Published on 4/20/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.21 million callable contingent coupon equity notes on S&P, Russell, Nasdaq
By Kiku Steinfeld
Chicago, April 20 – Citigroup Global Markets Holdings Inc. priced $1.21 million of callable contingent coupon equity-linked securities due March 30, 2023 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% 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 in whole at par plus any coupon due on any monthly call valuation date after three months.
Unless the worst performer finishes below its 70% final barrier, the payout at maturity will be par, in which case 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: | $1,207,000
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| Maturity: | March 30, 2023
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| Contingent coupon: | 8% per year, payable monthly 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: | Par unless worst performer finishes below its final barrier, in which case 1% loss for every 1% decline of worst performer from its initial level
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| Call option: | In whole at par plus any coupon due on any monthly call valuation date after three months
|
| Initial levels: | 15,204.83 for Nasdaq, 4,443.11 for S&P, 2,281.003 for Russell
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| Coupon barrier levels: | 10,643.381 for Nasdaq, 3,110.177 for S&P, 1,596.702 for Russell; 70% of initial levels
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| Barrier levels: | 10,643.381 for Nasdaq, 3,110.177 for S&P, 1,596.702 for Russell; 70% of initial levels
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| Pricing date: | Sept. 27, 2021
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| Settlement date: | Sept. 30, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.725%
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| Cusip: | 17329QVJ6
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