Published on 10/17/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $9.78 million contingent income autocalls on S&P, Russell, Nasdaq
By William Gullotti
Buffalo, N.Y., Oct. 17 – Citigroup Global Markets Holdings Inc. priced $9.78 million of contingent income autocallable securities due Sept. 19, 2025 linked to the least performing of the Nasdaq-100 index, 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 the rate of 10.5% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on every trading day during the observation period.
The notes will be automatically called at par plus any coupon otherwise due if each index closes at or above its initial level on any quarterly determination date.
The payout at maturity will be par unless any index finishes below its downside threshold level, 60% of its initial level, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.
Citigroup Global Markets Inc. is the underwriter with Morgan Stanley Wealth Management as the selected dealer.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Contingent income autocallable securities
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Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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Amount: | $9,783,000
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Maturity: | Sept. 19, 2025
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Coupon: | 10.5% per year, payable quarterly if each index closes at or above coupon barrier level on every trading day during the observation period
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Price: | Par
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Payout at maturity: | Par unless any index finishes below downside threshold level, in which case 1% loss for every 1% that least-performing index declines from initial level
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Call: | Automatically at par plus any coupon otherwise due if each index closes at or above initial level on any quarterly determination date
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Initial levels: | 3,873.33 for S&P, 11,861.38 for Nasdaq, 1,798.189 for Russell
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Coupon barriers: | 2,711.331 for S&P, 8,302.966 for Nasdaq, 1,258.732 for Russell; 70% of initial levels
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Downside thresholds: | 2,323.998 for S&P, 7,116.828 for Nasdaq, 1,078.913 for Russell; 60% of initial levels
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Pricing date: | Sept. 16
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Settlement date: | Sept. 21
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Underwriter: | Citigroup Global Markets Inc.
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Dealer: | Morgan Stanley Wealth Management
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Fees: | 2.5%
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Cusip: | 17330RTK1
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