Published on 4/18/2024 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.01 million callable contingent coupon notes linked to four indexes
By Angela McDaniels
Tacoma, Wash., April 18 – Citigroup Global Markets Holdings Inc. priced $1.01 million of market linked securities – callable with contingent coupon and contingent downside due July 22, 2024 linked to the least performing of the Dow Jones Industrial Average, the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at the rate of 10% per year if each index closes at or above its coupon threshold level, 80% of its initial level, on the observation date for that month.
Beginning in January 2024, the notes are callable at par on any optional redemption date, which occur monthly.
The payout at maturity will be par unless the least performing index finishes below its downside threshold level, 75% of its initial level, in which case investors will lose 1% for every 1% that the least performing index declines from its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the lead agent, and Wells Fargo Securities LLC is agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market linked securities – callable with contingent coupon and contingent downside
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| Underlying indexes: | Dow Jones Industrial Average, S&P 500, Russell 2000 and Nasdaq-100
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| Amount: | $1,008,000
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| Maturity: | July 22, 2024
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| Coupon: | 10% per year, payable monthly if each index closes at or above coupon threshold level on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless least performing index finishes below downside threshold level, in which case 1% loss for every 1% that least performing index declines from initial level
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| Call option: | At par monthly beginning in January 2024
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| Initial levels: | 34,585.35 for Dow, 4,522.79 for S&P, 1,951.269 for Russell and 15,713.28 for Nasdaq
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| Coupon threshold levels: | 27,668.28 for Dow, 3,618.232 for S&P, 1,561.0152 for Russell and 12,570.624 for Nasdaq, or 80% of initial levels
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| Downside thresholds: | 25,939.0125 for Dow, 3,392.0925 for S&P, 1,463.45175 for Russell and 11,784.96 for Nasdaq, or 75% of initial levels
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| Pricing date: | July 17, 2023
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| Settlement date: | July 20, 2023
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities LLC
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| Fees: | 1.325%
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| Cusip: | 17291RHM7
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