Published on 10/26/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $834,000 autocallable securities on Russell, S&P Dynamic
By Kiku Steinfeld
Chicago, Oct. 26 – Citigroup Global Markets Holdings Inc. priced $834,000 of 0% autocallable securities due Feb. 26, 2027 linked to the Russell 2000 index and S&P 500 Dynamic Participation index, according to a 424B2 filing with the Securities and Exchange Commission.
The securities will be automatically called at par plus 8% per year if each index closes at or above its initial level on any quarterly call valuation date after one year.
If the worst performing index gains, the payout at maturity will be par plus 40%. Investors will receive par if the worst performing index declines but ends above the 85% buffer level and lose 1% every 1% decline of the worst performer beyond 15%.
The notes are guaranteed by Citigroup Inc.
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 securities
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| Underlying indexes: | Russell 2000 index and S&P 500 Dynamic Participation index
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| Amount: | $834,000
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| Maturity: | Feb. 26, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing index finishes at or above its initial value, par plus 40%; par if worst performing index declines but finishes at or above its 85% buffer level; otherwise, investors will lose 1% for every 1% decline of the worst performer beyond buffer
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| Call: | Automatically at par plus 8% per year if each index closes at or above its initial level on any quarterly call valuation date after one year
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| Initial levels: | 1,944.092 for Russell, 625.56 for S&P 500 Dynamic
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| Buffer levels: | 1,652.478 for Russell, 531.726 for S&P 500 Dynamic; 85% of initial levels
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4.25%
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| Cusip: | 17330A6M9
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