Published on 4/4/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $524,000 callable contingent coupon equity securities on indexes, ETF
By William Gullotti
Buffalo, N.Y., April 4 – Citigroup Global Markets Holdings Inc. priced $524,000 of callable contingent coupon equity-linked securities due Nov. 9, 2022 linked to the worst performing of the Nasdaq-100 index, the S&P 500 index and the iShares MSCI Emerging Markets ETF, 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 underlying 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 monthly potential redemption date after three months.
If the notes are not redeemed early, the payout will be par if all three assets close above their initial levels.
Alternatively, investors will receive par if no asset ever closes below its 60% knock-in level, in which case investors will be fully exposed to the losses 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: | Nasdaq-100 index, S&P 500 index, iShares MSCI Emerging Markets ETF
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| Amount: | $524,000
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| Maturity: | Nov. 9, 2022
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| Contingent coupon: | 8.15% per year, payable monthly if each underlying 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: | Par if all three assets finish above their initial levels; par if no asset ever closes below knock-in level; otherwise, full exposure to losses of worst performer from initial level
|
| Call option: | In whole at par plus any coupon due on any monthly potential redemption date after three months
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| Initial levels: | 4,164.66 for S&P, 13,544.67 for Nasdaq, $53.37 for ETF
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| Coupon barrier levels: | 2,915.262 for S&P, 9,481.269 for Nasdaq, $37.359 for ETF; 70% of initial levels
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| Knock-in levels: | 2,498.796 for S&P, 8,126.802 for Nasdaq, $32.022 for ETF; 60% of initial levels
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| Pricing date: | May 4, 2021
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| Settlement date: | May 7, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.725%
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| Cusip: | 17329FQD9
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