Published on 7/7/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.75 million autocallable contingent coupon equity notes on three indexes
By William Gullotti
Buffalo, N.Y., July 7 – Citigroup Global Markets Holdings Inc. priced $2.75 million of autocallable contingent coupon equity-linked securities due July 3, 2025 linked to the worst performing of the Russell 2000 index, the S&P 500 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 9.6% 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 are not called and each index finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its final barrier level, 60% of its initial level, the payout at maturity will be par. 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, S&P 500 index, Russell 2000 index
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| Amount: | $2.75 million
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| Maturity: | July 3, 2025
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| Coupon: | 9.6% 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 coupon barrier; if worst performer finishes below coupon barrier but at or above final barrier, par; 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: | 31,029.31 for Dow, 3,818.83 for S&P, 1,719.37 for Russell
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| Coupon barrier levels: | 21,720.517 for Dow, 2,673.181 for S&P, 1,203.559 for Russell; 70% of initial levels
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| Final barrier levels: | 18,617.586 for Dow, 2,291.298 for S&P, 1,031.622 for Russell; 60% of initial levels
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| Strike date: | June 29
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| Pricing date: | June 30
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| Settlement date: | July 6
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17330PSK6
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