Published on 3/14/2024 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $2.45 million autocallable equity index basket-linked notes
By William Gullotti
Buffalo, N.Y., March 14 – Citigroup Global Markets Holdings Inc. priced $2.45 million autocallable equity index basket-linked notes due March 10, 2027 tied to a weighted index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 26% weight, the FTSE 100 index with a 17% weight, the Swiss Market index with a 12% weight and the S&P/ASX 200 index with a 9% weight.
The notes will be automatically called at par plus 9.45% per year if the basket closes at or above its initial level on any annual valuation date.
If the notes are not called and the basket finishes flat or gains, the payout at maturity will be the greater of par plus 28.35% and par plus 200% of the return of the basket.
If the basket declines but finishes at or above the 80% threshold, the payout will be par. Otherwise, investors will be fully exposed to the decline of the basket from its initial level.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable equity index basket-linked notes
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| Underlying indexes: | Euro Stoxx 50 index (36% weight), Topix index (26% weight), FTSE 100 index (17% weight), Swiss Market index (12% weight), S&P/ASX 200 Index (9% weight)
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| Amount: | $2.45 million
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| Maturity: | March 10, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket return is zero or positive, the greater of par plus 28.35% and par plus 200% of the gain; par if basket falls by no more than 20%; otherwise, lose 1% for each 1% that the basket declines from intial level
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| Call: | Automatically at par plus 9.45% per year if the basket closes at or above initial level on any annual valuation date
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| Initial levels: | 4,974.22 for Euro Stoxx, 2,718.54 for Topix, 7,692.46 for FTSE 100, 11,575.37 for Swiss Market, 7,763.714 for S&P/ASX
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| Downside threshold: | 80% of initial level
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| Pricing date: | March 7
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| Settlement date: | March 14
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3%
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| Cusip: | 17291LVH5
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