Published on 11/21/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $3.23 million callable contingent coupon equity notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Nov. 21 – Citigroup Global Markets Holdings Inc. priced $3.23 million of callable contingent coupon equity-linked securities due Nov. 21, 2024 linked to the worst performing of the S&P 500 index, the SPDR S&P Regional Banking ETF and the Russell 2000 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 11% if each underlier closes at or above its coupon barrier level, 67.83% of its initial level, on the relevant observation date.
After three months, the notes will be callable in whole at par plus any coupon due on any monthly call valuation date.
If the notes have not been called and each underlier finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above the 65% barrier level, the payout 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 assets: | Russell 2000 index, S&P 500 index, SPDR S&P Regional Banking ETF
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| Amount: | $3,234,000
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| Maturity: | Nov. 21, 2024
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| Contingent coupon: | 11% per year, payable monthly if each underlier closes at or above coupon barrier on the relevant observation date
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| Price: | Par
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| Payout at maturity: | If all underliers finish at or above coupon barrier level, par plus final coupon; if worst performer finishes below coupon barrier but at or above the 65% barrier level, par; otherwise, 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 monthly call valuation date after three months
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| Initial levels: | $44.53 for ETF, 1,773.757 for Russell, 4,508.24 for S&P
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| Coupon barrier levels: | $30.205 for ETF, 1,203.139 for Russell, 3,057.939 for S&P; 67.83% of initial levels
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| Barrier levels: | $28.945 for ETF, 1,152.942 for Russell, 2,930.356 for S&P; 65% of initial levels
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| Pricing date: | Nov. 16
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| Settlement date: | Nov. 21
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.25%
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| Cusip: | 17291TEH7
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