Published on 12/14/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $352,000 autocallable securities linked to index, ETF
By Kiku Steinfeld
Chicago, Dec. 14 – Citigroup Global Markets Holdings Inc. priced $352,000 of 0% autocallable securities due April 22, 2027 linked to the S&P 500 Dynamic Participation index and SPDR S&P Regional Banking ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The securities will be called automatically starting on April 19, 2023 with a premium of a 11.25% annual rate if the worst performing asset closes above its initial value and on any subsequent quarterly review date.
If the worst performing asset finishes at or above its initial level, the payout at maturity will be par plus the 56.25% premium for the final valuation date. The payout will be par if the worst performing asset declines by up to 15%. Otherwise, investors will lose 1% for every 1% that the worst performing asset declines beyond its buffer.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable securities
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| Underlying assets: | S&P 500 Dynamic Participation index and SPDR S&P Regional Banking ETF
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| Amount: | $352,000
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| Maturity: | April 22, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing asset finishes at or above initial level, par plus 56.25% premium for final valuation date; par if worst performing asset declines but finishes at or above its 85% buffer level; otherwise, 1% loss for every 1% that worst performing asset declines beyond the buffer
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| Call: | Automatically starting on April 19, 2023 with a premium of a 11.25% annual rate if the worst performing asset closes above its initial value and on any subsequent quarterly review date
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| Initial levels: | 686.89 for S&P, $64.91 for SPDR
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| Buffer: | 15%
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| Buffer level: | 583.857 for S&P, $55.174 for SPDR, 85% of initial level
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| Pricing date: | April 18
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| Settlement date: | April 21
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17330F2R1
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