Published on 3/12/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million callable contingent coupon equity notes on Nasdaq, S&P
By Kiku Steinfeld
Chicago, March 14 – Citigroup Global Markets Holdings Inc. priced $1 million of callable contingent coupon equity-linked securities due March 21, 2023 linked to the least performing of the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at annual rate of 6.95% if each underlier closes at or above its coupon barrier, 60% of its initial level, on the corresponding observation date for that period.
The notes will be callable at par plus any coupon due on any quarterly call valuation date.
The payout at maturity will be par plus the final coupon unless any underlier finishes below its initial level and any underlier has closed below its 60% barrier level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing underlier 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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| Underliers: | S&P 500 index, Nasdaq-100 index
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| Amount: | $1 million
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| Maturity: | March 21, 2023
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| Coupon: | 6.95%, payable quarterly if each underlier closes at or above coupon barrier on related observation date
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| Price: | Par
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| Call option: | At par plus any coupon due on any quarterly call valuation date
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| Payout at maturity: | Par plus the final coupon unless any underlier finishes below its initial level and any underlier has closed below its barrier level during the life of the notes, in which case 1% loss for each 1% decline of the worst performing underlier from its initial level
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| Initial levels: | 4,473.75 for S&P, 15,515.91 for Nasdaq
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| Coupon barriers: | 2,684.250 for S&P, 9,309.546 for Nasdaq; 60% of initial levels
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| Barrier levels: | 2,684.250 for S&P, 9,309.546 for Nasdaq; 60% of initial levels
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| Pricing date: | Sept. 16
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| Settlement date: | Sept. 21
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.725%
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| Cusip: | 17329QWD8
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