Published on 10/16/2023 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1 million autocallable dual directional barrier securities on three indexes
By William Gullotti
Buffalo, N.Y., Oct. 16 – Citigroup Global Markets Holdings Inc. priced $1 million of 0% dual directional barrier securities with autocallable feature due Oct. 9, 2026 linked to the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The securities will be called automatically at par plus a call premium of 22.5% if each index closes at or above its initial level on Oct. 9, 2024.
If the securities are not called and each index’s final level is greater than or equal to its initial level, the payout at maturity will be par plus 150% of the least performing index’s return.
If the least performing index’s final level is less than or equal to its initial level but greater than or equal to its final barrier level, 70% of its initial level, the payout will be par plus the absolute value of that index’s return.
Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Dual directional barrier securities with autocallable feature
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| Underlying indexes: | Russell 2000 index, Nasdaq-100 index, Dow Jones industrial average
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| Amount: | $1 million
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| Maturity: | Oct. 9, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index’s final level is greater than or equal to initial level, par plus 150% of the least performing index’s return; if the least performing index’s final level is less than initial level but greater than or equal to final barrier level, par plus the absolute value of that index’s return; otherwise, 1% loss for every 1% that the worst performer declines from initial level
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| Call: | Automatically at par plus 22.5% call premium if each index closes at or above initial level on Oct. 9, 2024
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| Initial levels: | 33,407.58 for Dow, 1,745.558 for Russell, 14,973.24 for Nasdaq
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| Final barrier levels: | 23,385.306 for Dow, 1,221.891 for Russell, 10,481.268 for Nasdaq; 70% of initial index level
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| Pricing date: | Oct. 6
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| Settlement date: | Oct. 12
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.95%
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| Cusip: | 17291QE75
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