Published on 5/17/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $370,000 callable contingent coupon equity securities on indexes, ETF
Chicago, May 17 – Citigroup Global Markets Holdings Inc. priced $370,000 of callable contingent coupon equity-linked securities due Oct. 24, 2023 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the iShares MSCI Brazil ETF, 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 14.6% if each underlying closes at or above its coupon barrier level, 65% 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 potential redemption date.
If the notes are not redeemed early, the payout will be par if all three assets close above 60% of their initial levels.
Otherwise, investors will be fully exposed to the losses 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 assets: | Russell 2000 index, the S&P 500 index and the iShares MSCI Brazil ETF
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| Amount: | $370,000
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| Maturity: | Oct. 24, 2023
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| Contingent coupon: | 14.6% per year, payable quarterly if each underlying 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 if all three assets finish above final barrier levels; otherwise, full exposure to losses of worst performer from initial level
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| Call option: | In whole at par plus any coupon due on any quarterly potential redemption date
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| Initial levels: | $31.41 for ETF, 2,275.914 for Russell, 4,519.63 for S&P
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| Coupon barrier levels: | $20.417 for ETF, 1,479.344 for Russell, 2,937.76 for S&P; 65% of initial levels
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| Final barrier levels: | $18.846 for ETF, 1,365.548 for Russell, 2,711.778 for S&P; 60% of initial levels
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| Pricing date: | Oct. 19, 2021
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| Settlement date: | Oct. 22, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0%
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| Cusip: | 17329U5N7
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