Published on 2/17/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1 million 9% autocallable contingent coupon notes on indexes
Chicago, Feb. 17 – Citigroup Global Markets Holdings Inc. priced $1 million of autocallable contingent coupon equity-linked securities due May 7, 2024 linked to the worst performing of the Dow Jones industrial average, Nasdaq-100 index and Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 9% paid monthly if the worst performing index closes at or above its 70% coupon barrier on the related valuation date.
The securities will be called automatically starting Nov. 2, 2022 if the price of the worst performing index is greater than or equal to its initial price and on any subsequent monthly valuation date.
The payout at maturity will be par if the worst performing index gains or declines by no more than its 15% buffer. Otherwise, investors will lose 1% for every 1% that the worst performing index declines beyond the buffer.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| 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: | Dow Jones industrial average, Nasdaq-100 index and Russell 2000 index
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| Amount: | $1 million
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| Maturity: | May 7, 2024
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| Coupon: | 9% annual rate, paid monthly if the worst performing index closes at or above its 70% coupon barrier on the related valuation date
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| Price: | Par
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| Payout at maturity: | If worst performing index gains or declines by no more than 15% buffer par; 1% loss for every 1% that worst performing index declines beyond buffer
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| Call: | Automatically starting Nov. 2, 2022 if the price of the worst performing index is greater than or equal to its initial price and on any subsequent monthly valuation date
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| Initial levels: | 33,061.50 for Dow, 13,075.85 for Nasdaq, 1,882.913 for Russell
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| Coupon barriers: | 23,143.050 for Dow, 9,153.095 for Nasdaq, 1,318.039 for Russell, 70% of initial levels
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| Buffer: | 15%
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| Buffer levels: | 28,102.275 for Dow, 11,114.473 for Nasdaq, 1,600.476 for Russell, 85% of initial levels
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| Pricing date: | May 2, 2022
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| Settlement date: | May 5, 2022
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.4%
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| Cusip: | 17330F7B1
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