Published on 1/26/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $6.77 million contingent income autocalls on S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Jan. 26 – Citigroup Global Markets Holdings Inc. priced $6.77 million of contingent income autocallable securities due Jan. 11, 2024 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, 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 the rate of 8% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the corresponding determination date.
The notes will be automatically called at par if each index closes at or above its initial level on any quarterly determination date.
The payout at maturity will be par unless any index finishes below its downside threshold level, 75% of its initial level, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.
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: | Contingent income autocallable securities
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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| Amount: | $6,768,000
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| Maturity: | Jan. 11, 2024
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| Coupon: | 8% per year, payable quarterly if each index closes at or above coupon barrier level on the corresponding determination date
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below downside threshold level, in which case 1% loss for every 1% that least-performing index declines from initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly determination date
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| Initial levels: | 4,677.03 for S&P, 15,592.19 for Nasdaq, 2,179.81 for Russell
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| Coupon barriers: | 3,507.773 for S&P, 11,694.143 for Nasdaq, 1,634.858 for Russell; 75% of initial levels
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| Downside thresholds: | 3,507.773 for S&P, 11,694.143 for Nasdaq, 1,634.858 for Russell; 75% of initial levels
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| Pricing date: | Jan. 7
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| Settlement date: | Jan. 12
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 17329USM4
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