Published on 5/9/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $22.89 million contingent income callable notes S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, May 9 – Citigroup Global Markets Holdings Inc. priced $22.89 million of contingent income callable securities due May 2, 2025 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 quarterly coupon at an annual rate of 11.5% if each index closes at or above its coupon barrier level, 75% of its initial index level, on each day during the observation period.
The notes are callable at par on any contingent coupon payment date.
If the notes have not been called, the payout at maturity will be par unless any index finishes below its 65% downside threshold level. Otherwise, investors will lose 1% for every 1% decline of the lesser performing index.
Citigroup Global Markets Inc. is the underwriter with Morgan Stanley Wealth Management as a selected dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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| Amount: | $22,886,000
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| Maturity: | May 2, 2025
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| Coupon: | 11.5% per year, payable for each quarter that each index closes at or above coupon barrier on every trading day during the observation period
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its downside threshold level; otherwise, investors will lose 1% for every 1% decline of the lesser performing index
|
| Call option: | At par on any contingent coupon payment date
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| Initial levels: | 4,131.93 for S&P, 1,864.103 for Russell, 12,854.8 for Nasdaq
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| Coupon barriers: | 3,098.948 for S&P, 1,398.077 for Russell, 9,641.1 for Nasdaq; 75% of initial levels
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| Downside thresholds: | 2,685.755 for S&P, 1,211.667 for Russell, 8,355.62 for Nasdaq; 65% of initial levels
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| Pricing date: | April 29
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| Settlement date: | May 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Selected dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.5%
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| Cusip: | 17330FCU3
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