Published on 4/14/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $4.23 million callable contingent coupon equity notes on S&P, Russell
By William Gullotti
Buffalo, N.Y., April 14 – Citigroup Global Markets Holdings Inc. priced $4.23 million of callable contingent coupon equity-linked securities due April 15, 2025 linked to the worst performing of the S&P 500 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 9.5% if each index closes at or above its coupon barrier level, 75% 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 six months.
If the notes have not been called and each index finishes at or above its 75% barrier level, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the 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
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| Amount: | $4,225,000
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| Maturity: | April 15, 2025
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| Contingent coupon: | 9.5% per year, payable quarterly if each index closes at or above coupon barrier on the valuation date for that period
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above barrier level, par plus final coupon; otherwise, lose 1% for every 1% decline of the worst performer from initial level
|
| Call option: | In whole at par plus any coupon due on any quarterly call valuation date after six months
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| Initial levels: | 4,488.28 for S&P, 1,994.562 for Russell
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| Coupon barrier levels: | 3,366.21 for S&P, 1,495.922 for Russell; 75% of initial levels
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| Barrier levels: | 3,366.21 for S&P, 1,495.922 for Russell; 75% of initial levels
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| Pricing date: | April 8
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| Settlement date: | April 18
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17330F5Y3
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