Published on 8/17/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $791,000 autocallable contingent coupon equity notes on S&P, Nasdaq
Chicago, Aug. 17 – Citigroup Global Markets Holdings Inc. priced $791,000 of autocallable contingent coupon equity-linked securities due July 29, 2027 linked to the worst performing of the Nasdaq-100 index and the S&P 500 Dynamic Participation 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 monthly coupon at an annual rate of 8.25% if each index closes at or above the coupon barrier level, 75% of the initial level, on the valuation date for that period.
The notes will be automatically called at par if each index closes at or above its initial level, on any monthly valuation date after one year.
If the notes are not called and each index finishes at or above final buffer level, 80% of its initial level, the payout at maturity will be par. Otherwise, investors will be exposed to the downside of the worst performer beyond the 20% buffer.
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: | Nasdaq-100 index and S&P 500 Dynamic Participation index
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| Amount: | $791,000
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| Maturity: | July 29, 2027
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| Coupon: | 8.25% annualized rate, payable monthly 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 if each index closes at or above final buffer level; otherwise, investors will be exposed to the downside of the worst performer beyond buffer
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| Call: | Automatically at par if each index closes at or above initial level on any monthly valuation date after one year
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| Initial levels: | 12,086.9 for Nasdaq and 595.6 for S&P Dynamic
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| Coupon barrier levels: | 9,065.175 for Nasdaq and 446.7 for S&P Dynamic, 75% of initial levels
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| Final buffer levels: | 9,669.52 for Nasdaq and 476.48 for S&P Dynamic, 80% of initial levels
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| Pricing date: | July 26, 2022
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| Settlement date: | July 29, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17330PMA4
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