Published on 8/11/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $5.36 million callable contingent coupon equity notes on S&P, Russell
By William Gullotti
Buffalo, N.Y., Aug. 11 – Citigroup Global Markets Holdings Inc. priced $5.36 million of callable contingent coupon equity-linked securities due May 10, 2023 linked to the worst performing of the S&P 500 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 monthly coupon at an annualized rate of 6.3%, or approximately 4.725% for the term, if each index closes at or above its coupon barrier level, 57% 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 valuation date.
If the notes are not redeemed early and each index finishes at or above 57% of its initial level, the payout at maturity will be par plus the final coupon. 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, S&P 500 index
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Amount: | $5,355,000
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Maturity: | May 10, 2023
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Contingent coupon: | 6.3% per year, or approximately 4.725% for the term, 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: | If all indexes finish at or above final barrier, par plus final coupon; 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 monthly valuation date
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Initial levels: | 4,151.94 for S&P, 1,906.456 for Russell
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Coupon barrier levels: | 2,366.606 for S&P, 1,086.68 for Russell; 57% of initial levels
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Barrier levels: | 2,366.606 for S&P, 1,086.68 for Russell; 57% of initial levels
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Strike date: | Aug. 4
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Pricing date: | Aug. 5
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Settlement date: | Aug. 10
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.5%
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Cusip: | 17330RD69
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