Published on 3/29/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million callable contingent coupon equity notes on S&P, Russell, Nasdaq
By Kiku Steinfeld
Chicago, March 29 – Citigroup Global Markets Holdings Inc. priced $1 million of callable contingent coupon equity-linked securities due Sept. 26, 2024 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 8.15% if each index closes at or above its coupon barrier level, 80% of its initial level, on the valuation date for that period, in which case any previously unpaid coupons will also be paid.
The notes will be callable at par on any monthly call valuation date after three months.
If the notes are not redeemed early, the payout will be par if each index finishes at or above its 70% final barrier level.
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 million
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Maturity: | Sept. 26, 2024
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Contingent coupon: | 8.15% per year, payable monthly plus any previously unpaid coupons 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 final barrier, par; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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Call option: | Par on any monthly call valuation date after three months
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Initial levels: | 15,176.51 for Nasdaq, 4,395.64 for S&P, 2,218.561 for Russell
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Coupon barrier levels: | 12,141.208 for Nasdaq, 3,516.512 for S&P, 1,774.849 for Russell; 80% of initial levels
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Final barrier levels: | 10,623.557 for Nasdaq, 3,076.948 for S&P, 1,552.993 for Russell; 70% 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: | 0.75%
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Cusip: | 17329QVY3
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