Published on 4/6/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $9.06 million contingent market-linked autocalls on three indexes
By Wendy Van Sickle
Columbus, Ohio, April 6 – Citigroup Global Markets Holdings Inc. sold $9.06 million of 0% market-linked autocallable securities with contingent downside due Sept. 27, 2024 linked to the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly interest payment at the rate of 9.5% per year if each index closes at or above the coupon barrier level, 75% of the initial share level, on the observation date for that period.
The notes will be automatically called at par plus coupon if each index closes at or above initial level on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon, if any, if each index finishes at or above its 65% threshold level. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
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 autocallable securities with contingent coupon and contingent downside
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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| Amount: | $9,064,000
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| Maturity: | Sept. 27, 2024
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| Coupon: | 9.5% annual rate, payable quarterly if all indexes close at or above their coupon barrier levels on the relevant observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon, if any if each index finishes at or above threshold level; otherwise, full exposure to decline of worst performer 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 observation date after six months
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| Initial levels: | 14,838.49 for Nasdaq, 2,070.125 for Russell, 4,530.41 for S&P
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| Coupon barriers: | 11,128.8675 for Nasdaq, 1,552.59375 for Russell, 3,397.8075 for S&P; 75% of initial level
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| Threshold levels: | 9,645.0185 for Nasdaq, 1,345.58125 for Russell, 2,944.7665 for S&P; 65% of initial level
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| Pricing date: | March 31
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| Settlement date: | April 5
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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: | 17330AQA3
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