Published on 1/13/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.43 million contingent market-linked autocalls on three indexes
By Kiku Steinfeld
Chicago, Jan. 13 – Citigroup Global Markets Holdings Inc. priced $2.43 million of 0% market-linked autocallable securities with contingent coupon and contingent downside due Dec. 22, 2025 linked to the Euro Stoxx 50 index, the S&P 500 index and the Russell 2000 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 quarterly interest payment at the rate of 6.55% per year if each index closes at or above the coupon barrier level, 70% of the initial share 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 six months.
The payout at maturity will be par plus the final coupon unless the worst performer falls by more than 30%, in which case investors lose 1% for every 1% decline of that index 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: | S&P 500 index, Russell 2000 index, Euro Stoxx 50 index
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| Amount: | $2,433,000
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| Maturity: | Dec. 22, 2025
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| Coupon: | 6.7% annual rate, payable quarterly 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 unless the worst performer falls by more than 30%, in which case full exposure to decline of that index from its 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 six months
|
| Initial levels: | 4,620.64 for S&P, 2,173.931 for Russell, 4,161.35 for Stoxx
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| Coupon barriers: | 3,234.448 for S&P, 1,521.7517 for Russell, 2,912.945 for Stoxx; 70% of initial levels
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| Threshold levels: | 3,234.448 for S&P, 1,521.7517 for Russell, 2,912.945 for Stoxx; 70% of initial levels
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| Pricing date: | Dec. 17
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| Settlement date: | Dec. 22
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
|
| Fees: | 2.175%
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| Cusip: | 17329UY39
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