Published on 5/3/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.53 million autocallable contingent coupon equity notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, May 3 – Citigroup Global Markets Holdings Inc. priced $2.53 million of autocallable contingent coupon equity-linked securities due April 25, 2025 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 9% if each index closes at or above the coupon barrier level, 80% of the initial level, on the valuation date for that period, plus any previously unpaid coupon.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level, on any quarterly valuation date after six months.
If the notes are not called and each index finishes at or above final barrier level, 60% of its initial level, the payout at maturity will be par plus any final coupon. Otherwise, investors will lose 1% for every 1% decline of the worst performer 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 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: | $2,534,000
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Maturity: | April 25, 2025
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Coupon: | 9% annualized rate, payable monthly if each index closes at or above coupon barrier level, on valuation date for that period, plus any previously unpaid coupon
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Price: | Par
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Payout at maturity: | Par plus contingent coupon, if any, if each index finishes at or above final barrier; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date after six months
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Initial levels: | 1,940.665 for Russell, 15,204.83 for S&P, 33,811.4 for Dow
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Coupon barrier levels: | 1,552.532 for Russell, 3,417.424 for S&P, 27,049.12 for Dow; 80% of initial levels
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Final barrier levels: | 1,164.399 for Russell, 2,563.068 for S&P, 20,286.84 for Dow; 60% of initial levels
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Pricing date: | April 22
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Settlement date: | April 27
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.75%
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Cusip: | 17330FA92
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