Published on 6/16/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.06 million callable contingent coupon equity notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., June 16 – Citigroup Global Markets Holdings Inc. priced $1.06 million of callable contingent coupon equity-linked securities due Dec. 13, 2024 linked to the worst performing of the Nasdaq-100 index, the SPDR S&P Regional Banking ETF 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 quarterly coupon at an annualized rate of 13% if each underlier closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
After six months, the notes will be callable in whole at par plus any coupon due on any quarterly call valuation date.
If the notes have not been called, the payout at maturity will be par if all underliers finish at or above the 65% barrier level. 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 assets: | Russell 2000 index, Nasdaq-100 index, SPDR S&P Regional Banking ETF
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| Amount: | $1.06 million
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| Maturity: | Dec. 13, 2024
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| Contingent coupon: | 13% per year, payable quarterly if each underlier 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 underliers finish at or above the 65% barrier level, par; otherwise, 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 after six months
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| Initial levels: | $59.75 for ETF, 1,800.284 for Russell, 11,832.82 for Nasdaq
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| Coupon barrier levels: | $41.825 for ETF, 1,260.199 for Russell, 8,282.974 for Nasdaq; 70% of initial levels
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| Barrier levels: | $38.838 for ETF, 1,170.185 for Russell, 7,691.333 for Nasdaq; 65% of initial levels
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| Pricing date: | June 10
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| Settlement date: | June 15
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17330PH93
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