Published on 5/27/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million callable contingent coupon equity notes on S&P, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, May 27 – Citigroup Global Markets Holdings Inc. priced $1 million of callable contingent coupon equity-linked securities due Feb. 23, 2024 linked to the worst 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 are guaranteed by Citigroup Inc.
The notes pay a contingent monthly coupon at an annualized rate of 11.45% if each index closes at or above its coupon barrier level, 60% 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 potential redemption date.
If the notes are not called, investors will receive par unless either index finishes below its initial level and either index ever closes below its 60% barrier level, in which case investors will be fully exposed to the 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: | Nasdaq-100 index, S&P 500 index
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| Amount: | $1 million
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| Maturity: | Feb. 23, 2024
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| Coupon: | 11.45% 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 either index finishes below its initial level and either index ever closes below barrier level, in which case lose 1% for every 1% decline of the worst performer from initial level
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| Call option: | In whole at par plus any coupon due on any quarterly call valuation date
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| Initial levels: | 3,901.36 for S&P, 11,835.62 for Nasdaq
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| Coupon barrier levels: | 2,340.816 for S&P, 7,101.372 for Nasdaq; 60% of initial levels
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| Barrier levels: | 2,340.816 for S&P, 7,101.372 for Nasdaq; 60% of initial levels
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| Pricing date: | May 20
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| Settlement date: | May 25
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.725%
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| Cusip: | 17330FSU6
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