Published on 2/8/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.14 million callable contingent coupon equity notes on three SPDR ETFs
Chicago, Feb. 8 – Citigroup Global Markets Holdings Inc. priced $1.14 million of callable contingent coupon equity-linked securities due Oct. 19, 2023 linked to the worst performing of the Invesco QQQ Trust, Series 1, the iShares Russell 2000 Value ETF and the SPDR S&P 500 ETF, 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 7.1% if each ETF closes at or above its coupon barrier level, 80% of its initial level, on the related observation date.
The notes will be callable in whole, at the option of the issuer, at par plus any coupon due on any monthly potential redemption date after three months.
If the notes are not redeemed early, the payout will be par plus any final coupon if each ETF finishes at or above 60% of its initial level. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by its initial level or, at the issuer’s option, the cash equivalent.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable contingent coupon equity-linked securities
|
| Underlying funds: | Invesco QQQ Trust, Series 1, iShares Russell 2000 Value ETF and SPDR S&P 500 ETF
|
| Amount: | $1,141,000
|
| Maturity: | Oct. 19, 2023
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| Contingent coupon: | 7.1% per year, payable monthly if each fund closes at or above coupon barrier on related observation date
|
| Price: | Par
|
| Payout at maturity: | Par plus any coupon if each ETF finishes at or above its final barrier; otherwise, investors will receive a number of shares equal to the worst performer’s equity ratio or cash at the issuer’s option
|
| Call option: | In whole at par plus any coupon due on any monthly potential redemption date after three months
|
| Initial levels: | $342.01 for QQQ, $162.25 for Russell, $417.26 for S&P
|
| Coupon barrier levels: | $273.608 for QQQ earnings, $129.800 for Russell, $333.808 for S&P; 80% of initial levels
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| Final barrier levels: | $205.206 for QQQ earnings, $97.35 for Russell, $250.356 for S&P; 60% of initial levels
|
| Equity ratios: | 2.92389 for QQQ, 6.16333 for Russell, 2.39659 for S&P
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| Pricing date: | April 16
|
| Settlement date: | April 21
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 0.65%
|
| Cusip: | 17328NNY0
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