Published on 6/27/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $4.15 million autocallable contingent coupon equity notes on three indexes
By William Gullotti
Buffalo, N.Y., June 27 – Citigroup Global Markets Holdings Inc. priced $4.15 million of autocallable contingent coupon equity-linked securities due Dec. 28, 2023 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 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 monthly coupon at an annual rate of 12.5% if each index closes at or above the coupon barrier level, 60% 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 monthly valuation date after three months.
If the notes have not been called, the payout at maturity will be par unless any index closes below its 60% final barrier during the life of the notes and any index finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer 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: | Nasdaq-100 index, S&P 500 index, Russell 2000 index
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| Amount: | $4,151,000
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| Maturity: | Dec. 28, 2023
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| Coupon: | 12.5% annualized rate, payable monthly 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 any index closes below its final barrier during the life of the notes and any index finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer finishes below its initial level
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any monthly valuation date after three months
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| Initial levels: | 11,527.71 for Nasdaq, 3,759.89 for S&P, 1,690.277 for Russell
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| Coupon barrier levels: | 6,916.626 for Nasdaq, 2,255.934 for S&P, 1,014.166 for Russell; 60% of initial levels
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| Final barrier levels: | 6,916.626 for Nasdaq, 2,255.934 for S&P, 1,014.166 for Russell; 60% of initial levels
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| Pricing date: | June 22
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| Settlement date: | June 27
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.725%
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| Cusip: | 17330PRP6
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