Published on 10/5/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $501,000 dual directional barrier notes with autocall on three indexes
By Kiku Steinfeld
Chicago, Oct. 5 – Citigroup Global Markets Holdings Inc. priced $501,000 of 0% dual directional barrier securities with autocallable feature due Feb. 21, 2025 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will be called at par plus 9% if the least performing index closes at or above its initial level on Feb.15, 2023.
If the notes are not called and all indexes finish at or above initial levels, the payout at maturity will be par plus the return of the least performing index capped at 45%.
If the worst performing index declines but finishes at or above its 63% barrier level, the payout will be par plus the absolute value of the return of that index.
Otherwise, investors will be fully exposed to the 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: | Dual directional barrier securities with autocallable feature
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| Underlying indexes: | Nasdaq-100 index, S&P 500 index and Russell 2000 index
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| Amount: | $501,000
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| Maturity: | Feb. 21, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above initial level, par plus return of least performing index capped at 45%; if worst performing index falls but finishes at or above barrier level, par plus absolute value of return of that index; otherwise, full exposure to decline of worst performing index from initial level
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| Initial levels: | 4,471.07 for S&P, 14,620.82 for Nasdaq, 2,076.462 for Russell
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| Barrier levels: | 2,816.774 for S&P, 9,211.117 for Nasdaq, 1,308.171 for Russell; 63% of initial levels
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| Call: | Automatically at par plus 9% if least performing index closes at or above its initial level on Feb.15, 2023
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| Pricing date: | Feb. 15
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| Settlement date: | Feb. 18
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.95%
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| Cusip: | 17330AEN8
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