Published on 11/27/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $2.87 million autocallable contingent coupon notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 27 – Citigroup Global Markets Holdings Inc. priced $2.87 million of autocallable contingent coupon equity-linked securities due Nov. 20, 2025 linked to the worst performing of the Russell 2000 index,the Nasdaq-100 index and S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 10.25% paid monthly if the worst performing index closes at or above its 80% coupon barrier on the related valuation date, plus any previously unpaid coupons.
The securities will be called automatically starting May 17, 2024 if the price of the worst performing index is greater than or equal to its initial price on any monthly valuation date.
The payout at maturity will be par if the worst performing index gains or declines but not below its 70% barrier. Otherwise, investors will lose 1% for every 1% that the worst performing index declines from its initial level.
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 contingent coupon equity-linked securities
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| Underlying indexes: | Russell 2000 index, Nasdaq-100 index and S&P 500 index
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| Amount: | $2,869,000
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| Maturity: | Nov. 20, 2025
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| Coupon: | 10.25% annual rate, paid monthly if the worst performing index closes at or above its | coupon barrier on the related valuation date, plus any previously unpaid coupons
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| Price: | Par
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| Payout at maturity: | If worst performing index gains or declines but not below 70%% barrier par; 1% loss for every 1% that worst performing index declines from initial level
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| Call: | Automatically at par starting May 17, 2024 if the price of the worst performing index is greater than or equal to its initial price on any monthly valuation date
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| Initial levels: | 1,797.766 for Russell, 15,837.99 for Nasdaq, 4,514.02 for S&P
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| Coupon barriers: | 1,438.213 for Russell, 12,670.392 for Nasdaq, 3,611.216 for S&P, 80% of initial levels
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| Barrier levels: | 1,258.436 for Russell, 11,086.593 for Nasdaq, 3,159.814 for S&P, 70% of initial levels
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| Pricing date: | Nov. 17
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| Settlement date: | Nov. 22
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.4%
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| Cusip: | 17291TAL2
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