Published on 8/31/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $31.73 million trigger autocallable contingent yield notes on S&P, Nasdaq
By William Gullotti
Buffalo, N.Y., Aug. 31 – Citigroup Global Markets Holdings Inc. priced $31.73 million of trigger autocallable contingent yield notes due Sept. 2, 2032 linked to the S&P 500 index 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 quarterly coupon at an annualized rate of 7.72% if each index closes at or above its coupon barrier, 70% of its initial value, on the corresponding observation date.
The notes will be redeemed at par plus the coupon if each index closes at or above their initial values on any quarterly observation date after one year.
The payout at maturity will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above the 60% downside threshold, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial value.
Citigroup Global Markets Inc. and UBS Financial Services Inc. are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying indexes: | S&P 500 index, Nasdaq-100 index
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| Amount: | $31,731,540
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| Maturity: | Sept. 2, 2032
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| Coupon: | 7.72% per year, payable quarterly if each index closes at or above coupon barrier on the corresponding observation date
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| Price: | Par of $10
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| Payout at maturity: | Par plus coupon if each index finishes at or above coupon barrier; if worst performer finishes below coupon barrier but at or above downside threshold, par; otherwise, 1% loss for each 1% decline of the worst performer from initial value
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| Call: | At par plus the coupon if each index closes at or above initial values on any quarterly observation date after one year
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| Initial value: | 4,030.61 for S&P, 12,484.32 for Nasdaq
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| Coupon barrier: | 2,821.43 for S&P, 8,739.02 for Nasdaq; 70% of initial value
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| Downside threshold: | 2,418.37 for S&P, 7,490.59 for Nasdaq; 60% of initial value
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| Pricing date: | Aug. 29
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| Settlement date: | Aug. 31
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| Agents: | Citigroup Global Markets Inc. and UBS Financial Services Inc.
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| Fees: | 3.5%
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| Cusip: | 17330N880
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