Published on 4/22/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.46 million callable contingent coupon equity notes on Nasdaq, Russell, Dow
By William Gullotti
Buffalo, N.Y., April 22 – Citigroup Global Markets Holdings Inc. priced $2.46 million of callable contingent coupon equity-linked securities due April 22, 2027 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the Dow Jones industrial average, 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 10% if each index closes at or above its coupon barrier level, 65% 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.
If the notes are not redeemed early, the payout will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above 60% of its initial 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.
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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, Nasdaq-100 index
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Amount: | $2,461,000
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Maturity: | April 22, 2027
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Contingent coupon: | 10% per year, payable quarterly 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 coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above final barrier, par; 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 quarterly call valuation date
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Initial levels: | 34,411.69 for Dow, 13,910.76 for Nasdaq, 1,990.134 for Russell
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Coupon barrier levels: | 22,367.599 for Dow, 9,041.994 for Nasdaq, 1,293.587 for Russell; 65% of initial levels
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Barrier levels: | 20,647.014 for Dow, 8,346.456 for Nasdaq, 1,194.08 for Russell; 60% of initial levels
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Pricing date: | April 18
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Settlement date: | April 21
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.55%
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Cusip: | 17330F2U4
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