Published on 12/11/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $15.15 million callable contingent coupon equity notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Dec. 11 – Citigroup Global Markets Holdings Inc. priced $15.15 million of callable contingent coupon equity-linked securities due Nov. 21, 2024 linked to the worst performing of the S&P 500 index, the iShares MSCI EAFE 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 quarterly coupon at an annualized rate of 9.45% if each underlier closes at or above its coupon barrier level, 80% of its initial level, every day that quarter.
After six months, the notes will be callable in whole at par plus any coupon due on any quarterly call valuation date.
If the notes have not been called and each underlier finishes at or above its 60% final barrier, 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 assets: | Russell 2000 index, S&P 500 index, iShares MSCI EAFE ETF
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| Amount: | $15,146,000
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| Maturity: | Nov. 21, 2024
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| Contingent coupon: | 9.45% per year, payable quarterly if each underlier closes at or above coupon barrier every day that quarter
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| Price: | Par
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| Payout at maturity: | If worst performer finishes below coupon barrier but at or above the 60% 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 quarterly call valuation date after six months
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| Initial levels: | $72.35 for ETF, 1,856.04 for Russell, 4,567.18 for S&P
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| Coupon barrier levels: | $57.88 for ETF, 1,484.832 for Russell, 3,653.744 for S&P; 80% of initial levels
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| Barrier levels: | $43.41 for ETF, 1,113.624 for Russell, 2,740.308 for S&P; 60% of initial levels
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| Pricing date: | Dec. 5
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| Settlement date: | Dec. 8
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.25%
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| Cusip: | 17291TDN5
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