Published on 8/23/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $726,000 autocallable contingent coupon equity notes on three indexes
By William Gullotti
Buffalo, N.Y., Aug. 23 – Citigroup Global Markets Holdings Inc. priced $726,000 of autocallable contingent coupon equity-linked securities due Aug. 1, 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 11.35% 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: | $726,000
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| Maturity: | Aug. 1, 2025
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| Coupon: | 11.35% 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: | 32,845.13 for Dow, 12,947.97 for Nasdaq, 1,885.23 for Russell
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| Coupon barrier levels: | 24,633.848 for Dow, 9,710.978 for Nasdaq, 1,413.923 for Russell; 75% of initial levels
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| Final barrier levels: | 24,633.848 for Dow, 9,710.978 for Nasdaq, 1,413.923 for Russell; 75% of initial levels
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 17330PCZ0
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