Published on 6/2/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.5 million autocallable contingent coupon equity notes on three indexes
By William Gullotti
Buffalo, N.Y., June 2 – Citigroup Global Markets Holdings Inc. priced $2.5 million of autocallable contingent coupon equity-linked securities due May 30, 2024 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 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 quarterly coupon at an annual rate of 9.65% if each index closes at or above the coupon barrier level, 70% of the initial level, on every trading day during the observation period.
The notes will be automatically called at par plus any coupon otherwise due if each index closes at or above its initial level, on any quarterly valuation date.
If the notes are not called and each index finishes at or above final barrier level, 70% of its initial level, the payout at maturity will be par plus any final coupon otherwise due. Otherwise, investors will lose 1% for every 1% 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: | Autocallable contingent coupon equity-linked securities
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Underlying indexes: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
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Amount: | $2.5 million
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Maturity: | May 30, 2024
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Coupon: | 9.65% annualized rate, payable quarterly if each index closes at or above coupon barrier level on every trading day during the observation period
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Price: | Par
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Payout at maturity: | Par any coupon otherwise due if each index finishes at or above final barrier; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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Call: | Automatically at par any coupon otherwise due if each index closes at or above initial level on any quarterly valuation date
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Initial levels: | 1,838.238 for Russell, 4,057.84 for S&P, 32,637.19 for Dow
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Coupon barrier levels: | 1,286.767 for Russell, 2,840.488 for S&P, 22,846.033 for Dow; 70% of initial levels
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Final barrier levels: | 1,286.767 for Russell, 2,840.488 for S&P, 22,846.033 for Dow; 70% of initial levels
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Pricing date: | May 26
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Settlement date: | May 31
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 2.25%
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Cusip: | 17330PAQ2
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