Published on 9/16/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $19.44 million callable contingent coupon equity notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Sept. 16 – Citigroup Global Markets Holdings Inc. priced $19.44 million of callable contingent coupon equity-linked securities due March 18, 2027 linked to the worst performing of the S&P 500 index, the iShares MSCI EAFE 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 15.25% if each underlier closes at or above its coupon barrier level, 80% of its initial level, every day that period.
The notes will be callable in whole at par plus any coupon due on any quarterly call valuation date starting June 13, 2023.
If the notes have not been called, the payout at maturity will be par plus the final coupon, if any, if all underliers finish at or above the 60% 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, S&P 500 index, iShares MSCI EAFE ETF
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Amount: | $19,443,000
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Maturity: | March 18, 2027
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Contingent coupon: | 15.25% per year, payable quarterly if each underlier closes at or above coupon barrier every day that period
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Price: | Par
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Payout at maturity: | If all underliers finish at or above the 60% barrier level, par plus any final coupon; 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 starting June 13, 2023
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Initial levels: | $61.11 for ETF, 1,831.575 for Russell, 3,932.69 for S&P
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Coupon barrier levels: | $48.888 for ETF, 1,465.26 for Russell, 3,146.512 for S&P; 80% of initial levels
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Barrier levels: | $36.666 for ETF, 1,098.945 for Russell, 2,359.614 for S&P; 60% of initial levels
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Pricing date: | Sept. 13
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Settlement date: | Sept. 16
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 2%
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Cusip: | 17330RK53
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