Published on 9/7/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.06 million callable contingent coupon equity notes on Nasdaq, Russell, Dow
By Kiku Steinfeld
Chicago, Sept. 7 – Citigroup Global Markets Holdings Inc. priced $1.06 million of callable contingent coupon equity-linked securities due Jan. 29, 2026 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 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 quarterly coupon at an annualized rate of 6.75% 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 in whole at par plus any coupon due on any quarterly call valuation date after six months.
If the notes are not redeemed early and each index finishes at or above its coupon barrier, the payout will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above 60% of its initial level, investors will receive 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, Dow Jones industrial average, Nasdaq-100 index
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| Amount: | $1.06 million
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| Maturity: | Jan. 29, 2026
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| Contingent coupon: | 6.75% per year, payable quarterly 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 the worst performer finishes below its coupon barrier but at or above its 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: | 34,160.78 for Dow, 14,003.11 for Nasdaq, 1,931.288 for Russell
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| Coupon barrier levels: | 23,912.546 for Dow, 9,802.177 for Nasdaq, 1,351.902 for Russell; 70% of initial levels
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| Barrier levels: | 20,496.468 for Dow, 8,401.866 for Nasdaq, 1,158.773 for Russell; 60% of initial levels
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| Pricing date: | Jan. 27, 2022
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| Settlement date: | Jan. 31, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.15%
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| Cusip: | 17330AF49
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