Published on 6/24/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $14.42 million contingent income callable securities on S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, June 24 – Citigroup Global Markets Holdings Inc. priced $14.42 million of contingent income issuer callable securities due Dec. 20, 2024 linked to the least performing of the Nasdaq-100 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 13.5% if each index closes at or above its coupon barrier, 75% of its initial level, on every day that quarter.
The notes are callable at par plus any contingent coupon due on any quarterly call observation date.
The payout at maturity will be par unless any index finishes below its 65% threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the bookrunner with Morgan Stanley Wealth Management as a dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income issuer callable securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $14,415,000
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| Maturity: | Dec. 20, 2024
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| Coupon: | 13.5% annual rate, payable quarterly if each index closes at or above coupon barrier on every day that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call option: | At par plus any coupon on any quarterly call observation date
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| Initial levels: | 11,593.77 for Nasdaq, 1,731.139 for Russell, 3,789.99 for S&P
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| Coupon barriers: | 8,449.493 for Nasdaq, 1,249.271 for Russell, 2,756.13 for S&P; 75% of initial levels
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| Downside thresholds: | 7,322.894 for Nasdaq, 1,082.701 for Russell, 2,388.646 for S&P; 65% of initial levels
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| Pricing date: | June 15
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| Settlement date: | June 21
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| Bookrunner: | Citigroup Global Markets Inc. with Morgan Stanley Wealth Management as a dealer
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| Fees: | 2.5%
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| Cusip: | 17330PCV9
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