Published on 8/5/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $4.54 million contingent market-linked autocalls on three indexes
Chicago, Aug. 5 – Citigroup Global Markets Holdings Inc. sold $4.54 million of 0% market-linked autocallable securities with contingent coupon and contingent downside due July 29, 2026 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, 60% of the initial 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 if each index finishes at or above its 60% 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 autocallable securities 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: | $4,535,000
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Maturity: | July 29, 2026
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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 levels on any quarterly observation date after six months
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Initial levels: | 1,885.23 for Russell, 4,130.29 for S&P, 32,845.13 for Dow
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Coupon barriers: | 1,131.138 for Russell, 2,478.174 for S&P, 19,707.078 for Dow; 60% of initial levels
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Threshold levels: | 1,131.138 for Russell, 2,478.174 for S&P, 19,707.078 for Dow; 60% of initial levels
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Pricing date: | July 29
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Settlement date: | Aug. 3
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Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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Fees: | 2.175%
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Cusip: | 17330PEE5
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