Published on 2/25/2024 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $930,000 7.8% autocallable contingent coupon notes on two indexes
By Kiku Steinfeld
Chicago, Feb. 26 – Citigroup Global Markets Holdings Inc. priced $930,000 of autocallable contingent coupon equity linked securities due June 30, 2028 linked to the Dow Jones industrial average and S&P 500 Dynamic Participation index, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 7.8% paid monthly if the worst performing index closes at or above its 80% coupon barrier on the related valuation date.
The securities will be called automatically starting June 27, 2024 if the level of the worst performing index is greater than or equal to its initial level on any monthly valuation date.
The payout at maturity will be par if the worst performing index gains or declines by no more than its 15% buffer. Otherwise investors will lose 1% for every 1% that the worst performing index declines beyond the buffer.
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 contingent coupon equity linked securities
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| Underlying indexes: | Dow Jones industrial average and S&P 500 Dynamic Participation index
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| Amount: | $930,000
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| Maturity: | June 30, 2028
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| Coupon: | 7.8% paid monthly if the worst performing index closes at or above its 80% coupon barrier on the related valuation date
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| Price: | Par
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| Payout at maturity: | If worst performing index gains or declines by no more than 15% buffer par; 1% loss for every 1% that worst performing index declines beyond buffer
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| Call: | Automatically starting June 27, 2024 if the level of the worst performing index is greater than or equal to its initial level on any monthly valuation date
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| Initial levels: | 33,926.74 for Dow, 733.88 for S&P Dynamic Participation index
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| Coupon barriers: | 27,141.392 for Dow, 587.104 for S&P Dynamic Participation index, 80% of initial levels
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| Buffer: | 15%
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| Buffer levels: | 28,837.729 for Dow, 623.798 for S&P Dynamic Participation index, 85% of initial levels
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| Pricing date: | June 27, 2023
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| Settlement date: | June 30, 2023
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17331HZ25
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