Published on 10/3/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.36 million callable contingent coupon equity notes on ETF, indexes
By Kiku Steinfeld
Chicago, Oct. 4 – Citigroup Global Markets Holdings Inc. priced $1.36 million of callable contingent coupon equity-linked securities due Oct. 15, 2024 linked to the worst performing of the iShares MSCI Emerging Markets ETF, the Russell 2000 index and the Nasdaq-100 index, 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 8.15% if each asset closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.
The notes will be callable in whole at par plus any coupon due on any monthly valuation date after three months.
If the notes are not redeemed early, the payout will be par unless any asset finishes below 70% of its initial level, in which case investors will lose 1% for every 1% that the least performing asset declines.
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: | iShares MSCI Emerging Markets ETF, Nasdaq-100 index and Russell 2000 index
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| Amount: | $1,359,000
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| Maturity: | Oct. 15, 2024
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| Contingent coupon: | 8.15% per year, payable monthly if each asset closes at or above coupon barrier on related observation date
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below 70% of its initial level, in which case investors will lose 1% for every 1% that the least performing asset declines
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| Call option: | In whole at par plus any coupon due on any monthly valuation date after three months
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| Initial levels: | $53.55 for ETF, 2,280.005 for Russell, 14,826.09 for Nasdaq
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| Coupon barriers: | $40.163 for ETF, 1,710.004 for Russell, 11,119.568 for Nasdaq; 75% of initial levels
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| Barrier levels: | $37.485 for ETF, 1,596.004 for Russell, 10,378.263 for Nasdaq; 70% of initial levels
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| Pricing date: | July 9
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| Settlement date: | July 14
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.95%
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| Cusip: | 17329Q6L9
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