Published on 6/21/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $884,000 callable contingent coupon equity notes on S&P, Russell, Nasdaq
By Kiku Steinfeld
Chicago, June 21 – Citigroup Global Markets Holdings Inc. priced $884,000 of callable contingent coupon equity-linked securities due Sept. 5, 2023 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 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 7.75% if each index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes will be callable at par on any monthly call valuation date after three months.
If the notes are not redeemed early and no index closes below 65% of its initial level over the life of the notes or all indexes finish at or above their initial levels, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the least-performing index.
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, Nasdaq-100 index, S&P 500 index
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| Amount: | $884,000
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| Maturity: | Sept. 5, 2023
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| Contingent coupon: | 7.75% 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 if no index closes below 65% of its initial level over the life of the notes or all indexes finish at or above their initial levels par; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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| Call option: | At par on any monthly call valuation date after three months
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| Initial levels: | 16,135.92 for Nasdaq, 2,198.908 for Russell, 4,567.00 for S&P
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| Coupon barrier levels: | 11,295.144 for Nasdaq, 1,539.236 for Russell, 3,196.900 for S&P; 70% of initial levels
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| Barrier levels: | 10,488.348 for Nasdaq, 1,429.290 for Russell, 2,968.550 for S&P; 65% of initial levels
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| Pricing date: | Nov. 30, 2021
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| Settlement date: | Dec. 3, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.225%
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| Cusip: | 17329UND9
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