Published on 10/16/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $750,000 market-linked autocalls with contingent downside on indexes
Chicago, Oct. 16 – Citigroup Global Markets Holdings Inc. priced $750,000 of market-linked securities – autocallable with contingent coupon and contingent downside due Oct. 15, 2026 linked to the performance of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a quarterly coupon at an annual rate of 7% if all three indexes close above their 50% coupon barrier values on the related observation date.
The notes will be called at par if all three indexes close above their initial levels on any quarterly potential autocall date starting after six months.
If the notes are not called, the payout at maturity will be par unless any index finishes below its 50% downside threshold, in which case 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: | $750,000
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| Maturity: | Oct. 15, 2026
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| Coupon: | 7% annual rate, paid quarterly if all three indexes close above coupon barrier values on related valuation date
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 50%, in which case 1% loss per 1% decline of worst performer from initial level
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| Call: | At par on any quarterly potential autocall date starting after six months if all three indexes close above their initial levels
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| Initial levels: | 3,588.84 for S&P, 1,692.916 for Russell, 10,791.35 for Nasdaq
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| Coupon barrier levels: | 1,794.42 for S&P, 846.458 for Russell, 5,395.675 for Nasdaq; 50% of initial levels
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| Downside thresholds: | 1,794.42 for S&P, 846.458 for Russell, 5,395.675 for Nasdaq; 50% of initial levels
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| Pricing date: | Oct. 11, 2022
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| Settlement date: | Oct. 14, 2022
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.275%
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| Cusip: | 17330RVX0
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