Published on 8/29/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.48 million callable contingent coupon equity notes on indexes, ETF
By Kiku Steinfeld
Chicago, Aug. 29 – Citigroup Global Markets Holdings Inc. priced $1.48 million of callable contingent coupon equity-linked securities due July 26, 2023 linked to the worst performing of the Nasdaq-100 index, the iShares Russell 2000 Value ETF 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 8.1% if each underlier closes at or above its coupon barrier level, 70% 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 monthly call valuation date after three months.
If the notes have not been called, the payout at maturity will be par unless any underlier closes below its 65% barrier level during the life of the notes and the worst performing underlier finishes below its initial level, in which case 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 assets: | iShares Russell 2000 Value ETF, Nasdaq-100 index and S&P 500 index
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| Amount: | $1.48 million
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| Maturity: | July 26, 2023
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| Contingent coupon: | 8.1% 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 barrier level during the life of the notes and the worst performing underlier finishes below its initial level, in which case 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 monthly call valuation date after three months
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| Initial levels: | $154.47 for ETF, 14,438.40 for Nasdaq, 4,397.94 for S&P
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| Coupon barrier levels: | $108.129 for ETF, 10,106.880 for Nasdaq, 3,078.558 for S&P; 70% of initial levels
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| Barrier levels: | $100.406 for ETF, 9,384.960 for Nasdaq, 2,858.661 for S&P; 65% of initial levels
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| Pricing date: | Jan. 21
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| Settlement date: | Jan. 26
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.25%
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| Cusip: | 17330AEE8
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