Published on 6/2/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.06 million callable contingent coupon equity notes on S&P, Russell, Nasdaq
Chicago, June 2 – Citigroup Global Markets Holdings Inc. priced $1.06 million of callable contingent coupon equity-linked securities due May 24, 2023 linked to the worst performing of 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 pay a contingent monthly coupon at an annualized rate of 8.25% if each index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes will be callable in whole at par plus any coupon due on any quarterly call valuation date after three months.
If the notes are not redeemed early and each index finishes at or above its initial level or no index ever closes below 60% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
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: | Callable contingent coupon equity-linked securities
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Underlying indexes: | Russell 2000 index, Nasdaq-100 index, S&P 500 index
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Amount: | $1,057,000
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Maturity: | May 24, 2023
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Contingent coupon: | 8.25% per year, payable monthly if each index closes at or above coupon barrier on the valuation date for that period
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Price: | Par
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Payout at maturity: | If all indexes finish at or above initial levels or no index ever closes below its knock-in level, par plus final coupon; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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Call option: | In whole at par plus any coupon due on any quarterly call valuation date after three months
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Initial levels: | 16,573.34 for Nasdaq, 4,697.96 for S&P, 2,343.161 for Russell
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Coupon barrier levels: | 11,601.338 for Nasdaq, 3,288.572 for S&P, 1,640.213 for Russell; 70% of initial levels
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Knock-in levels: | 9,944.004 for Nasdaq, 2,818.776 for S&P, 1,405.897 for Russell; 60% of initial levels
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Pricing date: | Nov. 19, 2021
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Settlement date: | Nov. 24, 2021
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.725%
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Cusip: | 17329UJU6
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