Published on 12/6/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.46 million callable contingent coupon equity notes on three indexes
By Kiku Steinfeld
Chicago, Dec. 6 – Citigroup Global Markets Holdings Inc. priced $1.46 million of callable contingent coupon equity-linked securities due Nov. 28, 2031 linked to the worst performing of the Nasdaq-100 index, the Euro Stoxx Banks index 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 will pay a contingent quarterly coupon at an annual rate of 7.25% if each index closes at or above the coupon barrier level, 70% of the initial level, on the valuation date for that period.
The notes may be called at par plus any coupon if each index closes at or above its initial level on any quarterly valuation date.
If the notes are not called and each index finishes at or above 60% of its initial level, the payout at maturity will be par plus any final coupon. 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 indexes: | Russell 2000 index, Nasdaq-100 index, Euro Stoxx Banks index
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| Amount: | $1,464,000
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| Maturity: | Nov. 28, 2031
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| Coupon: | 7.25% annualized rate, payable quarterly if each index closes at or above coupon barrier level on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par plus any coupon if each index closes at or above knock-in value; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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| Call option: | At par plus any coupon if each index closes at or above its initial level on any quarterly valuation date
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| Initial levels: | 2,327.855 for Russell, 16,306.72 for Nasdaq, 99.97 for Stoxx
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| Coupon barrier levels: | 1,629.499 for Russell, 11,414.704 for Nasdaq, 69.979 for Stoxx; 70% of initial levels
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| Knock-in levels: | 1,396.713 for Russell, 9,784.032 for Nasdaq, 59.982 for Stoxx; 60% of initial levels
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| Pricing date: | Nov. 23
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| Settlement date: | Nov. 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17329UBR1
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