Published on 10/11/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $500,000 autocallable contingent coupon equity notes on stock, ETFs
By Kiku Steinfeld
Chicago, Oct. 11 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due Aug. 24, 2022 linked to the worst performing of Amazon.com, Inc., the Invesco QQQ Trust, series 1, the iShares Russell 2000 ETF and the SPDR S&P 500 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent coupon at an annual rate of 13.25% if each underlier closes at or above the coupon barrier level, 80% of the initial level, on May 17, 2022 or Aug. 17, 2022.
The notes will be automatically called at par plus the coupon if each underlier closes at or above its initial level on May 17, 2022.
If the notes are not called and each underlier finishes at or above its final barrier level, 70% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer, payable in shares or cash at the option of the issuer.
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 assets: | Amazon.com, Inc., SPDR S&P 500 ETF trust, iShares Russell 2000 ETF, Invesco QQQ Trust, series 1
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| Amount: | $500,000
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| Maturity: | Aug. 24, 2022
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| Coupon: | 13.25% annualized rate if each underlier closes at or above coupon barrier level, on May 17, 2022 or Aug. 17, 2022
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each underlier closes at or above final barrier; otherwise, investors will lose 1% for every 1% decline of the worst performer, payable in shares or cash at the option of the issuer
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| Call: | Automatically at par plus coupon if each underlier closes at or above initial level on May 17, 2022
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| Initial levels: | $3,162.01 for Amazon, $356.04 for Invesco, $206.49 for Russell, $446.60 for S&P
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| Coupon barrier levels: | $2,529.608 for Amazon, $284.832 for Invesco, $165.192 for Russell, $357.280 for S&P; 80% of initial levels
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| Final barrier levels: | $2,213.407 for Amazon, $249.228 for Invesco, $144.543 for Russell, $312.620 for S&P; 70% of initial levels
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| Equity ratios: | 0.31625 for Amazon, 2.80867 for Invesco, 4.84285 for Russell, 2.23914 for S&P
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| Pricing date: | Feb. 17
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| Settlement date: | Feb. 25
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.25%
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| Cusip: | 17328N4J4
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