Published on 3/29/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.69 million callable contingent coupon equity notes on indexes
By Kiku Steinfeld
Chicago, March 29 – Citigroup Global Markets Holdings Inc. priced $1.69 million of callable contingent coupon equity-linked securities due Sept. 26, 2024 linked to the worst performing of the S&P 500 index, the MSCI Emerging Markets index and the Russell 2000 index, 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 7.75% 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 at par plus any coupon due on any quarterly call valuation date after six months.
If the notes have not been called and each index finishes at or above its coupon barrier, the payout at maturity will be par plus the coupon.
If the worst performer finishes below its coupon barrier but at or above the 50% final barrier, the payout at maturity will be par. 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, S&P 500 index, MSCI Emerging Markets index
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| Amount: | $1,691,000
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| Maturity: | Sept. 26, 2024
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| Contingent coupon: | 7.75% per year, payable quarterly 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 each index finishes at or above final barrier, par plus any coupon due; otherwise, loss of 1% for every 1% decline of the worst performer from its initial level
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| Call option: | Par plus any coupon due on any quarterly call valuation date after six months
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| Initial levels: | 1,262.79 for EM, 2,218.561 for Russell, 4,395.64 for S&P
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| Coupon barrier levels: | 883.953 for EM, 1,552.993 for Russell, 3,076.948 for S&P; 70% of initial levels
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| Final barrier levels: | 631.395 for EM, 1,109.281 for Russell, 2,197.820 for S&P; 50% of initial levels
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| Pricing date: | Sept. 22
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| Settlement date: | Sept. 27
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.25%
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| Cusip: | 17329QNL0
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