Published on 5/19/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.97 million autocallable contingent coupon equity notes on three indexes
Chicago, May 19 – Citigroup Global Markets Holdings Inc. priced $1.97 million of autocallable contingent coupon equity-linked securities due May 1, 2023 linked to the worst performing of the S&P 500 index, the Nasdaq-100 index 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 quarterly coupon at an annual rate of 9.25% 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 quarterly valuation date.
If the notes are not called, the payout at maturity will be par if all the indexes finish above their initial levels.
Investors would alternatively receive par if no index closes below its 70% knock-in level during the life of the notes.
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, Nasdaq-100 index
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| Amount: | $1,970,000
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| Maturity: | May 1, 2023
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| Coupon: | 9.25% annualized rate, payable quarterly 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, investors will lose 1% for every 1% decline of the worst performer from its initial level
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date
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| Initial levels: | 2,296.075 for Russell, 4,574.79 for S&P, 15,559.49 for Nasdaq
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| Coupon barrier levels: | 1,607.253 for Russell, 3,202.353 for S&P, 10,891.643 for Nasdaq; 70% of initial levels
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| Knock-in levels: | 1,607.253 for Russell, 3,202.353 for S&P, 10,891.643 for Nasdaq; 70% of initial levels
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| Pricing date: | Oct. 26, 2021
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| Settlement date: | Oct. 29, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.725%
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| Cusip: | 17329UBV2
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