Published on 2/7/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2 million callable contingent coupon securities on indexes
By Taylor Fox
New York, Feb. 8 – Citigroup Global Markets Holdings Inc. priced $2 million of 0% callable contingent coupon equity-linked securities due July 13, 2022 linked to the least performing of the Dow Jones industrial average, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a coupon of 6.4% per annum on a monthly basis if the least-performing index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes may be called at par plus any coupon due at the issuer’s option on any monthly call valuation date starting April 8.
If all the indexes finish above their final barrier levels, 70% of their initial levels, the payout at maturity will be par plus the final coupon.
Otherwise, investors will lose 1% for each 1% decline of the least-performing index 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: | Dow Jones industrial average, Nasdaq-100 index and S&P 500 index
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| Amount: | $2 million
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| Maturity: | July 13, 2022
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| Coupon: | 6.4% per annum on a monthly basis if the least-performing index closes at or above its coupon barrier value for that period
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| Price: | Par
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| Payout at maturity: | If all the indexes finish above final barrier levels, par plus the final coupon; otherwise, 1% loss for each 1% decline of the least-performing index from its initial level
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| Call: | At par plus any contingent coupon due at the issuer’s option on any monthly call valuation date starting April 8
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| Initial levels: | 31,097.97 for Dow, 13,105.20 for Nasdaq and 3,824.68 for S&P
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| Coupon barrier levels: | 21,768.579 for Dow, 9,173.64 for Nasdaq and 2,677.276 for S&P, 70% of initial levels
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| Final barrier levels: | 21,768.579 for Dow, 9,173.64 for Nasdaq and 2,677.276 for S&P, 70% of initial levels
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| Pricing date: | Jan. 8
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| Settlement date: | Jan. 13
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.1%
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| Cusip: | 17328YGC2
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