Published on 4/26/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $21.96 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, April 26 – Citigroup Global Markets Holdings Inc. priced $21.96 million of trigger callable contingent yield notes with daily coupon observation due Oct. 26, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each quarter, the notes pay a contingent coupon at a rate of 9.33% per year if each index closes at or above its coupon barrier, 70% of its initial level, on each day that quarter.
The notes are callable at par of $10 plus any coupon due on any quarterly coupon payment date.
If the notes are not called and each index finishes at or above its downside threshold, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the selling agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Trigger callable contingent yield notes with daily coupon observation
|
| Underlying indexes: | S&P 500 index, Russell 2000 index and MSCI Emerging Markets index
|
| Amount: | $21,956,900
|
| Maturity: | Oct. 26, 2023
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| Coupon: | 9.33% per year, payable each quarter that each index closes at or above its coupon barrier on each day that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to decline of least-performing index below its initial level
|
| Call option: | At par plus any coupon due on any quarterly coupon payment date
|
| Initial levels: | 2,239.627 for Russell, 4,173.42 for S&P, 1,336.86 for MSCI Emerging Markets
|
| Coupon barriers: | 1,567.739 for Russell, 2,912.39 for S&P, 935.8 for MSCI Emerging Markets; 70% of initial levels
|
| Downside thresholds: | 1,343.776 for Russell, 2,504.05 for S&P, 802.12 for MSCI Emerging Markets; 60% of initial levels
|
| Pricing date: | April 21
|
| Settlement date: | April 26
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Selling agent: | UBS Financial Services Inc.
|
| Fees: | 1%
|
| Cusip: | 17329D448
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