Published on 1/11/2024 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.36 million contingent coupon equity linked autocalls on three SPDR ETFs
New York, Jan. 11 – Citigroup Global Markets Holdings Inc. priced $1.36 million of autocallable contingent coupon equity linked securities due Jan. 2, 2026 linked to the Energy Select Sector SPDR Fund, the Health Care Select Sector SPDR Fund and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 9.97%, paid quarterly, if the worst performing ETF closes at or above its 75% coupon barrier on the related valuation date.
The securities will be called automatically at par if the closing price of the worst performing ETF is greater than or equal to its initial price on any quarterly valuation date starting June 28, 2024.
If the worst performing ETF finishes at or above its 70% final barrier, the payout at maturity will be par.
Otherwise, investors will receive a number of shares of the worst performing ETF equal to $1,000 divided by that ETF’s initial price or, at the issuer’s option, the cash equivalent.
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 ETFs: | Energy Select Sector SPDR Fund, Health Care Select Sector SPDR Fund and SPDR S&P 500 ETF Trust
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| Amount: | $1,356,000
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| Maturity: | Jan. 2, 2026
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| Coupon: | 9.97%, paid quarterly if the worst performing ETF closes at or above its 75% coupon barrier on the related valuation date
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| Price: | Par
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| Payout at maturity: | If worst performing ETF finishes at or above final barrier, par; otherwise, receive a number of shares of the worst performer equal to that ETF’s equity ratio or, at the issuer’s option, the cash equivalent
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| Call: | Automatically at par if the closing price of the worst performing ETF is greater than or equal to its initial price on any quarterly valuation date starting June 28, 2024
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| Initial levels: | $83.84 for Energy Select Sector SPDR Fund, $136.38 for Health Care Select Sector SPDR Fund, $475.31 for SPDR S&P 500 ETF Trust
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| Coupon barriers: | $62.880 for Energy Select Sector SPDR Fund, $102.285 for Health Care Select Sector SPDR Fund, $356.483 for SPDR S&P 500 ETF Trust, 75% of initial levels
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| Final barriers: | $58.688 for Energy Select Sector SPDR Fund, $95.466 for Health Care Select Sector SPDR Fund, $332.717 for SPDR S&P 500 ETF Trust, 70% of initial levels
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| Equity ratios: | 11.92748 for Energy Select Sector SPDR Fund, 7.33245 for Health Care Select Sector SPDR Fund, 2.10389 for SPDR S&P 500 ETF Trust, share delivery per security
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| Pricing date: | Dec. 29
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| Settlement date: | Jan. 4
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 2.5%
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| Cusip: | 17331AMT5
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