Published on 2/26/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.48 million callable contingent coupon equity notes on S&P, S&P Biotech
By Kiku Steinfeld
Chicago, Feb. 27 – Citigroup Global Markets Holdings Inc. priced $1.48 million of callable contingent coupon equity-linked securities due Nov. 21, 2025 linked to the worst performing of the S&P 500 index and the SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent semiannual coupon at an annualized rate of 14 if each underlier closes at or above its coupon barrier level, 60% 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 semiannual potential redemption date.
If the notes are not redeemed early and each underlier finishes at or above the 60% barrier level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% that the worst performer declines 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: | S&P 500 index and the SPDR S&P Biotech ETF
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| Amount: | $1,477,000
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| Maturity: | Nov. 21, 2025
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| Contingent coupon: | 14% per year, payable semiannually if each underlier 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 each underlier finishes at or above final barrier, par plus final coupon; otherwise, investors will lose 1% for each 1% the worst performer declines from its initial level
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| Call option: | In whole at par on any semiannual potential redemption date
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| Initial levels: | 3,965.34 for index, $81.01 for ETF
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| Coupon barrier levels: | 2,379.204 for index, $48.606 for ETF; 60% of initial levels
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| Barrier levels: | 2,379.204 for index, $48.606 for ETF; 60% of initial levels
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| Pricing date: | Nov. 18, 2022
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| Settlement date: | Nov. 23, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17330YDH0
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