Published on 5/27/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.21 million callable contingent coupon equity notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., May 27 – Citigroup Global Markets Holdings Inc. priced $1.21 million of callable contingent coupon equity-linked securities due Aug. 24, 2023 linked to the worst performing of the Nasdaq-100 index, the VanEck Vectors Gold Miners ETF 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 monthly coupon at an annualized rate of 20.05% if each underlier closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
After six months, the notes will be callable in whole at par plus any coupon due on any monthly call valuation date.
If the notes have not been called, the payout at maturity will be par unless any underlier closes below its 70% barrier level during the life of the notes and any underlier finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer finishes below 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 assets: | Russell 2000 index, Nasdaq-100 index, VanEck Vectors Gold Miners ETF
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| Amount: | $1,211,000
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| Maturity: | Aug. 24, 2023
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| Contingent coupon: | 20.05% per year, payable monthly if each underlier 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 any underlier closes below its 70% barrier level during the life of the notes and any underlier finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer finishes below its initial level
|
| Call option: | In whole at par plus any coupon due on any monthly call valuation date after six months
|
| Initial levels: | $53.43 for ETF, 2,275.611 for Russell, 15,675.76 for Nasdaq
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| Coupon barrier levels: | $37.401 for ETF, 1,592.928 for Russell, 10,973.032 for Nasdaq; 70% of initial levels
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| Barrier levels: | $37.401 for ETF, 1,592.928 for Russell, 10,973.032 for Nasdaq; 70% of initial levels
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| Pricing date: | May 20
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| Settlement date: | May 25
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17330FKL4
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