Published on 2/11/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $695,000 callable contingent coupon equity notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Feb. 11 – Citigroup Global Markets Holdings Inc. priced $695,000 of callable contingent coupon equity-linked securities due June 6, 2023 linked to the worst performing of the Nasdaq-100 index, S&P 500 index and the iShares MSCI Emerging Markets ETF, 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% if each asset 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 monthly valuation date after three months.
If the notes are not redeemed, the payout will be par unless any asset finishes below 60% of its initial level, in which case investors will be fully exposed to the loss of the least performing asset.
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 assets: | Nasdaq-100 index, S&P 500 index and iShares MSCI Emerging Markets ETF
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| Amount: | $695,000
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| Maturity: | June 6, 2023
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| Contingent coupon: | 8% per year, payable monthly if each asset 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: | Par unless any asset finishes below final barrier, in which case investors will be fully exposed to the loss of the least performing asset
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| Call option: | In whole at par plus any coupon due on any monthly valuation date after three months
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| Initial levels: | 4,524.09 for S&P, 15,611.57 for Nasdaq, $53.08 for ETF
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| Coupon barriers: | 3,166.863 for S&P, 10,928.099 for Nasdaq, $37.156 for ETF; 70% of initial levels
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| Final barriers: | 2,714.454 for S&P, 9,366.942 for Nasdaq, $31.848 for ETF; 60% of initial levels
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| Pricing date: | Sept. 1
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| Settlement date: | Sept. 7
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.725%
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| Cusip: | 17329QT34
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