Published on 8/23/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.8 million autocallable contingent coupon equity notes on three indexes
By Kiku Steinfeld
Chicago, Aug. 23 – Citigroup Global Markets Holdings Inc. priced $2.8 million of autocallable contingent coupon equity-linked securities due Jan. 23, 2024 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 9.2% if each index closes at or above the coupon barrier level, 80% of the initial level, on the valuation date for that period. Previously unpaid coupons, if any, will be automatically included whenever a coupon is paid.
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, 70% 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: | Nasdaq-100 index, S&P 500 index, Russell 2000 index
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| Amount: | $2,799,000
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| Maturity: | Jan. 23, 2024
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| Coupon: | 9.2% annualized rate, payable monthly if each index closes at or above coupon barrier level, on valuation date for that period; coupon payment events will automatically include any previously unpaid coupons
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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: | 15,210.76 for Nasdaq, 4,577.11 for S&P, 2,096.225 for Russell
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| Coupon barrier levels: | 12,168.608 for Nasdaq 3,661.688 for S&P, 1,676.980 for Russell; 80% of initial levels
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| Final barrier levels: | 10,647.532 for Nasdaq, 3,203.977 for S&P, 1,467.358 for Russell; 70% of initial levels
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| Pricing date: | Jan. 18, 2022
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| Settlement date: | Jan. 21, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.4%
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| Cusip: | 17329UML2
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