Published on 5/27/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.01 million callable contingent coupon equity notes on Nasdaq, Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, May 27 – Citigroup Global Markets Holdings Inc. priced $2.01 million of callable contingent coupon equity-linked securities due Nov. 24, 2023 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 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 7.1% if each index closes at or above its coupon barrier level, 50% of its initial level, on the related valuation date.
The notes will be callable in whole at par plus any coupon due on any monthly potential redemption date after six months.
If the notes are not redeemed early and each index finishes at or above its 75% final buffer level, the payout will be par.
Otherwise, investors will lose 1% for every 1% decline of the worst performer beyond 25%.
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, Nasdaq-100 index
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| Amount: | $2,008,000
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| Maturity: | Nov. 24, 2023
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| Contingent coupon: | 7.1% per year, payable monthly if each index closes at or above coupon barrier on related observation date
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| Price: | Par
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| Payout at maturity: | If all indexes finish above initial level, par; if no index finishes below final buffer level, par; otherwise, investors will lose 1% for every 1% decline of the worst performer beyond 25%
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| Call option: | In whole at par plus any coupon due on any monthly potential redemption date after six months
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| Initial levels: | 3,901.36 for S&P, 1,773.266 for Russell, 11,835.62 for Nasdaq
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| Coupon barrier levels: | 2,730.952 for S&P, 1,241.286 for Russell, 8,284.934 for Nasdaq; 70% of initial levels
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| Final buffer levels: | 2,926.02 for S&P, 1,329.95 for Russell, 8,876.715 for Nasdaq; 75% 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: | 0.75%
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| Cusip: | 17330FKZ3
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