Published on 6/28/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.08 million contingent market-linked autocalls on Nasdaq, S&P, Dow
By William Gullotti
Buffalo, N.Y., June 28– Citigroup Global Markets Holdings Inc. sold $1.08 million of 0% market-linked autocallable securities with contingent downside due June 24, 2027 linked to the Nasdaq-100 index, the Dow Jones industrial average and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
The notes will pay a contingent monthly interest payment at the rate of 7.1% per year if each index closes at or above the coupon barrier level, 65% of the initial level, on the observation date for that period.
The notes will be automatically called at par plus coupon if each index closes at or above initial levels on any quarterly observation date after one year.
The payout at maturity will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 60% threshold level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market-linked autocallable securities with contingent coupon and contingent downside
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| Underlying indexes: | Dow Jones industrial average, S&P 500 index, Nasdaq-100 index
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| Amount: | $1,075,000
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| Maturity: | June 24, 2027
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| Coupon: | 7.1% annual rate, payable monthly if all indexes close at or above their coupon barrier levels on the relevant observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each index finishes at or above its coupon barrier; if the worst performer finishes below its coupon barrier but at or above its threshold level, par; otherwise, full exposure to decline of worst performer from initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial levels on any quarterly observation date after one year
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| Initial levels: | 30,530.25 for Dow, 3,764.79 for S&P, 11,546.76 for Nasdaq
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| Coupon barriers: | 19,844.6625 for Dow, 2,447.1135 for S&P, 7,505.394 for Nasdaq; 65% of initial level
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| Threshold levels: | 18,318.15 for Dow, 2,258.874 for S&P, 6,928.056 for Nasdaq; 60% of initial level
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| Pricing date: | June 21
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| Settlement date: | June 24
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.625%
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| Cusip: | 17330PTN9
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