Published on 3/6/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.59 million callable contingent coupon notes on three ETFs
By Kiku Steinfeld
Chicago, March 7 – Citigroup Global Markets Holdings Inc. priced $1.59 million of callable contingent coupon equity-linked securities due Sept. 20, 2024 linked to the least performing of the iShares Russell 2000 ETF, the Invesco QQQ Trust, Series 1 and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent quarterly coupon at an annualized rate of 6.5% if each underlying asset closes at or above its coupon barrier level, 70% of its initial level, on the related quarterly observation date.
The notes will be callable in whole at par quarterly.
If each asset finishes at or above its 65% barrier level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the least-performing asset, payable in shares or cash at the option of the issuer.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable contingent coupon equity-linked securities
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| Underlying assets: | iShares Russell 2000 ETF, Invesco QQQ Trust, Series 1 and SPDR S&P 500 ETF Trust
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| Amount: | $1.59 million
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| Maturity: | Sept. 20, 2024
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| Contingent coupon: | 6.5% per year, payable each quarter that each underlying asset closes at or above coupon barrier on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | If each asset finishes at or above final barrier, par; otherwise, full exposure to losses of least-performing asset, payable in shares or cash at option of issuer
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| Call option: | At par quarterly
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| Initial levels: | $376.59 for QQQ, $221.62 for Russell, $445.44 for S&P
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| Coupon barriers: | $263.613 for QQQ, $155.134 for Russell, $311.808 for S&P; 70% of initial levels
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| Final barriers: | $244.784 for QQQ, $144.053 for Russell, $289.536 for S&P; 65% of initial levels
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| Equity ratios: | 2.65541 for QQQ, 4.51223 for Russell, 2.24497 for S&P
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| Pricing date: | Sept. 13
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| Settlement date: | Sept. 20
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328NB23
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