Published on 11/10/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.01 million callable contingent coupon equity notes on Nasdaq, Russell, S&P
By William Gullotti
Buffalo, N.Y., Nov. 10 – Citigroup Global Markets Holdings Inc. priced $2.01 million of callable contingent coupon equity-linked securities due Nov. 3, 2028 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent monthly coupon at an annualized rate of 9.15% if each index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes will be callable in whole at par plus any coupon due on any quarterly call valuation date after one year.
If the notes are not redeemed early, the payout will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above 55% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
Citigroup Global Markets Inc. is the underwriter.
| 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 indexes: | Russell 2000 index, S&P 500 index, Nasdaq-100 index
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| Amount: | $2,005,000
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| Maturity: | Nov. 3, 2028
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| Contingent coupon: | 9.15% per year, payable monthly if each index closes at or above coupon barrier on the valuation date for that period
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| Price: | Par
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| Payout at maturity: | If all indexes finish at or above coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above final barrier, par; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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| Call option: | In whole at par plus any coupon due on any quarterly call valuation date after one year
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| Initial levels: | 4,193.8 for S&P, 14,409.78 for Nasdaq, 1,662.282 for Russell
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| Coupon barrier levels: | 2,935.66 for S&P, 10,086.846 for Nasdaq, 1,163.597 for Russell; 70% of initial levels
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| Barrier levels: | 2,306.59 for S&P, 7,925.379 for Nasdaq, 914.255 for Russell; 55% of initial levels
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| Pricing date: | Oct. 31
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| Settlement date: | Nov. 3
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17291T2Y3
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