Published on 6/20/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.05 million callable contingent coupon equity notes on QQQ, S&P ETFs
By Kiku Steinfeld
Chicago, June 21 – Citigroup Global Markets Holdings Inc. priced $2.05 million of callable contingent coupon equity-linked securities due May 26, 2022 linked to the worst performing of the SPDR S&P 500 ETF trust and the Invesco QQQ trust, series 1, 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 plus any previously unpaid coupons at an annualized rate of 7.25% if each ETF closes at or above its coupon barrier level, 80% 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 valuation date.
If the notes are not redeemed early, the payout will be par unless any ETF finishes below 80% of its initial level, in which case investors will be fully exposed to the downside of the worst performer, payable in shares or cash at the issuer’s option.
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 ETFs: | Invesco QQQ trust, series 1 and SPDR S&P 500 ETF trust
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| Amount: | $2,045,000
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| Maturity: | May 26, 2022
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| Contingent coupon: | 7.25% per year, payable quarterly plus any previously unpaid coupons if each ETF 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: | Par plus final coupon unless any ETF finishes below its final barrier level, in which case exposure to downside of worst performer payable in shares or cash
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| Call option: | In whole at par any quarterly valuation date
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| Initial levels: | $327.01 for QQQ, $414.94 for S&P
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| Coupon barrier levels: | $261.608 for QQQ, $331.952 for S&P, 80% of initial levels
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| Final barrier levels: | $261.608 for QQQ, $331.952 for S&P, 80% of initial levels
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| Equity ratios: | 3.05801 for QQQ, 2.40999 for S&P
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| Pricing date: | May 21
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| Settlement date: | May 26
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17328NPV4
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