Published on 6/1/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million autocallable contingent coupon equity notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, June 1 – Citigroup Global Markets Holdings Inc. priced $1 million of autocallable contingent coupon equity-linked securities due May 30, 2024 linked to the worst performing of the Russell 2000 index, the Dow Jones industrial average 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 9.6% 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 monthly valuation date after six months.
If the notes are not called and each index finishes at or above 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, Russell 2000 index, Dow Jones industrial average
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| Amount: | $1 million
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| Maturity: | May 30, 2024
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| Coupon: | 9.6% 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 finishes 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 plus coupon if each index closes at or above initial level on any monthly valuation date after six months
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| Initial levels: | 11,769.84 for Nasdaq, 1,764.826 for Russell, 31,928.62 for Dow
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| Coupon barrier levels: | 8,238.888 for Nasdaq, 1,235.378 for Russell, 22,350.034 for Dow; 70% of initial levels
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| Final buffer levels: | 10,004.364 for Nasdaq, 1,500.102 for Russell, 27,139.327 for Dow; 85% of initial levels
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| Pricing date: | May 24
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| Settlement date: | May 27
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.4%
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| Cusip: | 17330FMX6
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