Published on 5/26/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.31 million autocallable phoenix securities on three indexes
Chicago, May 26 – Citigroup Global Markets Holdings Inc. priced $1.31 million phoenix autocallable securities due Nov. 2, 2023 linked to the worst performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
If each index closes at or above the coupon barrier level, 80% of the initial level, on a quarterly observation date, the notes will pay a contingent coupon for that quarter at an annualized rate of 7.8%, plus any previously unpaid contingent coupons.
The notes will be called at par plus any previously unpaid contingent coupons if each index closes at or above their initial levels on any quarterly observation date.
The payout at maturity will be par plus the final coupon and any previously unpaid coupons unless any index finishes below the 80% final barrier level, in which case investors will be fully exposed to the index decline of the worst performer.
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: | Phoenix autocallable securities
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| Underlying indexes: | S&P 500 index, Euro Stoxx 50 index and Russell 2000 index
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| Amount: | $1,313,000
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| Maturity: | Nov. 2, 2023
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| Coupon: | 7.8% annualized, plus any previously unpaid coupons, if all indexes close at or above barrier level on quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon and previously unpaid coupons if each index finishes at or above final barrier level; otherwise, full exposure to decline of worst performer
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| Call: | At par plus final contingent coupon and any previously unpaid coupons if each index closes at or above initial level on a quarterly observation date
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| Initial levels: | 4,605.38 for S&P, 4,250.56 for Stoxx, 2,297.191 for Russell
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| Coupon barrier/final levels: | 3,684.304 for S&P, 3,400.448 for Stoxx, 1,837.753 for Russell, 80% of initial levels
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| Pricing date: | Oct. 29, 2021
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| Settlement date: | Nov. 3, 2021
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17329UFR7
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