Published on 2/22/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1 million dual directional buffer securities linked to Nasdaq, S&P
Chicago, Feb. 22 – Citigroup Global Markets Holdings Inc. priced $1 million of 0% dual directional buffer securities with autocallable feature due May 8, 2024 linked to the worst performing of the Nasdaq-100 index and S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If both indexes close above their initial levels on May 3, 2023, the notes will be called at par plus 11.15%.
If the worst performing index gains, the payout will be par plus 150% of that index’s return.
The payout will be par plus the absolute value of the worst performing index return if the worst performing index declines but ends at or above the 85% buffer.
Otherwise, investors will lose 1% for every 1% that the worst performing index declines beyond the buffer.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Dual directional buffer securities with autocallable feature
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| Underlying indexes: | Nasdaq-100 index and S&P 500 index
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| Amount: | $1,000,000
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| Maturity: | May 8, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing index gains, par plus 150% of that index return; par plus absolute value of worst performing index return if worst performing index declines but ends at or above its 85% buffer level; otherwise, 1% loss for every 1% that worst performing index declines beyond 15%
|
| Call: | At par plus 11.15% if both indexes close above initial levels on May 3, 2023
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| Initial levels: | 13,089.90 for Nasdaq, 4,175.48 for S&P
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| Upside leverage: | 150%
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| Buffer: | 15%
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| Buffer levels: | 11,126.415 for Nasdaq, 3,549.158 for S&P, 85% of initial levels
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| Pricing date: | May 3, 2022
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| Settlement date: | May 6, 2022
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17330FNR8
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