Published on 8/10/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $192,000 autocallable buffer securities linked to Russell, S&P
Chicago, Aug. 10 – Citigroup Global Markets Holdings Inc. priced $192,000 of 0% autocallable buffer securities due July 31, 2028 linked to the worst performing of the Russell 2000 index and S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically on potential annual valuation dates at an annual 8.55% premium of if the worst performing index closes above its premium threshold value. The initial premium is 100% of the initial levels, and declines 2.5% each year.
At maturity, the payout will be par plus 42.75% if both indexes finish above 90% of their initial levels.
Investors will receive par if the worst performing index declines more than 10% but ends at or above its 15% buffer and they 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: | Autocallable buffer securities
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| Underlying indexes: | Russell 2000 index and S&P 500 index
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| Amount: | $192,000
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| Maturity: | July 31, 2028
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 42.75% if both indexes finish above 90% of initial values; par if worst performing index declines more than 10% but not more than 15%; otherwise, 1% loss for every 1% that worst performing index declines beyond buffer
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| Call: | Automatically on annual redemption valuation dates at an annual 8.55% premium if the worst performing index closes above its premium threshold value; premium threshold value is initially 100% but decreases 2.5% each year
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| Initial levels: | 4,566.75 for S&P, 1,980.355 for Russell
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| Buffer levels: | 3,881.738 for S&P, 1,683.302 for Russell, 85% of initial levels
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| Final premium values: | 4,110.075 for S&P, 1,782.32 for Russell, 90% of initial levels
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| Buffer: | 15%
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| Pricing date: | July 26
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| Settlement date: | July 31
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 3.3%
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| Cusip: | 17291RKP6
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