Published on 2/13/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million callable contingent coupon equity notes on indexes, ETF
By Kiku Steinfeld
Chicago, Feb. 14 – Citigroup Global Markets Holdings Inc. priced $1 million of callable contingent coupon equity-linked securities due Sept. 5, 2031 linked to the worst performing of the Euro Stoxx 50 index, the SPDR S&P Regional Banking ETF and the Euro Stoxx Banks 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 annualized rate of 9% if each underlier closes at or above its coupon barrier level, 75% 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 have not been called, the payout at maturity will be par plus the final coupon if all underliers finish at or above the coupon barrier.
If the worst performer finishes below its coupon barrier but at or above the 60% barrier level, the payout at maturity will be 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.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable contingent coupon equity-linked securities
|
| Underlying assets: | Euro Stoxx 50 index, Euro Stoxx Banks index, SPDR S&P Regional Banking ETF
|
| Amount: | $1,000,000
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| Maturity: | Sept. 5, 2031
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| Contingent coupon: | 9% per year, payable quarterly if each underlier closes at or above coupon barrier on the valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | If all underliers finish at or above coupon barrier, par plus final coupon; if the worst performer finishes below coupon barrier but at or above the 60% barrier level, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
|
| Call option: | In whole at par plus any coupon due on any quarterly call valuation date after six months
|
| Initial levels: | 4,196.41 for Stoxx, 96.76 for Stoxx Banks, $65.89 for ETF
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| Coupon barrier levels: | 3,147.308 for Stoxx, 72.570 for Stoxx Banks, $49.418 for ETF, 75% of initial levels
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| Barrier levels: | 2,517.846 for Stoxx, 58.056 for Stoxx Banks, $39.534 for ETF; 60% of initial levels
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 3
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17329Q7B0
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