Published on 10/6/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $14.16 million autocallable contingent coupon equity notes on Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, Oct. 6 – Citigroup Global Markets Holdings Inc. priced $14.16 million of autocallable contingent coupon equity-linked securities due Oct. 9, 2029 linked to the worst performing of the Russell 2000 index and the S&P 500 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 10.35% if each index closes at or above the coupon barrier level, 80% of the initial level, on the valuation date for that period, plus any previously unpaid coupon.
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 starting April 3, 2024.
If the notes are not called and each index finishes at or above its 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.
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: | S&P 500 index, Russell 2000 index
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| Amount: | $14.16 million
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| Maturity: | Oct. 9, 2029
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| Coupon: | 10.35% annualized rate, payable monthly if each index closes at or above coupon barrier level, on valuation date for that period, plus any previously unpaid coupon
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| Price: | Par
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| Payout at maturity: | Par if each index finishes at or above barrier level; otherwise, investors will lose 1% for every 1% decline of the worst performer
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any monthly valuation date starting April 3, 2024
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| Initial levels: | 3,678.43 for S&P, 1,708.87 for Russell
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| Coupon barrier levels: | 2,942.744 for S&P, 1,367.096 for Russell; 80% of initial levels
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| Barrier levels: | 2,207.058 for S&P, 1,025.32 for Russell; 60% of initial levels
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| Pricing date: | Oct. 3
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| Settlement date: | Oct. 6
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.1%
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| Cusip: | 17330RRY3
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