDR S&P 500 ETF Trust, iShares Russell 2000 Value ETF
|
| Amount: | $2,367,000
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| Maturity: | June 23, 2032
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| Coupon: | 9.4% per year, payable each quarter that each fund closes at or above coupon barrier on observation date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus coupon if each ETF finishes at or above coupon barrier; if worst performer finishes below coupon barrier but at or above downside threshold, par; otherwise, 1% loss for each 1% decline of the worst performer from initial value
|
| Call: | At par plus the coupon if both ETFs close at or above their initial values on any quarterly observation date after one year
|
| Initial values: | $365.86 for SPDR, $134.84 for iShares
|
| Coupon barriers: | $256.10 for SPDR, $94.39 for iShares; 70% of initial values
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| Downside thresholds: | $182.93 for SPDR, $67.42 for iShares; 50% of initial values
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| Pricing date: | June 17
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| Settlement date: | June 23
|
| Agents: | Citigroup Global Markets Inc. and UBS Financial Services Inc.
|
| Fees: | None
|
| Cusip: | 17330N120
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