Published on 4/7/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.63 million contingent market-linked autocalls on three indexes
By William Gullotti
Buffalo, N.Y., April 7 – Citigroup Global Markets Holdings Inc. sold $3.63 million of 0% market-linked autocallable securities with contingent downside due March 27, 2026 linked to the S&P 500 index, the Dow Jones industrial average 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 6.75% per year if each index closes at or above the coupon barrier level, 70% of the initial share level, on the observation date for that period.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon if each index finishes at or above its 70% 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: | Dow Jones industrial average, Russell 2000 index, S&P 500 index
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| Amount: | $3,627,000
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| Maturity: | March 27, 2026
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| Coupon: | 6.75% 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 each index finishes at or above its 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: | 34,678.35 for Dow, 2,070.125 for Russell, 4,530.41 for S&P
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| Coupon barriers: | 24,274.845 for Dow, 1,449.0875 for Russell, 3,171.287 for S&P; 70% of initial level
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| Threshold levels: | 24,274.845 for Dow, 1,449.0875 for Russell, 3,171.287 for S&P; 70% 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: | 2.175%
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| Cusip: | 17330AVY5
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