Published on 5/13/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.04 million callable contingent coupon equity notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, May 13 – Citigroup Global Markets Holdings Inc. priced $1.04 million of callable contingent coupon equity-linked securities due May 13, 2027 linked to the worst performing of the Russell 2000 index, the Dow Jones industrial average and the Nasdaq-100 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 11.4% if each index closes at or above its coupon barrier level, 70% 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 valuation date after one year.
If the notes are not redeemed early, the payout will be par plus the final coupon, if any if each index finishes at or above its final barrier, 60% of its initial 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 indexes: | Dow Jones industrial average, Nasdaq-100 index, Russell 2000 index
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| Amount: | $1.04 million
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| Maturity: | May 13, 2027
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| Contingent coupon: | 11.4% 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; 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 valuation date after one year
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| Initial levels: | 12,345.86 for Nasdaq, 1,761.789 for Russell, 32,160.74 for Dow
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| Coupon barrier levels: | 8,642.102 for Nasdaq, 1,233.252 for Russell, 22,512.518 for Dow; 70% of initial levels
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| Barrier levels: | 7,407.516 for Nasdaq, 1,057.073 for Russell, 19,296.444 for Dow; 60% of initial levels
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| Pricing date: | May 10
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| Settlement date: | May 13
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17330FLW9
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