Published on 12/17/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $9.15 million contingent income callable notes on three ETFs
By Wendy Van Sickle
Columbus, Ohio, Dec. 17 – Citigroup Global Markets Holdings Inc. priced $9.15 million of contingent income callable securities due Dec. 15, 2026 linked to the worst performing of the iShares MSCI EAFE ETF, the iShares Russell 2000 ETF and the SPDR S&P 500 ETF trust, 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 annual rate of 8% if each ETF closes at or above its coupon barrier level, 70% of its initial ETF level, on the valuation date for that period.
The notes are callable at par on any contingent coupon payment date after six months.
If the notes have not been called, the payout at maturity will be par unless any ETF finishes below its 65% downside threshold level. Otherwise, investors will lose 1% for every 1% decline of the lesser performing ETF.
Citigroup Global Markets Inc. is the underwriter with Morgan Stanley Wealth Management as a selected dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income callable securities
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| Underlying funds: | iShares MSCI EAFE ETF, SPDR S&P 500 ETF trust, iShares Russell 2000 ETF
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| Amount: | $9,145,000
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| Maturity: | Dec. 15, 2026
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| Coupon: | 8% per year, payable quarterly if each ETF closes at or above coupon barrier on valuation date
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| Price: | Par
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| Payout at maturity: | Par unless any ETF finishes below its downside threshold level; otherwise, investors will lose 1% for every 1% decline of the lesser performing ETF from its initial level
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| Call option: | At par plus any coupon due on any quarterly review date after six months
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| Initial levels: | $79.07 for iShares MSCI EAFE, $219.91 for iShares Russell 2000, $470.74 for S&P 500
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| Coupon barriers: | $55.349 for iShares MSCI EAFE, $153.937 for iShares Russell 2000, $329.518 for S&P 500; 70% of initial levels
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| Downside thresholds: | $51.396 for iShares MSCI EAFE, $142.942 for iShares Russell 2000, $305.981 for S&P 500; 65% of initial levels
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| Pricing date: | Dec. 10
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| Settlement date: | Dec. 15
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| Underwriter: | Citigroup Global Markets Inc.
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| Selected dealer: | Morgan Stanley Wealth Management
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| Fees: | 2%
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| Cusip: | 17329UQM6
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