Published on 7/26/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.51 million callable contingent coupon equity notes on S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, July 26 – Citigroup Global Markets Holdings Inc. priced $3.51 million of callable contingent coupon equity-linked securities due April 25, 2024 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 monthly coupon at an annualized rate of 9.25% if each index closes at or above its coupon barrier level, 65% of its initial level, on every trading day during the observation period.
The notes will be callable in whole at par plus any coupon due on any observation date after three months.
If the notes are not redeemed early and each index finishes at or above 65% of its initial level, the payout at maturity will be par plus any final coupon otherwise due.
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, Nasdaq-100 index, S&P 500 index
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| Amount: | $3,509,000
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| Maturity: | April 25, 2024
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| Contingent coupon: | 9.25% per year, payable monthly if 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: | If all indexes finish at or above final barrier, par plus any final coupon otherwise due; 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 observation date after three months
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| Initial levels: | 12,619.41 for Nasdaq, 3,998.95 for S&P, 1,863.693 for Russell
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| Coupon barrier levels: | 8,202.617 for Nasdaq, 2,599.318 for S&P, 1,193.85 for Russell; 65% of initial levels
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| Barrier levels: | 8,202.617 for Nasdaq, 2,599.318 for S&P, 1,193.85 for Russell; 65% of initial levels
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| Pricing date: | July 21
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| Settlement date: | July 26
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.225%
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| Cusip: | 17330PGH6
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