Published on 7/7/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.74 million callable contingent coupon equity notes on S&P, Russell, Nasdaq
By William Gullotti
Buffalo, N.Y., July 7 – Citigroup Global Markets Holdings Inc. priced $2.74 million of callable contingent coupon equity-linked securities due July 2, 2026 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 7.5% if each index closes at or above its coupon barrier level, 60% 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 after six months.
If the notes are not redeemed early, the payout will be par plus the final coupon if each index finishes at or above 60% of its initial level. 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: | $2,743,000
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| Maturity: | July 2, 2026
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| Contingent coupon: | 7.5% 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 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 after six months
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| Initial levels: | 12,008.24 for Nasdaq, 3,900.11 for S&P, 1,771.742 for Russell
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| Coupon barrier levels: | 7,204.944 for Nasdaq, 2,340.066 for S&P, 1,063.045 for Russell; 60% of initial levels
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| Barrier levels: | 7,204.944 for Nasdaq, 2,340.066 for S&P, 1,063.045 for Russell; 60% of initial levels
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| Pricing date: | June 27
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| Settlement date: | June 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.5%
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| Cusip: | 17330FKG5
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