Published on 8/8/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $3.1 million autocallable barrier securities on index, ETF
By William Gullotti
Buffalo, N.Y., Aug. 8 – Citigroup Global Markets Holdings Inc. priced $3.1 million of 0% autocallable barrier securities due Aug. 10, 2026 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production ETF and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will be called at par plus an annualized call premium of 27.5% if each underlier closes at or above its barrier level, 90% of initial level, on any annual call date.
If the final level of each underlier is greater than or equal to its barrier level, the payout at maturity will be par plus 110%.
If the worst performer declines but finishes at or above its knock-in level, 70% of initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the 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 barrier securities
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| Underlying assets: | SPDR S&P Oil & Gas Exploration & Production ETF, S&P 500 index
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| Amount: | $3,104,000
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| Maturity: | Aug. 10, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each underlier finishes at or above its barrier level, par plus 110%; if the worst performer declines but finishes at or above knock-in level, par; otherwise, full exposure to decline of worst performer from its initial level
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| Call: | At par plus 27.5% annualized call premium of if each underlier closes at or above barrier level on any annual call date
|
| Initial levels: | $131.33 for ETF, 4,155.17 for S&P
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| Barrier levels: | $118.197 for ETF, 3,739.653 for S&P; 90% of initial levels
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| Knock-in levels: | $91.931 for ETF, 2,908.619 for S&P; 70% of initial levels
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| Pricing date: | Aug. 3
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| Settlement date: | Aug. 10
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17330PWY1
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