Published on 10/16/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.12 million contingent market-linked autocalls on sector funds
By Kiku Steinfeld
Chicago, Oct. 17 – Citigroup Global Markets Holdings Inc. priced $1.12 million of market-linked securities due Feb. 21, 2025 – autocallable with contingent coupon and contingent downside linked to the worst performing of the Technology Select Sector SPDR fund, the Financial Select Sector SPDR fund, the Consumer Staples Select Sector SPDR fund and the Energy Select Sector SPDR fund, 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 annual rate of 10.85% if each fund closes at or above its 70% coupon threshold on the observation date for that quarter.
The notes will be called at par plus coupon if each fund closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any fund finishes below its 60% barrier value, in which case the payout will be par plus the return of the worst performing fund with full exposure to any losses.
Wells Fargo Securities, LLC and Citigroup Global Markets Inc. 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 funds: | Technology Select Sector SPDR fund, Financial Select Sector SPDR fund, Energy Select Sector SPDR fund, Consumer Staples Select Sector SPDR fund
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| Amount: | $1,116,000
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| Maturity: | Feb. 21, 2025
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| Coupon: | 10.85% annualized, payable quarterly if each fund closes at or above coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any fund finishes below downside threshold, in which case 1% loss per 1% decline of worst performing fund
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| Call: | At par plus coupon if each fund closes at or above its initial level on any observation date after six months
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| Initial levels: | $152.44 for Technology, $39.22 for Financial, $76.03 for Consumer, $68.05 for Energy
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| Coupon thresholds: | $106.708 for Technology, $27.454 for Financial, $53.221 for Consumer, $47.635 for Energy; 70% of initial levels
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| Downside thresholds: | $91.464 for Technology, $23.532 for Financial, $45.618 for Consumer, $40.83 for Energy; 60% of initial levels
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| Pricing date: | Feb. 18, 2022
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| Settlement date: | Feb. 24, 2022
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| Agents: | Wells Fargo Securities, LLC and Citigroup Global Markets Inc.
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| Fees: | 2.125%
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| Cusip: | 22553PK65
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