Published on 4/14/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.62 million callable contingent coupon equity notes on S&P, Nasdaq, Dow
By William Gullotti
Buffalo, N.Y., April 14 – Citigroup Global Markets Holdings Inc. priced $2.62 million of callable contingent coupon equity-linked securities due Oct. 11, 2024 linked to the worst performing of the S&P 500 index, the Nasdaq-100 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 monthly coupon at an annualized rate of 10.3% if each index closes at or above its coupon barrier level, 80% 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 monthly call valuation date after one year.
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 70% 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: | Nasdaq-100 index, Dow Jones industrial average, S&P 500 index
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| Amount: | $2,621,000
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| Maturity: | Oct. 11, 2024
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| Contingent coupon: | 10.3% 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: | 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 monthly call valuation date after one year
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| Initial levels: | 34,721.12 for Dow, 4,488.28 for S&P, 14,327.26 for Nasdaq
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| Coupon barrier levels: | 27,776.896 for Dow, 3,590.624 for S&P, 11,461.808 for Nasdaq; 80% of initial levels
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| Barrier levels: | 24,304.784 for Dow, 3,141.796 for S&P, 10,029.082 for Nasdaq; 70% of initial levels
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| Pricing date: | April 8
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| Settlement date: | April 13
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17330FJ44
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