Published on 3/3/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $9.97 million autocallable contingent coupon equity notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, March 3 – Citigroup Global Markets Holdings Inc. priced $9.97 million of autocallable contingent coupon equity-linked securities due March 2, 2027 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent monthly coupon at an annual rate of 8.05% if each index closes at or above the coupon barrier level, 70% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level on any monthly potential autocall date after one year.
If the notes are not called and each index finishes at or above its initial level, investors will receive par.
Alternatively, investors will receive par if no index finishes below its 70% knock-in level during the life of the notes.
Otherwise, investors will be exposed to the losses of the worst performer.
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 contingent coupon equity-linked securities
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| Underlying indexes: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
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| Amount: | $9.97 million
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| Maturity: | March 2, 2027
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| Coupon: | 8.05% annualized rate, payable monthly if each index closes at or above coupon barrier level on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par if all indexes finish above initial levels; par if no index closes below knock-in level during the life of the notes; otherwise, full exposure to losses of worst performer
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on monthly autocall dates after one year
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| Initial levels: | 2,040.929 for Russell, 4,384.65 for S&P, 34,058.75 for Dow
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| Coupon barrier levels: | 1,632.743 for Russell, 3,507.72 for S&P, 27,247.0 for Dow; 80% of initial levels
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| Knock-in levels: | 1,428.65 for Russell, 3,069.255 for S&P, 23,841.125 for Dow; 70% of initial levels
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| Pricing date: | Feb. 25
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| Settlement date: | March 2
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17330AGS5
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