Published on 2/28/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $10 million trigger callable contingent yield notes on three indexes
By Kiku Steinfeld
Chicago, March 1 – Citigroup Global Markets Holdings Inc. priced $10 million of trigger callable contingent yield notes with daily coupon observation due May 30, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each quarter, the notes pay a contingent coupon at a rate of 10.5% per year if each index closes at or above its coupon barrier, 65% of its initial level, on each day that quarter.
The notes are callable at par of $10 plus any coupon due on any quarterly coupon payment date.
If the notes are not called and each index finishes at or above its downside threshold, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the agent.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Trigger callable contingent yield notes with daily coupon observation
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Underlying indexes: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
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Amount: | $10,000,000
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Maturity: | May 30, 2023
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Coupon: | 10.5% per year, payable each quarter that each index closes at or above its coupon barrier on each day that quarter
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Price: | Par of $10
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Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to decline of least-performing index below its initial level
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Call option: | At par plus any coupon due on any quarterly coupon payment date
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Initial levels: | 3,925.43 for S&P, 2,284.381 for Russell, 31,961.86 for Dow
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Coupon barriers: | 2,551.53 for S&P, 1,484.848 for Russell, 20,775.21 for Dow; 65% of initial levels
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Downside thresholds: | 2,355.26 for S&P, 1,370.629 for Russell, 19,177.12 for Dow; 60% of initial levels
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Pricing date: | Feb. 24
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Settlement date: | Feb. 26
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Underwriter: | Citigroup Global Markets Inc.
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Agent: | UBS Financial Services Inc.
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Fees: | 1%
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Cusip: | 17329B814
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