Published on 5/9/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $55.48 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, May 9 – Citigroup Global Markets Holdings Inc. priced $55.48 million of trigger callable contingent yield notes with daily coupon observation due Feb. 6, 2025 linked to the Nasdaq-100 index, the Dow Jones industrial average 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 will pay a contingent quarterly coupon at an annualized rate of 13.61% if each index closes at or above its coupon barrier, 70% of its initial value, every day that quarter.
The notes are redeemable in whole, at the issuer’s option, at par plus any coupon otherwise due on any quarterly observation date.
The payout at maturity 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 the 50% downside threshold, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial value.
Citigroup Global Markets Inc. and UBS Financial Services Inc. are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying indexes: | Nasdaq-100 index, Dow Jones industrial average, Russell 2000 index
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| Amount: | $55,483,000
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| Maturity: | Feb. 6, 2025
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| Coupon: | 13.61% per year, payable quarterly if each index closes at or above coupon barrier every day that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus coupon if each index finishes at or above coupon barrier; if worst performer finishes below its coupon barrier but at or above its downside threshold, par; otherwise, 1% loss for each 1% decline of the worst performer from initial value
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| Call: | In whole at par plus any coupon otherwise due on any quarterly observation date
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| Initial values: | 13,089.9 for Nasdaq, 1,898.857 for Russell, 33,128.79 for Dow
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| Coupon barriers: | 9,162.93 for Nasdaq, 1,329.2 for Russell, 23,190.15 for Dow; 70% of initial value
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| Downside thresholds: | 6,544.95 for Nasdaq, 949.429 for Russell, 16,564.4 for Dow; 50% of initial value
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| Pricing date: | May 3
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| Settlement date: | May 6
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| Agents: | Citigroup Global Markets Inc. and UBS Financial Services Inc.
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| Fees: | 1%
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| Cusip: | 17330M254
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