Published on 6/23/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million autocallable contingent coupon equity notes on Russell, S&P
By William Gullotti
Buffalo, N.Y., June 23 – Citigroup Global Markets Holdings Inc. priced $1 million of autocallable contingent coupon equity-linked securities due June 21, 2024 linked to the worst performing of 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 an annual rate of 12.25% if each index closes at or above the coupon barrier level, 70% of the initial level, on the valuation 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 valuation date after six months.
If the notes have not been called, the payout at maturity will be par unless either index closes below its 70% barrier level during the life of the notes and either index finishes below its initial level, in which case investors will lose 1% for every 1% that the lesser-performing index finishes below 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: | Autocallable contingent coupon equity-linked securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $1 million
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| Maturity: | June 21, 2024
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| Coupon: | 12.25% annualized rate, payable quarterly if each index closes at or above coupon barrier level, on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless either index closes below its barrier level during the life of the notes and either index finishes below its initial level, in which case investors will lose 1% for every 1% that the lesser-performing index finishes below its initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date after six months
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| Initial levels: | 3,666.77 for S&P, 1,649.836 for Russell
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| Coupon barrier levels: | 2,566.739 for S&P, 1,154.885 for Russell; 70% of initial levels
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| Final barrier levels: | 2,566.739 for S&P, 1,154.885 for Russell; 70% of initial levels
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| Pricing date: | June 16
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| Settlement date: | June 22
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.25%
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| Cusip: | 17330PJB6
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