Published on 10/14/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.84 million autocallable contingent coupon equity notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Oct. 14 – Citigroup Global Markets Holdings Inc. priced $3.84 million of autocallable contingent coupon equity-linked securities due Oct. 12, 2027 linked to the worst performing the S&P 500 index, the Russell 2000 index and the Nasdaq-100 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 coupon at an annual rate of 14.4% if each underlier closes at or above the coupon barrier level, 80% of the initial level, any monthly observation date.
The notes will be automatically called at par plus the coupon if each underlier closes at or above its initial level on any monthly autocall date after one year.
If the notes are not called and each underlier finishes at or above its final barrier level, 70% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer.
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 assets: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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| Amount: | $3,837,000
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| Maturity: | Oct. 12, 2027
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| Coupon: | 14.4% annualized rate, payable if each underlier closes at or above coupon barrier level on related monthly coupon observation date
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each underlier closes at or above final barrier; otherwise, investors will lose 1% for every 1% decline of the worst performer
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| Call: | Automatically at par plus coupon if each underlier closes at or above initial level on any monthly autocall date after one year
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| Initial levels: | 3,744.52 for S&P, 1,752.513 for Russell, 11,485.5 for Nasdaq
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| Coupon barrier levels: | 2,995.616 for S&P, 1,402.01 for Russell, 9,188.4 for Nasdaq; 80% of initial levels
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| Final barrier levels: | 2,621.164 for S&P, 1,226.759 for Russell, 8,039.85 for Nasdaq; 70% of initial levels
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| Pricing date: | Oct. 6
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| Settlement date: | Oct. 12
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17330RGP4
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