Published on 10/29/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $916,000 contingent market-linked autocalls with memory on three indexes
By Kiku Steinfeld
Chicago, Oct. 30 – Citigroup Global Markets Holdings Inc. sold $916,000 of 0% market-linked autocallable securities with contingent coupon with memory feature and contingent downside due March 29, 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 8% 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, if any, will be automatically included whenever a contingent interest payment is made.
The notes will be automatically called at par plus coupon if each index closes at or above its initial level 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 autocallable securities 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: | $916,000
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| Maturity: | March 29, 2027
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| Coupon: | 8% 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
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each index finishes at or above its 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 level on any quarterly observation date after six months
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| Initial levels: | 4,109.31 for S&P, 1,802.484 for Russell, 33,274.15 for Dow
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| Coupon barriers: | 3,081.9825 for S&P, 1,351.863 for Russell, 24,955.6125 for Dow; 75% of initial level
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| Threshold levels: | 3,081.9825 for S&P, 1,351.863 for Russell, 24,955.6125 for Dow; 75% of initial level
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| Pricing date: | March 31, 2023
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| Settlement date: | April 5, 2023
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.375%
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| Cusip: | 17331CW37
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