Published on 7/5/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.27 million callable contingent coupon equity notes on S&P, Russell, Nasdaq
By Kiku Steinfeld
Chicago, July 5 – Citigroup Global Markets Holdings Inc. priced $1.27 million of callable contingent coupon equity-linked securities due June 27, 2023 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B8 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 8.05% 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 monthly call valuation date starting March 22, 2022.
If the notes are not redeemed early, the payout will be par unless any index finishes below its initial level and any index has closed below 65% of its initial level during the life of the notes, in which case investors will lose 1% for every 1% that the least performing index declines.
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: | $1,268,000
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| Maturity: | June 27, 2023
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| Contingent coupon: | 8.05% 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 unless any index finishes below its initial level and any index has closed below its final barrier level during the life of the notes, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level
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| Call option: | In whole at par plus any coupon due on any monthly call valuation date starting March 22, 2022
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| Initial levels: | 4,696.56 for S&P, 16,180.14 for Nasdaq, 2,221.903 for Russell
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| Coupon barrier levels: | 3,287.592 for S&P, 11,326.098 for Nasdaq, 1,555.332 for Russell; 70% of initial levels
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| Final barrier levels: | 3,052.764 for S&P, 10,517.091 for Nasdaq, 1,444.237 for Russell; 65% of initial levels
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| Pricing date: | Dec. 22, 2021
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| Settlement date: | Dec. 28, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.25%
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| Cusip: | 17329USA0
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