Published on 4/18/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $3.84 million contingent market-linked autocalls with memory on indexes
By William Gullotti
Buffalo, N.Y., April 18 – Citigroup Global Markets Holdings Inc. sold $3.84 million of 0% market-linked securities – autocallable with contingent coupon with memory feature and contingent downside due Jan. 28, 2027 linked to the Dow Jones industrial average, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly interest payment at the rate of 9.5% per year if each index closes at or above the coupon barrier level, 75% of the initial level, on the observation date for that period. Previously unpaid interest payments, if any, will be automatically included whenever an interest payment is paid.
The notes will be automatically called at par plus coupon if each index closes at or above initial levels on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon if each index finishes at or above its 75% threshold level.
Otherwise, 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 with memory feature and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Dow Jones industrial average
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| Amount: | $3,835,000
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| Maturity: | Jan. 28, 2027
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| Coupon: | 9.5% annual rate, payable quarterly if all indexes close at or above their coupon barrier levels on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons
|
| Price: | Par
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| Payout at maturity: | Par plus final coupon if each index finishes at or above threshold level; otherwise, full exposure to decline of worst performer from initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial levels on any quarterly observation date after six months
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| Initial levels: | 4,076.6 for S&P, 1,931.945 for Russell, 34,086.04 for Dow
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| Coupon barriers: | 3,057.45 for S&P, 1,448.95875 for Russell, 25,564.53 for Dow; 75% of initial levels
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| Threshold levels: | 3,057.45 for S&P, 1,448.95875 for Russell, 25,564.53 for Dow; 75% of initial levels
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| Pricing date: | Jan. 31
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| Settlement date: | Feb. 3
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.175%
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| Cusip: | 17331CCP0
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