Published on 11/17/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $500,000 dual directional barrier autocallables on Russell, S&P
Chicago, Nov. 17 – Citigroup Global Markets Holdings Inc. priced $500,000 of 0% dual directional barrier securities with autocallable feature due March 6, 2025 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If both indexes close above their initial levels on March 6, 2023, the notes will be called at par plus 9%.
If each index’s final level is greater than its initial level, the payout at maturity will be par plus the least performing index’s return, subject to a maximum payout of par plus 45%.
If the least performing index’s final level is less than or equal to its initial level but greater than or equal to its final barrier level, 63.45% of its initial level, the payout will be par plus the absolute value of that index’s return.
Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
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: | Dual directional barrier securities with autocallable feature
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $500,000
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| Maturity: | March 6, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index’s final level is greater than or equal to initial level, par plus the least performing index’s return, subject to 45% cap; if the least performing index’s final level is less than initial level but greater than or equal to final barrier level, par plus the absolute value of that index’s return; otherwise, 1% loss for every 1% that the worst performer declines from initial level
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| Call: | At par plus 9% if both indexes close above their initial levels on March 6, 2023
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| Initial levels: | 4,363.49 for S&P, 2,032.41 for Russell
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| Final barrier levels: | 2,768.634 for S&P, 1,289.564 for Russell; 63.45% of initial index level
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| Pricing date: | March 3
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| Settlement date: | March 8
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.95%
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| Cusip: | 17330AV25
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