Published on 1/5/2024 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $18 million contingent market-linked autocalls on three indexes
By Wendy Van Sickle
Columbus, Ohio, Jan. 5 – Citigroup Global Markets Holdings Inc. sold $18 million of market-linked securities – autocallable with contingent coupon and contingent downside due Dec. 30, 2027 linked to the Nasdaq-100 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly interest payment at the rate of 8.25% per year if each index closes at or above the coupon barrier level, 75% of the initial level, on the observation date for that period.
The notes will be automatically called at par plus coupon if each index closes at or above initial levels on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon if each index finishes at or above its 75% threshold level.
Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.
| 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 indexes: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $18,001,000
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| Maturity: | Dec. 30, 2027
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| Coupon: | 8.25% annual rate, payable quarterly if all indexes close at or above their coupon barrier levels on the relevant observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each index finishes at or above threshold level; otherwise, full exposure to decline of worst performer from initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial levels on any quarterly observation date after six months
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| Initial levels: | 4,783.35 for S&P, 2,058.335 for Russell, 16,898.47 for Nasdaq
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| Coupon barriers: | 3,587.5125 for S&P, 1,543.75125 for Russell, 12,673.8525 for Nasdaq; 75% of initial levels
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| Threshold levels: | 3,587.5125 for S&P, 1,543.75125 for Russell, 12,673.8525 for Nasdaq; 75% of initial levels
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| Pricing date: | Dec. 28
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| Settlement date: | Jan. 3
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.325%
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| Cusip: | 17291T4S4
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