Published on 4/12/2024 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.72 million market-linked autocalls with contingent downside on ETFs
Chicago, April 12 – Citigroup Global Markets Holdings Inc. priced $1.72 million of market-linked securities – autocallable with contingent coupon and contingent downside due Jan. 22, 2027 linked to the lowest performing of the Energy Select Sector SPDR Fund, Industrial Select Sector SPDR Fund and SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a 10.9% quarterly coupon if all three ETFs close above the 60% coupon barrier on the related observation date.
The notes will be automatically called at par on a quarterly automatic early redemption date starting after six months if each ETF closes above its initial level.
If the notes are not called at maturity and each ETF finishes at or above its 60% downside threshold, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
The notes are guaranteed by Citigroup Inc.
Wells Fargo Securities, LLC and Citigroup Global Markets Inc. 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 and contingent downside
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| Underlying funds: | Energy Select Sector SPDR Fund, Industrial Select Sector SPDR Fund and SPDR S&P Biotech ETF
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| Amount: | $1,720,000
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| Maturity: | Jan. 22, 2027
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| Coupon: | 10.9% annual rate, payable quarterly if all three ETFs close above coupon barriers on related observation date
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| Price: | Par
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| Payout at maturity: | If the notes are not called and each ETF finishes at or above downside threshold, par; otherwise, full exposure to decline of worst performer from initial level
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| Call: | Automatically at par if all three ETFs close above initial levels on any quarterly observation date starting after six months
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| Initial levels: | $79.91 for energy, $111.72 for industrial, $87.06 for biotech
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| Coupon barrier levels: | $47.946 for energy, $67.032 for industrial, $52.236 for biotech; 60% of initial levels
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| Downside thresholds: | $47.946 for energy, $67.032 for industrial, $52.236 for biotech; 60% of initial levels
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| Pricing date: | Jan. 18
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| Settlement date: | Jan. 23
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| Agents: | Wells Fargo Securities, LLC and Citigroup Global Markets Inc.
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| Fees: | 2.325%
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| Cusip: | 17291TQA9
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