Published on 4/25/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $62,000 autocallable notes on Russell 2000, S&P 500 Dynamic index
Chicago, April 25 – Citigroup Global Markets Holdings Inc. priced $62,000 of 0% autocallable securities due May 28, 2027 linked to the worst performing of 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 called automatically starting on May 26, 2023 with a premium at an 8.5% annual rate if the worst performing index closes above 90% of its initial value and on any subsequent quarterly review date.
If the worst performing index gains or declines by no more than 10%, the payout at maturity will be par plus the premium for the final valuation date.
Investors will receive par if the worst performer declines more than 10%, but not more than 15%.
Otherwise, investors will lose 1% for every 1% that the worst performing index declines beyond its buffer.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| 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: | $62,000
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| Maturity: | May 28, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus final premium if worst performer finishes above 90% of initial level; par if worst performer declines more than 10% but not more than 15%; otherwise, 1% loss for every 1% that worst performing index declines beyond the buffer
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| Call: | Automatically starting on May 26, 2023 with a premium at an 8.5% annual rate if the worst performing index closes above 90% of its initial value and on any subsequent quarterly review date
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| Initial levels: | 1,799.164 for Russell, 628.94 for S&P Dynamic
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| Buffer: | 15%
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| Autocall barrier levels: | 1,619.248 for Russell index, 566.046 for S&P Dynamic, 85% of initial levels
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| Buffer levels: | 1,529.289 for Russell index, 534.599 for S&P Dynamic, 85% of initial levels
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| Pricing date: | May 25, 2022
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| Settlement date: | May 31, 2022
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17330FNE7
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