Published on 6/3/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $350,000 contingent market-linked autocalls on three indexes
By Kiku Steinfeld
Chicago, June 3 – Citigroup Global Markets Holdings Inc. sold $350,000 of market-linked securities that are autocallable with contingent coupon and contingent downside due Nov. 20, 2025 linked to the worst performing of the Dow Jones industrial average, 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 7% per year if each index closes at or above the coupon barrier level, 75% of the initial share level, on the observation 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 quarterly observation date starting May 2022.
The payout at maturity will be par plus the final coupon if each index finishes at or above its 75% threshold level. Otherwise, investors will be fully exposed to the decline of the worst performer 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 securities – autocallable with contingent coupon and contingent downside
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Underlying indexes: | S&P 500 index, Russell 2000 index, Dow Jones industrial average
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Amount: | $350,000
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Maturity: | Nov. 20, 2025
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Coupon: | 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 if each index finishes at or above its threshold level; otherwise, full exposure to decline of worst performer from initial level
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Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly observation date starting May 2022
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Initial levels: | 4,700.90 for S&P, 2,405.024 for Russell, 36,142.22 for Dow
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Coupon barriers: | 3,525.675 for S&P, 1,803.768 for Russell, 27,106.665 for Dow; 75% of initial level
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Threshold levels: | 3,525.675 for S&P, 1,803.768 for Russell, 27,106.665 for Dow; 75% of initial level
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Pricing date: | Nov. 16, 2021
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Settlement date: | Nov. 19, 2021
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Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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Fees: | 2.275%
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Cusip: | 17329UCN9
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