Published on 6/21/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.01 million autocallable contingent coupon equity notes on S&P, Russell
By Kiku Steinfeld
Chicago, June 21 – Citigroup Global Markets Holdings Inc. priced $1.01 million of autocallable contingent coupon equity-linked securities due Dec. 5, 2024 linked to the worst performing of the S&P 500 index and the Russell 2000 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 quarterly coupon at an annual rate of 8.05% if each index closes at or above the coupon barrier level, 70% of the initial level, on the valuation date for that period.
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.
If the notes are not called and each index finishes at or above final barrier level, 70% of its initial level, the payout at maturity will be par plus the final coupon. 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: | Russell 2000 index, S&P 500 index
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| Amount: | $1,006,000
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| Maturity: | Dec. 5, 2024
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| Coupon: | 8.05% annualized rate, payable quarterly if each index closes at or above coupon barrier level, on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each index finishes at or above final barrier; 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
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| Initial levels: | 2,198.908 for Russell, 4,567.00 for S&P
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| Coupon barrier levels: | 1,539.236 for Russell, 3,196.900 for S&P; 70% of initial levels
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| Final barrier levels: | 1,539.236 for Russell, 3,196.900 for S&P; 70% of initial levels
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| Pricing date: | Nov. 30, 2021
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| Settlement date: | Dec. 3, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.5%
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| Cusip: | 17329UQJ3
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