Published on 7/11/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $770,000 contingent coupon autocallables linked to SPDR funds
By Angela McDaniels
Tacoma, Wash., July 11 – Citigroup Global Markets Holdings Inc. priced $770,000 of market-linked securities – autocallable with contingent coupon and contingent downside due July 29, 2025 linked to the Technology Select Sector SPDR fund, the Consumer Staples Select Sector SPDR fund and the Health Care Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at the rate of 8.75% per year if each fund closes at or above its coupon barrier level, 75% of its initial share price, on the determination date for that month.
Beginning in January 2023, the notes will be automatically called at par if each fund closes at or above its initial share price on a quarterly call determination date.
The payout at maturity will be par unless the least-performing fund finishes below its downside threshold level, 70% of its initial share price, in which case investors will be exposed to the decline of the least-performing fund.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Holdings Inc. is the lead agent with Wells Fargo Securities, LLC as agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market-linked securities – autocallable with contingent coupon and contingent downside
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| Underlying ETFs: | Technology Select Sector SPDR fund, Consumer Staples Select Sector SPDR fund and Health Care Sector SPDR fund
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| Amount: | $770,000
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| Maturity: | July 29, 2025
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| Coupon: | 8.75% per year, payable monthly if each fund closes at or above coupon barrier level on determination date for that month
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| Price: | Par
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| Payout at maturity: | Par unless least-performing fund finishes below downside threshold level, in which case investors will be exposed to decline of least-performing fund
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| Call: | Beginning in January 2023, automatically at par if each fund closes at or above initial share price on a quarterly call determination date
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| Initial share prices: | $139.91 for technology fund, $73.89 for consumer staples fund and $132.00 for health care fund
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| Coupon barrier levels: | $104.9325 for technology fund, $55.4175 for consumer staples fund and $99.00 for health care fund, or 75% of initial share prices
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| Downside thresholds: | $97.937 for technology fund, $51.723 for consumer staples fund and $92.40 for health care fund, or 70% of initial share prices
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| Pricing date: | July 27, 2022
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| Settlement date: | Aug. 1, 2022
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| Agents: | Citigroup Global Markets Holdings Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.225%
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| Cusip: | 17330PCH0
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