Published on 6/16/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million callable contingent coupon equity notes on S&P, Dow, Russell
By William Gullotti
Buffalo, N.Y., June 16 – Citigroup Global Markets Holdings Inc. priced $1 million of callable contingent coupon equity-linked securities due June 13, 2025 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, 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 10% if each index closes at or above its coupon barrier level, 67.5% 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.
If the notes are not redeemed early and each index finishes at or above 67.5% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, 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, Dow Jones industrial average, S&P 500 index
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| Amount: | $1 million
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| Maturity: | June 13, 2025
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| Contingent coupon: | 10% per year, payable quarterly 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: | If all indexes finish at or above final barrier, par plus final coupon; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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| Call option: | In whole at par plus any coupon due on any quarterly call valuation date
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| Initial levels: | 31,392.79 for Dow, 3,900.86 for S&P, 1,800.284 for Russell
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| Coupon barrier levels: | 21,190.133 for Dow, 2,633.081 for S&P, 1,215.192 for Russell; 67.5% of initial levels
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| Barrier levels: | 21,190.133 for Dow, 2,633.081 for S&P, 1,215.192 for Russell; 67.5% of initial levels
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| Pricing date: | June 10
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| Settlement date: | June 15
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.1%
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| Cusip: | 17330PQJ1
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