Published on 8/29/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $270,000 autocallable securities linked to Nasdaq, Dynamic
Chicago, Aug. 29 – Citigroup Global Markets Holdings Inc. priced $270,000 of 0% autocallable securities due Aug. 20, 2027 linked to the worst performing of the Nasdaq-100 index and S&P 500 Dynamic Participation index, according to a 424B2 filing with the Securities and Exchange Commission.
The securities will be called automatically starting on Aug. 18, 2023 with a premium of a 10% annual rate if the worst performing index closes above 95% of its initial value and on any subsequent quarterly review date.
If the worst performing index finishes above the call barrier, investors will receive the 50% premium for the final valuation date. The payout will be par if the worst performing index declines more than 5% but by no more than the 15% buffer.
Otherwise, investors will lose 1% for every 1% that the worst performing index declines beyond its 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 securities
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| Underlying indexes: | Nasdaq-100 index and S&P 500 Dynamic Participation index
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| Amount: | $270,000
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| Maturity: | Aug. 20, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing index finishes above call barrier, par plus 50% premium for final valuation date; par if worst performing index declines more than 5% but finishes at or above its 85% buffer; otherwise 1% loss for every 1% that worst performing index declines beyond the buffer
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| Call: | Automatically starting on Aug. 18, 2023 with a premium of a 10% annual rate if the worst performing index closes above its autocall barrier value and on any subsequent quarterly review date
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| Initial levels: | 13,470.86 for Nasdaq, 649.22 for Dynamic
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| Autocall barrier values: | 12,797.317 for Nasdaq, 616.759 for Dynamic; 95% of initial levels
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| Buffer level: | 11,450.231 for Nasdaq, 551.837 for Dynamic; 85% of initial levels
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| Buffer: | 15%
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| Pricing date: | Aug. 17, 2022
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| Settlement date: | Aug. 22, 2022
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 3.75%
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| Cusip: | 17330R3Q6
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