Published on 5/22/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $625,000 autocallable securities on indexes, ETF
By Kiku Steinfeld
Chicago, May 22 – Citigroup Global Markets Holdings Inc. priced $625,000 of 0% autocallable securities due Jan. 21, 2028 linked to the Nasdaq-100 index, S&P 500 index and iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The securities will be called automatically starting on Jan. 17, 2024 with a premium of a 13.15% annual rate if the worst performing asset closes above its call threshold level and on any subsequent quarterly review date. The call threshold level is initially 100% for each asset, decreasing by 1.25% each quarter to 80% on the final valuation date.
If the worst performing asset gains, the payout at maturity will be par plus the 65.75% premium for the final valuation date. Investors will receive par if the worst performing asset but ends above the 70% barrier and lose 1% for every 1% that the worst performing asset declines if it finishes below its barrier.
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 securities
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| Underlying assets: | Nasdaq-100 index, S&P 500 index and iShares MSCI Emerging Markets ETF
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| Amount: | $625,000
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| Maturity: | Jan. 21, 2028
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing asset finishes at or above its initial value, par plus 65.75%; par if worst performing asset declines but finishes at or above its 70% barrier; otherwise 1% loss for every 1% that worst performing asset declines
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| Call: | Automatically starting on Jan. 17, 2024 with a premium of a 13.15% annual rate if the worst performing asset closes above its call threshold value and on any subsequent quarterly review date
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| Call threshold levels: | 100% of initial levels, decreasing by 1.25% each quarter to 80% on the final valuation date
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| Initial levels: | 11,402.52 for Nasdaq, 3,969.61 for S&P, $40.83 for iShares
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| Final barrier levels: | 7,981.764 for Nasdaq, 2,778.727 for S&P, $28.581 for iShares, 70% of initial level
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| Pricing date: | Jan. 17, 2023
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| Settlement date: | Jan. 20, 2023
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17331CDU8
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