Published on 8/6/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.05 million autocallable contingent coupon equity notes on Russell, S&P
By Kiku Steinfeld
Chicago, Aug. 8 – Citigroup Global Markets Holdings Inc. priced $1.05 million of autocallable contingent coupon equity-linked securities due Jan. 16, 2025 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 quarterly coupon at an annual rate of 5.05% if each index closes at or above the coupon barrier level, 80% 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 after one year.
If the notes have not been called and each index finishes at or above 80% 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 below 20% of 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: | S&P 500 index, Russell 2000 index
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| Amount: | $1,049,000
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| Maturity: | Jan. 16, 2025
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| Coupon: | 5.05% 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: | If each index finishes at or above buffer level, par plus final coupon; otherwise, 1% loss for every 1% decline of the worst performer beyond buffer
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date after one year
|
| Initial levels: | 4,713.07 for S&P, 2,194.003 for Russell
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| Coupon barrier levels: | 3,770.456 for S&P, 1,755.202 for Russell; 80% of initial levels
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| Buffer levels: | 3,770.456 for S&P, 1,755.202 for Russell; 80% of initial levels
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| Pricing date: | Jan. 11
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| Settlement date: | Jan. 14
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.5%
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| Cusip: | 17329UQX2
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