Published on 9/1/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.5 million autocallable barrier securities on Nasdaq, Russell, Dow
By Kiku Steinfeld
Chicago, Sept. 1 – Citigroup Global Markets Holdings Inc. priced $1.5 million of 0% autocallable barrier securities due Jan. 24, 2025 linked to the worst performing of the Nasdaq-100 index, the Dow Jones industrial average and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically redeemed at par plus an annualized 15.1% call premium if all indexes close at or above 102% of their initial levels on either of two annual call observation dates.
If the notes are not called and all indexes finish at or above their initial levels, the payout at maturity will be par plus the return of the least performing index.
If the worst performer declines but finishes above 70% of its initial level, the payout will be par.
Otherwise, investors will lose 1% for each 1% 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: | Autocallable barrier securities
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| Underlying indexes: | Nasdaq-100 index, Dow Jones industrial average, Russell 2000 index
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| Amount: | $1,498,000
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| Maturity: | Jan. 24, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If all indexes finish positive, par plus return of worst performer; par if at least one index declines but worst performer finishes above barrier level; otherwise, investors will lose 1% for each 1% decline from the initial level of the worst performing index
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| Call: | At par plus an annualized call premium of 15.1% if each index closes at or above 102% of initial level on any either of two annual call observation dates
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| Initial levels: | 14,438.40 for Nasdaq, 34,265.37 for Dow, 1,987.918 for Russell
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| Barrier levels: | 10,106.880 for Nasdaq, 23,985.759 for Dow, 1,391.543 for Russell; 70% of initial levels
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| Call barrier levels: | 14,727.168 for Nasdaq, 34,950.677 for Dow, 2,027.676 for Russell; 102% of initial levels
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| Pricing date: | Jan. 21, 2022
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| Settlement date: | Jan. 26, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17330ACL4
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