Published on 2/22/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $650,000 7.5% autocallable contingent coupon equity notes on ETFs
Chicago, Feb. 22 – Citigroup Global Markets Holdings Inc. priced $650,000 of autocallable contingent coupon equity linked securities due May 10, 2024 linked to the worst performing of the SPDR S&P 500 ETF Trust and iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 7.5% paid quarterly if the worst performing ETF closes at or above its 60% coupon barrier on the related valuation date.
The securities will be called automatically at par starting Aug. 3, 2022 if the price of the worst performing ETF is greater than or equal to its initial price and on any subsequent quarterly valuation date.
If the worst performing ETF finishes at or above its 60% final barrier the payout at maturity will be par. Otherwise investors will lose 1% loss for every 1% that the worst performing ETF declines, payable as shares of the worst performer or cash at the issuer’s option.
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 contingent coupon equity linked securities
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| Underlying ETFs: | SPDR S&P 500 ETF Trust and iShares Russell 2000 ETF
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| Amount: | $650,000
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| Maturity: | May 10, 2024
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| Coupon: | 7.5% annual rate, paid quarterly if the worst performing ETF closes at or above its 60% coupon barrier on the related valuation date
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| Price: | Par
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| Payout at maturity: | If worst performing ETF finishes at or above final barrier par; 1% loss for every 1% that worst performing ETF declines if it ends below final barrier, payable in shares or cash at issuer’s option
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| Call: | Automatically starting Aug. 3, 2022 at par if the price of the worst performing ETF is greater than or equal to its initial price and on any subsequent quarterly valuation date
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| Initial levels: | $414.48 for S&P 500 ETF, $186.89 for Russell 2000 ETF
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| Coupon barriers: | $248.688 for S&P 500 ETF, $112.134 for Russell 2000, 60% of initial levels
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| Final barriers: | $248.688 for S&P 500 ETF, $112.134 for Russell 2000, 60% of initial levels
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| Strike date: | May 2, 2022
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| Pricing date: | May 3, 2022
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| Settlement date: | May 10, 2022
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1.8%
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| Cusip: | 17330DCW4
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