Published on 1/31/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $3.49 million of market-linked securities on three indexes
Chicago, Jan. 31 – Citigroup Global Markets Holdings Inc. priced $3.49 million of market-linked securities – autocallable with contingent coupon and contingent downside – due Oct. 29, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a 10% coupon on a quarterly basis if all three indexes close above their 75% interest barrier levels on the related valuation date.
If all three indexes close above their initial levels on any quarterly potential autocall date after six months, the notes will be called at par.
The payout at maturity will be par if all three indexes finish above their 65% final barrier values.
Otherwise, investors will have full downside exposure to the return of the worst performer.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC 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 indexes: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $3,491,000
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| Maturity: | Oct. 29, 2024
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| Coupon: | 10% annual rate, payable quarterly if all three indexes close above interest barrier levels on related observation date
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| Price: | Par
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| Payout at maturity: | Par if all three indexes close above final barrier levels; otherwise, full exposure to losses of worst performer
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| Call: | At par if all three indexes close above initial levels on any quarterly potential autocall date after six months
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| Initial levels: | 4,131.93 for S&P, 1,864.103 for Russell, 12,854.80 for Nasdaq
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| Interest barrier levels: | 3,098.9475 for S&P, 1,398.07725 for Russell, 9,641.10 for Nasdaq; 75% of initial levels
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| Final barrier levels: | 2,685.7545 for S&P, 1,211.66695 for Russell, 8,355.62 for Nasdaq; 65% of initial levels
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| Pricing date: | April 29, 2022
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| Settlement date: | May 4, 2022
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 1.825%
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| Cusip: | 17330FCK5
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