Published on 5/27/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $8.8 million callable contingent coupon equity notes on Dow, Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, May 27 – Citigroup Global Markets Holdings Inc. priced $8.8 million of callable contingent coupon equity-linked securities due May 27, 2027 linked to the worst performing of the Dow Jones industrial average, the Russell 2000 index and the S&P 500 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 10% if each index closes at or above its coupon barrier level, 70% of its initial level, on the related valuation date.
The notes will be callable in whole at par plus any coupon due on any quarterly potential redemption date after six months.
If the notes are not redeemed early and each index finishes at or above its 50% final barrier level level, the payout 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, S&P 500 index, Dow Jones industrial average
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| Amount: | $8.8 million
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| Maturity: | May 27, 2027
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| Contingent coupon: | 10% per year, payable quarterly if each index closes at or above coupon barrier on related observation date
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| Price: | Par
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| Payout at maturity: | If all indexes finish above initial level, par; if no index finishes below final barrier level, 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 potential redemption date after six months
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| Initial levels: | 3,901.36 for S&P, 1,773.266 for Russell, 31,261.9 for Dow
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| Coupon barrier levels: | 2,730.952 for S&P, 1,241.286 for Russell, 21,883.33 for Dow; 70% of initial levels
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| Final barrier level levels: | 1,950.68 for S&P, 886.633 for Russell, 15,630.95 for Dow; 50% of initial levels
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| Pricing date: | May 20
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| Settlement date: | May 25
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0%
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| Cusip: | 17330FRD5
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