Published on 9/2/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $7.2 million contingent income callable notes linked to three indexes
By William Gullotti
Buffalo, N.Y., Sept. 2 – Citigroup Global Markets Holdings Inc. priced $7.2 million of contingent income callable securities due March 5, 2025 linked to the worst performing of the S&P 500 index, the MSCI Emerging Markets 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 quarterly coupon at an annual rate of 10.25% if each index closes at or above its coupon barrier level, 70% of its initial index level, on each day during the observation period.
The notes are callable at par on any contingent coupon payment date.
If the notes have not been called, the payout at maturity will be par unless any index finishes below its 65% downside threshold level, in which case investors will lose 1% for every 1% decline of the lesser performing index.
Citigroup Global Markets Inc. is the underwriter with Morgan Stanley Wealth Management as a selected dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index, MSCI Emerging Markets index
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| Amount: | $7.2 million
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| Maturity: | March 5, 2025
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| Coupon: | 10.25% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its downside threshold level, in which case investors will lose 1% for every 1% decline of the lesser performing index from initial level
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| Call option: | At par on any contingent coupon payment date
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| Initial levels: | 4,030.61 for S&P, 991.65 for MSCI, 1,882.941 for Russell
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| Coupon barriers: | 2,821.427 for S&P, 694.155 for MSCI, 1,318.059 for Russell; 70% of initial levels
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| Downside thresholds: | 2,619.897 for S&P, 644.573 for MSCI, 1,223.912 for Russell; 65% of initial levels
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| Pricing date: | Aug. 29
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| Settlement date: | Sept. 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Selected dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.25%
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| Cusip: | 17330RE50
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