Published on 5/27/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.69 million callable contingent coupon equity notes on Nasdaq, Russell, EM ETF
By Wendy Van Sickle
Columbus, Ohio, May 27 – Citigroup Global Markets Holdings Inc. priced $1.69 million of callable contingent coupon equity-linked securities due Nov. 25, 2025 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, 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 12% if each index closes at or above its coupon barrier level, 65% of its initial level, on the related valuation date.
The notes will be callable in whole at par plus any coupon due on any quarterly potential redemption date.
If the notes are not redeemed early and each index finishes at or above its 60% final barrier level, the payout will be par.
Otherwise, investors will lose 1% for every 1% decline of the worst performer.
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: | Russell 2000 index, iShares MSCI Emerging Markets ETF, Nasdaq-100 index
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| Amount: | $1.69 million
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| Maturity: | Nov. 25, 2025
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| Contingent coupon: | 12% per year, payable quarterly if each index closes at or above coupon barrier on related observation date
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| Price: | Par
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| Payout at maturity: | If no index finishes below final barrier level, par; otherwise, investors will lose 1% for every 1% decline of the worst performer
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| Call option: | In whole at par plus any coupon due on any quarterly potential redemption date
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| Initial levels: | $41.14 for ETF, 1,773.266 for Russell, 11,835.62 for Nasdaq
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| Coupon barrier levels: | $26.741 for ETF, 1,152.623 for Russell, 7,693.153 for Nasdaq; 65% of initial levels
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| Final barrier levels: | $24.984 for ETF, 1,063.96 for Russell, 7,101.372 for Nasdaq; 60% of initial levels
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| Pricing date: | May 20
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| Settlement date: | May 25
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17330FUC3
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