Published on 10/17/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $6.85 million callable contingent coupon equity notes on S&P, Nasdaq, Russell
By William Gullotti
Buffalo, N.Y., Oct. 17 – Citigroup Global Markets Holdings Inc. priced $6.85 million of callable contingent coupon equity-linked securities due July 5, 2024 linked to the worst performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 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 12.7% if each index 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 are not redeemed early, the payout will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above 60% of its initial level, the payout at maturity will be par. 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: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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| Amount: | $6,846,000
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| Maturity: | July 5, 2024
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| Contingent coupon: | 12.7% per year, payable monthly 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 coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above final barrier, par; 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 monthly call valuation date after three months
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| Initial levels: | 1,674.931 for Russell, 3,640.47 for S&P, 11,164.78 for Nasdaq
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| Coupon barrier levels: | 1,172.452 for Russell, 2,548.329 for S&P, 7,815.346 for Nasdaq; 70% of initial levels
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| Barrier levels: | 1,004.959 for Russell, 2,184.282 for S&P, 6,698.868 for Nasdaq; 60% of initial levels
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| Pricing date: | Sept. 29
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| Settlement date: | Oct. 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.725%
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| Cusip: | 17330RFP5
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