Published on 5/13/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $15.2 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, May 13 – Citigroup Global Markets Holdings Inc. priced $15.2 million of trigger callable contingent yield notes due May 12, 2026 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 7.6% per year if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date 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.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger callable contingent yield notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index and MSCI Emerging Markets index
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| Amount: | $15.2 million
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| Maturity: | May 12, 2026
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| Coupon: | 7.6% per year, payable each quarter that each index closes at or above its coupon barrier on observation date that quarter
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| Price: | Par of $10
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| 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
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| Call option: | At par plus any coupon due on any quarterly coupon payment date
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| Initial levels: | 2,271.629 for Russell, 4,232.6 for S&P, 1,348.57 for MSCI Emerging Markets
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| Coupon barriers: | 1,590.14 for Russell, 2,962.82 for S&P, 944.00 for MSCI Emerging Markets; 70% of initial levels
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| Downside thresholds: | 1,362.977 for Russell, 2,539.56 for S&P, 809.14 for MSCI Emerging Markets; 60% of initial levels
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| Pricing date: | May 7
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| Settlement date: | May 12
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| Underwriter: | Citigroup Global Markets Inc.
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| Selling agent: | UBS Financial Services Inc.
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| Fees: | 1.5%
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| Cusip: | 17329D604
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