Published on 4/11/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $10.5 million callable contingent coupon equity notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, April 11 – Citigroup Global Markets Holdings Inc. priced $10.5 million of callable contingent coupon equity-linked securities due April 10, 2025 linked to the worst performing of the S&P 500 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 8.55% if each index closes at or above its coupon barrier level, 75% 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 have not been called, the payout at maturity will be par unless either index finishes below its 75% buffer level, in which case investors will lose 1.3333% for every 1% that the lesser-performing index falls beyond 25%.
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, S&P 500 index
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| Amount: | $10,501,000
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| Maturity: | April 10, 2025
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| Contingent coupon: | 8.55% 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: | Par unless either index declines beyond 25%, in which case investors will lose 1.3333% for every 1% that the lesser-performing index falls beyond 25%
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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: | 4,481.15 for S&P, 2,016.937 for Russell
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| Coupon barrier levels: | 3,360.863 for S&P, 1,512.703 for Russell; 75% of initial levels
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| Buffer levels: | 3,360.863 for S&P, 1,512.703 for Russell; 75% of initial levels
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| Pricing date: | April 6
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| Settlement date: | April 11
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.1%
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| Cusip: | 17330FH38
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