Published on 2/14/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $500,000 callable contingent coupon securities on indexes, ETF
By Taylor Fox
New York, Feb. 16 – Citigroup Global Markets Holdings Inc. priced $500,000 of callable contingent coupon equity-linked securities due Jan. 16, 2031 linked to the least performing of the Euro Stoxx Banks index, the S&P 500 index and the SPDR S&P Regional Banking ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes have a quarterly coupon of 9.35%, if the least-performing asset for that quarter finishes at or above its coupon barrier value, 75% of its initial value.
The notes may be called at par plus any contingent coupon due by the issuer on any quarterly call valuation date.
If each asset finishes at or above its final barrier value, 60% of its initial value, payout will be par plus any final coupon.
Otherwise, investors will lose 1% for each 1% decline of the least-performing asset 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: | Euro Stoxx Banks index, the S&P 500 index and the SPDR S&P Regional Banking ETF
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| Amount: | $500,000
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| Maturity: | Jan. 16, 2031
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| Coupon: | 9.35%, paid quarterly if each asset finishes at or above its coupon barrier value
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| Price: | Par
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| Payout at maturity: | If each asset finishes at or above final barrier value, par plus the final coupon; otherwise, 1% loss for each 1% decline of the least-performing asset from its initial level
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| Call: | At par plus any coupon due on any quarterly call valuation date
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| Initial values: | 78.43 for Stoxx, 3,801.19 for S&P and $58.84 for SPDR
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| Coupon barrier levels: | 58.823 for Stoxx, 2,850.893 for S&P and $44.13 for SPDR, 75% of initial values
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| Final barrier levels: | 47.058 for Stoxx, 2,280.714 for S&P and $35.304 for SPDR, 60% of initial values
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| Pricing date: | Jan. 12
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| Settlement date: | Jan. 15
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.75%
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| Cusip: | 17328YCB8
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