Published on 9/21/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $375,000 12.75% autocallable contingent coupon equity notes on indexes
Chicago, Sept. 21 – Citigroup Global Markets Holdings Inc. priced $375,000 of autocallable contingent coupon equity linked securities due Sept. 19, 2025 linked to the worst performing of the Nasdaq-100 index, Russell 2000 index and S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 12.75% paid quarterly if the worst performing index closes at or above its 80% coupon barrier on the related valuation date.
The securities will be called automatically at par starting Dec. 16, 2022 if the price of the worst performing index is greater than or equal to its initial price and on any subsequent quarterly valuation date.
The payout at maturity will be par if the worst performing index gains or declines by no more than its 10% buffer. Otherwise, investors will lose 1% for every 1% that the worst performing index declines beyond the buffer.
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 indexes: | Nasdaq-100 index, Russell 2000 index and S&P 500 index
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| Amount: | $375,000
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| Maturity: | Sept. 19, 2025
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| Coupon: | 12.75% annual rate, paid quarterly if the worst performing index closes at or above its 80% coupon barrier on the related valuation date
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| Price: | Par
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| Payout at maturity: | If worst performing index gains or declines by no more than 10% buffer par; 1% loss for every 1% that worst performing index declines beyond buffer
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| Call: | Automatically at par starting Dec. 16, 2022 if the price of the worst performing index is greater than or equal to its initial price and on any subsequent quarterly valuation date
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| Initial levels: | 11,861.38 for Nasdaq, 1,798.189 for Russell, 3,873.33 for S&P
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| Coupon barriers: | 9,489.104 for Nasdaq, 1,438.551 for Russell, 3,098.664 for S&P, 80% of initial levels
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| Buffer levels: | 10,675.242 for Nasdaq, 1,618.370 for Russell, 3,485.997 for S&P, 90% of initial levels
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| Buffer: | 10%
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| Pricing date: | Sept. 16, 2022
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| Settlement date: | Sept. 21, 2022
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 17330RLE3
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