Published on 3/31/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.4 million callable contingent coupon equity notes on S&P, Russell, Stoxx
By William Gullotti
Buffalo, N.Y., March 31– Citigroup Global Markets Holdings Inc. priced $2.4 million of callable contingent coupon equity-linked securities due March 28, 2025 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent quarterly coupon at an annualized rate of 13.75% if each index closes at or above its coupon barrier level, 75% of its initial level, on every trading day during the observation 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 and each index finishes at or above 75% of its initial level, the payout will be par plus any final coupon otherwise due.
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, Euro Stoxx 50 index, S&P 500 index
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Amount: | $2.4 million
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Maturity: | March 28, 2025
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Contingent coupon: | 13.75% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation 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 any coupon otherwise due; 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: | 3,867.73 for Stoxx, 4,543.06 for S&P, 2,077.983 for Russell
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Coupon barrier levels: | 2,900.798 for Stoxx, 3,407.295 for S&P, 1,558.487 for Russell; 75% of initial levels
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Barrier levels: | 2,900.798 for Stoxx, 3,407.295 for S&P, 1,558.487 for Russell; 75% of initial levels
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Pricing date: | March 25
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Settlement date: | March 30
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 2%
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Cusip: | 17330AXX5
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