Published on 10/24/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $20.06 million bearish autocallable contingent coupon notes on indexes
Chicago, Oct. 24 – Citigroup Global Markets Holdings Inc. priced $20.06 million of bearish autocallable contingent coupon equity-linked securities due Oct. 23, 2024 linked to the highest performing of the Russell 2000 index, the Nasdaq-100 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent monthly coupon at an annualized rate of 22.24% if each index’s closing level is less than or equal to the coupon barrier level, 115% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the contingent coupon if each index closes at or below its initial level on any monthly valuation date starting after three months.
If the notes are not called and each index’s final level is less than or equal to its final barrier level, 115% of initial level, the payout at maturity will be par plus the final coupon.
Otherwise, investors will lose 1% for every 1% that the highest-performing index finishes above its initial level.
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: | Bearish autocallable contingent coupon equity-linked securities
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, Dow Jones industrial average
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| Amount: | $20,056,000
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| Maturity: | Oct. 23, 2024
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| Coupon: | 22.24% annually, payable monthly if each index’s closing level is less than or equal to coupon barrier on the corresponding valuation date
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| Price: | Par
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| Payout at maturity: | If each index’s final level is less than or equal to final barrier, par plus final coupon; otherwise, lose 1% for every 1% that highest-performing index finishes above initial level
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| Call: | Automatically at par plus contingent coupon if each index closes at or below initial level on any monthly valuation date starting after three months
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| Initial level: | 14,909.26 for Nasdaq, 1,728.809 for Russell, 33,665.08 for Dow
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| Coupon barrier: | 17,145.649 for Nasdaq, 1,988.130 for Russell, 38,714.842 for Dow; 115% of initial levels
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| Final barrier: | 17,145.649 for Nasdaq, 1,988.130 for Russell, 38,714.842 for Dow; 115% of initial levels
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| Pricing date: | Oct. 18
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| Settlement date: | Oct. 23
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.25%
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| Cusip: | 17291T2S6
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