Published on 2/10/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.51 million callable contingent coupon securities on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 10 – Citigroup Global Markets Holdings Inc. priced $2.51 million of 0% callable contingent coupon equity-linked securities due Jan. 30, 2026 linked to the least performing of the Russell 2000 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a coupon of 7% per annum on a quarterly basis if the least-performing index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes may be called at par plus any coupon due at the issuer’s option on any quarterly call valuation date after one year.
If all the indexes finish above their final barrier levels, 60% of their initial levels, the payout at maturity will be par.
Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable contingent coupon equity-linked securities
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| Underlying indexes: | Russell 2000 index, Nasdaq-100 index and S&P 500 index
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| Amount: | $2,505,000
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| Maturity: | Jan. 30, 2026
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| Coupon: | 7% per annum on a quarterly basis if the least-performing index closes at or above its coupon barrier value for that period
|
| Price: | Par
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| Payout at maturity: | If all the indexes finish above final barrier levels, par; otherwise, 1% loss for each 1% decline of the least-performing index from its initial level
|
| Call: | At par plus any contingent coupon due at the issuer’s option on any quarterly call valuation date after one year
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| Initial levels: | 2,108.696 for Russell, 13,112.65 for Nasdaq and 3,750.77 for S&P
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| Coupon barrier levels: | 1,476.087 for Russell, 9,178.855 for Nasdaq and 2,625.539 for S&P, 70% of initial levels
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| Knock-in levels: | 1,265.218 for Russell, 7,867.59 for Nasdaq and 2,250.462 for S&P, 60% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Feb. 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17328YPX6
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