Published on 5/11/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.6 million callable contingent coupon equity notes on three indexes
By William Gullotti
Buffalo, N.Y., May 11 – Citigroup Global Markets Holdings Inc. priced $1.6 million of callable contingent coupon equity-linked securities due May 9, 2025 linked to the worst performing of the Russell 2000 index, the Nasdaq-100 index and the Dow Jones industrial average, 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 11% if each index closes at or above its coupon barrier level, 80% 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 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: | Nasdaq-100 index, Dow Jones industrial average, Russell 2000 index
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| Amount: | $1,601,000
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| Maturity: | May 9, 2025
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| Contingent coupon: | 11% 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 coupon barrier, par plus final coupon; 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 quarterly call valuation date after six months
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| Initial levels: | 32,899.37 for Dow, 1,839.565 for Russell, 12,693.54 for Nasdaq
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| Coupon barrier levels: | 26,319.496 for Dow, 1,471.652 for Russell, 10,154.832 for Nasdaq; 80% of initial levels
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| Barrier levels: | 23,029.559 for Dow, 1,287.696 for Russell, 8,885.478 for Nasdaq; 70% of initial levels
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| Pricing date: | May 6
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| Settlement date: | May 11
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.75%
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| Cusip: | 17330FPB1
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