Published on 10/7/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $50.3 million step down trigger autocallables on S&P, Russell
By William Gullotti
Buffalo, N.Y., Oct. 7 – Citigroup Global Markets Holdings Inc. priced $50.3 million of 0% step down trigger autocallable notes due Oct. 7, 2027 linked to the performance of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par of $10 plus 16.04% per year if each index closes at or above its initial level on any semiannual observation date after one year.
At maturity, if each index finishes at or above its step-down threshold, 90% of initial level, the notes will be called at par plus 80.2%.
If the laggard index finishes below its step-down threshold but at or above 80% of its initial level, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the laggard index from its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. and UBS Financial Services Inc. are the underwriters.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Step down trigger autocallable notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $50.3 million
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| Maturity: | Oct. 7, 2027
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above step-down threshold, par plus 80.2%; if lesser-performing index finishes below step-down threshold but at or above downside threshold, par; otherwise, full exposure to decline of lesser-performing index from initial level
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| Call: | Automatically at par plus 16.04% per year if each index closes at or above initial level on any semiannual valuation date after one year
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| Initial levels: | 3,678.43 for S&P, 1,708.87 for Russell
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| Step-down thresholds: | 3,310.59 for S&P, 1,537.983 for Russell; 90% of initial levels
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| Downside thresholds: | 2,942.74 for S&P, 1,367.096 for Russell; 80% of initial levels
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| Strike date: | Oct. 3
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| Pricing date: | Oct. 4
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| Settlement date: | Oct. 7
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| Underwriters: | Citigroup Global Markets Inc. and UBS Financial Services Inc.
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| Fees: | 0.25%
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| Cusip: | 17330U637
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