Published on 3/15/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.1 million callable contingent coupon equity notes on S&P, Russell, Nasdaq
By William Gullotti
Buffalo, N.Y., March 15 – Citigroup Global Markets Holdings Inc. priced $2.1 million of callable contingent coupon equity-linked securities due March 13, 2025 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 12.03% if each index closes at or above its coupon barrier level, 80% of its initial level, on the valuation date for that period. Previously unpaid coupons, if any, will be automatically included whenever a contingent payment is made.
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 70% 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: | Russell 2000 index, Nasdaq-100 index, S&P 500 index
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| Amount: | $2.1 million
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| Maturity: | March 13, 2025
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| Contingent coupon: | 12.03% per year, payable monthly if each index closes at or above coupon barrier on the valuation date for that period; coupon payment events will automatically include any previously unpaid coupons
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| Price: | Par
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| Payout at maturity: | If all indexes finish at or above coupon barrier, par plus all unpaid coupons; 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: | 13,591.0 for Nasdaq, 4,259.52 for S&P, 2,011.673 for Russell
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| Coupon barrier levels: | 10,872.8 for Nasdaq, 3,407.616 for S&P, 1,609.338 for Russell; 80% of initial levels
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| Barrier levels: | 9,513.7 for Nasdaq, 2,981.664 for S&P, 1,408.171 for Russell; 70% of initial levels
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| Pricing date: | March 10
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| Settlement date: | March 15
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17330AWD0
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