Published on 9/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $5.5 million callable contingent coupon equity notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Sept 15 – Citigroup Global Markets Holdings Inc. priced $5.5 million of callable contingent coupon equity-linked securities due Sept. 13, 2023 linked to the worst performing of the S&P 500 index, the iShares MSCI EAFE ETF 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 pay a contingent quarterly coupon at an annualized rate of 9.75% if each underlier closes at or above its coupon barrier level, 75% of its initial level, on the valuation date for that period.
After three months, the notes will be callable in whole at par plus any coupon due on any quarterly call valuation date.
If the notes have not been called, the payout at maturity will be par plus the final coupon if all underliers finish at or above the coupon barrier.
If the worst performer falls below the coupon barrier but finishes at or above its 65% barrier level, the payout at maturity will be par. 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 assets: | Russell 2000 index, S&P 500 index, iShares MSCI EAFE ETF
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| Amount: | $5,500,000
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| Maturity: | Sept. 13, 2023
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| Contingent coupon: | 9.75% per year, payable quarterly 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 all underliers finish at or above coupon barrier level, par plus the final coupon; if the worst performer falls below coupon barrier but finishes at or above 65% barrier level, par; otherwise, 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 quarterly call valuation date after three months
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| Initial levels: | $81.48 for ETF, 2,249.726 for Russell, 4,514.07 for S&P
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| Coupon barrier levels: | $61.11 for ETF, 1,687.295 for Russell, 3,385.553 for S&P; 75% of initial levels
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| Barrier levels: | $52.962 for ETF, 1,462.322 for Russell, 2,934.146 for S&P; 65% of initial levels
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| Strike date: | Sept. 8
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| Pricing date: | Sept. 9
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| Settlement date: | Sept. 14
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17329QNV8
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