Published on 11/12/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $934,000 callable contingent coupon equity notes on index, ETFs
By William Gullotti
Buffalo, N.Y., Nov. 12 – Citigroup Global Markets Holdings Inc. priced $934,000 of callable contingent coupon equity-linked securities due Aug. 4, 2022 linked to the worst performing of the Energy Select Sector SPDR Fund, the VanEck Vectors Oil Services ETF and the MSCI Emerging Markets 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 14.3% if each underlier closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
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 70% barrier level. 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: | MSCI Emerging Markets index, Energy Select Sector SPDR Fund, VanEck Vectors Oil Services ETF
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| Amount: | $934,000
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| Maturity: | Aug. 4, 2022
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| Contingent coupon: | 14.3% 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 the 70% barrier level, par plus the final coupon; 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
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| Initial levels: | $190.87 for Oil ETF, 1,277.8 for EM index, $49.39 for Energy ETF
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| Coupon barrier levels: | $133.609 for Oil ETF, 894.46 for EM index, $34.573 for Energy ETF; 70% of initial levels
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| Barrier levels: | $133.609 for Oil ETF, 894.46 for EM index, $34.573 for Energy ETF; 70% of initial levels
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| Pricing date: | July 30
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| Settlement date: | Aug. 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17329QGJ3
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