Published on 5/19/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $600,000 autocallable contingent coupon notes on Nasdaq, S&P Dynamic
By Kiku Steinfeld
Chicago, May 19 – Citigroup Global Markets Holdings Inc. priced $600,000 of autocallable contingent coupon equity-linked securities due Oct. 20, 2026 linked to the worst performing of the S&P 500 Dynamic Participation index and the Nasdaq-100 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 5% if each index closes at or above the coupon barrier level, 80% of the initial level, on the valuation date for that period.
The notes will be automatically called at par if each index closes at or above its initial level on any quarterly call valuation date after one year.
If the notes are not called and each index finishes at or above its final buffer level, 85% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer beyond 15%.
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: | Nasdaq-100 index, S&P 500 Dynamic Participation index
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| Amount: | $600,000
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| Maturity: | Oct. 20, 2026
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| Coupon: | 5% 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 each index closes at or above final buffer; otherwise, investors will lose 1% for every 1% decline of the worst performer beyond 15%
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| Call: | Automatically at par if each index closes at or above initial level on any quarterly call valuation date after one year
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| Initial levels: | 15,146.92 for Nasdaq, 680.30 for S&P 500 Dynamic
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| Coupon barrier levels: | 12,117.536 for Nasdaq, 544.240 for S&P 500 Dynamic; 80% of initial levels
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| Final buffer levels: | 12,874.882 for Nasdaq, 578.255 for S&P 500 Dynamic; 85% of initial levels
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| Pricing date: | Oct. 15, 2021
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| Settlement date: | Oct. 20, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4.25%
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| Cusip: | 17329UEC1
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