Published on 2/28/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $750,000 callable contingent coupon equity notes on three indexes
Chicago, Feb. 28 – Citigroup Global Markets Holdings Inc. priced $750,000 of callable contingent coupon equity-linked securities due April 30, 2026 linked to the worst performing of the Euro Stoxx Banks index, 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 quarterly coupon at an annualized rate of 7.8% if each index 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 starting after one year.
If the notes are not redeemed early, the payout will be par plus the final coupon if each index finishes at or above 60% of its initial 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 indexes: | Russell 2000 index, Nasdaq-100 index, Euro Stoxx Banks index
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Amount: | $750,000
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Maturity: | April 30, 2026
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Contingent coupon: | 7.8% per year, payable quarterly if each index 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 indexes finish at or above coupon barrier, par plus final coupon; otherwise, investors will 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 starting after one year
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Initial levels: | 13,960.28 for Nasdaq, 2,301.267 for Russell, 88.97 for Banks
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Coupon barrier levels: | 9,772.196 for Nasdaq, 1,610.887 for Russell, 62.279 for Banks; 70% of initial levels
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Final barrier levels: | 8,376.168 for Nasdaq, 1,380.760 for Russell, 53.382 for Banks; 60% of initial levels
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Pricing date: | April 27, 2021
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Settlement date: | April 30, 2021
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 4.125%
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Cusip: | 17329FN91
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