Published on 6/24/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.68 million autocallable contingent coupon equity notes on three indexes
By William Gullotti
Buffalo, N.Y., June 24 – Citigroup Global Markets Holdings Inc. priced $2.68 million of autocallable contingent coupon equity-linked securities due June 23, 2025 linked to the worst performing of the Russell 2000 index, the Nasdaq-100 index and the Dow Jones industrial average, 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 13% if each index closes at or above the coupon barrier level, 75% 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 are not called and each index finishes at or above its final barrier level, 75% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% decline of the worst performer 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: | Autocallable contingent coupon equity-linked securities
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Underlying indexes: | Dow Jones industrial average, Nasdaq-100 index, Russell 2000 index
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Amount: | $2,675,000
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Maturity: | June 23, 2025
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Coupon: | 13% 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 plus final coupon if each index finishes at or above final barrier; otherwise, investors will lose 1% for every 1% decline of the worst performer from 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: | 29,888.78 for Dow, 11,265.99 for Nasdaq, 1,665.694 for Russell
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Coupon barrier levels: | 22,416.585 for Dow, 8,449.493 for Nasdaq, 1,249.271 for Russell; 75% of initial levels
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Final barrier levels: | 22,416.585 for Dow, 8,449.493 for Nasdaq, 1,249.271 for Russell; 75% of initial levels
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Pricing date: | June 17
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Settlement date: | June 23
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 2%
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Cusip: | 17330PFF1
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