Published on 5/17/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.25 million market-linked autocalls with contingent downside on indexes
By William Gullotti
Buffalo, N.Y., May 17 – Citigroup Global Markets Holdings Inc. priced $1.25 million of market-linked securities – autocallable with contingent downside due May 18, 2026 linked to the performance of 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 notes are guaranteed by Citigroup Inc.
The notes will be called at par plus an annualized call premium of 12.7% if each index closes at or above its initial level on any semiannual observation date after one year.
If the notes are not called, the payout at maturity will be par unless any index finishes below its 60% 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 downside
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| Underlying indexes: | Dow Jones industrial average, Russell 2000 index, Nasdaq-100 index
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| Amount: | $1.25 million
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| Maturity: | May 18, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 40%, in which case 1% loss per 1% decline of worst performer from initial level
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| Call: | At par plus an annualized call premium of 12.7% if each index closes at or above its initial level on any semiannual observation date after one year
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| Initial levels: | 33,300.62 for Dow, 1,740.849 for Russell, 13,340.18 for Nasdaq
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| Downside thresholds: | 19,980.372 for Dow, 1,044.5094 for Russell, 8,004.108 for Nasdaq; 60% of initial levels
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| Pricing date: | May 12
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| Settlement date: | May 17
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.575%
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| Cusip: | 17331HSS6
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