Published on 8/15/2023 in the Prospect News Structured Products Daily.
New Issue: Citi prices $4.41 million callable contingent coupon equity linked notes on indexes, ETF
New York, Aug. 15 – Citigroup Global Markets Holdings Inc. priced $4.41 million of callable contingent coupon equity linked securities due Aug. 13, 2026 linked to the Russell 2000 index, the S&P 500 index and the SPDR Euro Stoxx 50 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 11.1%, paid monthly, if the worst performing asset closes at or above its 75% coupon barrier on the related valuation date.
The securities may be called at par on any quarterly review date.
The payout at maturity will be par if the worst performing asset finishes at or above 70% of initial level. Otherwise, investors will lose 1.428571% for every 1% that the worst performing asset declines beyond 30%.
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: | Callable contingent coupon equity linked securities
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| Underlying assets: | Russell 2000 index, S&P 500 index and SPDR Euro Stoxx 50 ETF
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| Amount: | $4,411,000
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| Maturity: | Aug. 13, 2026
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| Coupon: | 11.1%, paid monthly if the worst performing asset closes at or above its 75% coupon barrier on the related valuation date
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| Price: | Par
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| Payout at maturity: | If worst performing asset finishes at or above its final buffer, par; otherwise, 1.428571% loss for every 1% that worst performing asset declines beyond the buffer
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| Call option: | At par on any quarterly review date
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| Initial levels: | 1,930.767 for Russell 2000 index, 4,467.71 for S&P 500 index, $45.39 for SPDR Euro Stoxx 50 ETF
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| Coupon barriers: | 1,448.075 for Russell 2000 index, 3,350.783 for S&P 500 index, $34.043 for SPDR Euro Stoxx 50 ETF, 75% of initial levels
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| Buffer: | 30%
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| Final buffers: | 1,351.537 for Russell 2000 index, 3,127.397 for S&P 500 index, $31.773 for SPDR Euro Stoxx 50 ETF, 70% of initial levels
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| Pricing date: | Aug. 9
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| Settlement date: | Aug. 14
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.4%
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| Cusip: | 17291Q2Q6
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