Published on 3/12/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.7 million callable contingent coupon equity notes on indexes, ETF
By Kiku Steinfeld
Chicago, March 14 – Citigroup Global Markets Holdings Inc. priced $1.7 million of callable contingent coupon equity-linked securities due March 21, 2023 linked to the worst performing of the Nasdaq-100 index, the iShares MSCI Emerging Markets ETF 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 5% if each underlier closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
After six months, the notes will be callable at par plus any coupon due on any quarterly call valuation date.
If the notes have not been called and each underlier finishes at or above its coupon barrier, the payout at maturity will be par plus the coupon.
If the worst performer finishes below its coupon barrier but at or above the 61.5% final barrier, 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.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable contingent coupon equity-linked securities
|
| Underlying assets: | Russell 2000 index, Nasdaq-100 index, iShares MSCI Emerging Markets ETF
|
| Amount: | $1,702,000
|
| Maturity: | March 21, 2023
|
| Contingent coupon: | 5% per year, payable monthly if each underlier closes at or above coupon barrier on the valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | If each underlier finishes at or above coupon barrier, par plus coupon; if the worst performer finishes below coupon barrier but at or above the 61.5% barrier, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
|
| Call option: | Par plus any coupon due on any quarterly call valuation date after six months
|
| Initial levels: | $81.57 for ETF, 2,232.911 for Russell, 15,515.91 for Nasdaq
|
| Coupon barrier levels: | $57.099 for ETF, 1,563.038 for Russell, 10,861.137 for Nasdaq; 70% of initial levels
|
| Barrier levels: | $50.166 for ETF, 1,373.240 for Russell, 9,542.285 for Nasdaq; 61.5% of initial levels
|
| Pricing date: | Sept. 16
|
| Settlement date: | Sept. 21
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 0.725%
|
| Cusip: | 17329QTH3
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