Published on 7/26/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $990,000 callable contingent coupon equity notes on index, ETFs
By William Gullotti
Buffalo, N.Y., July 26 – Citigroup Global Markets Holdings Inc. priced $990,000 of callable contingent coupon equity-linked securities due April 4, 2024 linked to the worst performing of the Invesco QQQ Trust, Series 1, the SPDR S&P 500 ETF Trust 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 14.75% if each underlier closes at or above its coupon barrier level, 80% of its initial level, on the valuation date for that period.
After three months, the notes will be callable in whole at par plus any coupon due on any monthly call valuation date.
If the notes have not been called and each underlier finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above the 70% barrier level, the payout 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 assets: | Russell 2000 index, Invesco QQQ Trust, Series 1, SPDR S&P 500 ETF Trust
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Amount: | $990,000
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Maturity: | April 4, 2024
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Contingent coupon: | 14.75% per year, payable monthly 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 coupon barrier level, par plus final coupon; if worst performer finishes below coupon barrier but at or above the 70% 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 monthly call valuation date after three months
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Initial levels: | $377.25 for SPDR, 1,707.99 for Russell, $280.28 for QQQ
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Coupon barrier levels: | $301.80 for SPDR, 1,366.392 for Russell, $224.224 for QQQ; 80% of initial levels
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Barrier levels: | $264.075 for SPDR, 1,195.593 for Russell, $196.196 for QQQ; 70% of initial levels
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Pricing date: | June 30
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Settlement date: | July 6
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.725%
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Cusip: | 17330PGN3
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