Published on 2/28/2024 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.29 million autocallable equity-linked securities on three stocks
Chicago, Feb. 28 – Citigroup Global Markets Holdings Inc. priced $1.29 million of autocallable equity-linked securities due Feb. 26, 2026 linked to the common stocks of Alphabet Inc., Deere & Co. and UnitedHealth Group Inc., according to a 424B2 filing with the Securities and Exchange Commission.
Interest will receive a quarterly fixed coupon of 9%. The notes also have the potential for an additional coupon at a 3% rate if all three stocks beat the S&P 500 index on the related quarterly valuation date, meaning that the return of the worst performer is better than the return of the index. Previously unpaid coupons will also be paid.
The securities will be called automatically at par plus any coupon due if each stock closes at or above its initial level, on any quarterly potential autocall date starting after six months.
The payout at maturity will be par if the worst performing stock ends at or above its 60% final barrier. Otherwise, investors will lose 1% for every 1% that the worst performing stock declines from initial level, payable as shares or cash at the issuer’s option.
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 equity-linked securities
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| Underlying stocks: | Alphabet Inc., Deere & Co. and UnitedHealth Group Inc.
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| Amount: | $1,290,000
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| Maturity: | Feb. 26, 2026
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| Coupon: | 9% annual rate, paid quarterly; extra contingent coupon of 3% if all three stocks have a return better than the return of the S&P 500 index on the related quarterly valuation date; previously unpaid coupons will also be paid
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| Price: | Par
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| Payout at maturity: | If worst performing stock finishes at or above final barrier, par; otherwise, 1% loss for every 1% that worst performing stock declines from initial level
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| Call: | Automatically at par plus any coupon due if each stock closes at or above its initial level, on any quarterly potential autocall date starting after six months
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| Initial levels: | $142.55 for Alphabet, $357.29 for Deere, $521.97 for UnitedHealth
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| Final barriers: | $85.530 for Alphabet, $214.374 for Deere, $313.182 for UnitedHealth, 60% of initial levels
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| Equity ratios: | 7.01508 for Alphabet, 2.79885 for Deere, 1.91582 for UnitedHealth
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 26
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17331AQW4
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