Published on 4/15/2024 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $2.13 million buffered equity index basket-linked notes
By William Gullotti
Buffalo, N.Y., April 15 – Citigroup Global Markets Holdings Inc. priced $2.13 million of 0% buffered equity index basket-linked notes due April 10, 2026 linked to an unequally weighted basket of indexes, 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 an 12% weight and the S&P/ASX 200 index with an 9% weight.
If the basket return is flat or positive, the payout will be par plus 300% of the basket return, subject to a maximum settlement amount of par plus 28.95%.
The payout will be par if the basket falls by up to 10%. Otherwise, investors will lose 1.1111% for every 1% decline of the basket beyond 10%.
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: | Buffered equity index basket-linked notes
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| Underlying basket: | Euro Stoxx 50 (36% weight), Topix (26% weight), FTSE 100 (17% weight), Swiss Market (12% weight), S&P/ASX 200 (9% weight)
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| Amount: | $2.13 million
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| Maturity: | April 10, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the basket return is zero or positive, par plus 300% of the return, capped at par plus 28.95%; par if basket falls by up to 10%; otherwise, 1.1111% loss for every 1% decline of the basket beyond 10%
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| Initial index levels: | 5,046.05 for Stoxx, 2,728.32 for Topix, 7,943.47 for FTSE, 11,547.14 for Swiss Market, 7,789.077 for S&P/ASX
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| Buffer level: | 90% of initial level
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| Pricing date: | April 8
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| Settlement date: | April 15
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 17331AQ95
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