Published on 3/10/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.18 million contingent coupon equity linked autocalls on two SPDR ETFs
New York, March 10 – Citigroup Global Markets Holdings Inc. priced $1.18 million of autocallable contingent coupon equity linked securities due March 8, 2024 linked to the performance of the Health Care Select Sector SPDR Fund and the Utilities Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 9.15% per year, paid quarterly, if the worst performing ETF closes at or above its 75% coupon barrier on the related valuation date, plus any previously unpaid coupons.
The securities will be called automatically at par if the closing price of the worst performing ETF is greater than or equal to its initial price on any quarterly determination date starting Sept. 1, 2023.
If the worst performing ETF finishes at or above its 75% final barrier, the payout at maturity will be par. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that ETF’s initial level or, at the issuer’s option, the cash equivalent.
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: | Autocallable contingent coupon equity linked securities
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| Underlying ETFs: | Health Care Select Sector SPDR Fund and Utilities Select Sector SPDR Fund
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| Amount: | $1,175,000
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| Maturity: | March 8, 2024
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| Coupon: | 9.15% per year, paid quarterly if the worst performing ETF closes at or above its 75% coupon barrier on the related valuation date, plus any previously unpaid coupons
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| Price: | Par
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| Payout at maturity: | If worst performing ETF finishes at or above final barrier, par; otherwise, receive a number of shares of the worst performer equal to that ETF’s equity ratio or, at the issuer’s option, the cash equivalent
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| Call: | Automatically at par if the closing price of the worst performing ETF is greater than or equal to its initial price on any quarterly determination date starting Sept. 1, 2023
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| Initial levels: | $127.17 for Health Care Select Sector SPDR Fund, $65.00 for Utilities Select Sector SPDR Fund
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| Coupon barriers: | $95.378 for Health Care Select Sector SPDR Fund, $48.750 for Utilities Select Sector SPDR Fund, 75% of initial levels
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| Final barriers: | $95.378 for Health Care Select Sector SPDR Fund, $48.750 for Utilities Select Sector SPDR Fund, 75% of initial levels
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| Equity ratios: | 7.86349 for Health Care Select Sector SPDR Fund, 15.38462 for Utilities Select Sector SPDR Fund, shares delivered per security
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| Strike date: | Feb. 28
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| Pricing date: | March 1
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| Settlement date: | March 8
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17331ADF5
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