Published on 6/28/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $17.94 million trigger callable contingent yield notes on three indexes
By William Gullotti
Buffalo, N.Y., June 28 – Citigroup Global Markets Holdings Inc. priced $17.94 million of trigger callable contingent yield notes with daily coupon observation due June 22, 2023 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 8.2% if each index closes at or above its coupon barrier level, 70% of its initial level, on each trading day during that quarter.
The notes will be callable at par of $10 plus any coupon on any quarterly observation date.
If the notes are not called and each index finishes at or above its downside threshold level, 70% of its initial level, the payout at maturity will be par plus any coupon due. Otherwise, investors will lose 1% for every 1% decline of the least-performing index.
The notes are guaranteed by Citigroup Inc.
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 with daily coupon observation
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| Underlying indexes: | Euro Stoxx 50 index, Russell 2000 index, S&P 500 index
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| Amount: | $17,937,000
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| Maturity: | June 22, 2023
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| Coupon: | 8.2% per year, payable quarterly if each index closes at or above its coupon barrier level on each trading day during that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus any coupon unless any index finishes below downside threshold level, in which case 1% loss for every 1% decline of worst performing index
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| Call option: | At par plus any coupon on any quarterly observation date
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| Initial levels: | 2,237.745 for Russell, 4,166.45 for S&P, 4,083.37 for Stoxx
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| Coupon barrier levels: | 1,566.422 for Russell, 2,916.52 for S&P, 2,858.36 for Stoxx, 70% of initial levels
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| Knock-in levels: | 1,566.422 for Russell, 2,916.52 for S&P, 2,858.36 for Stoxx, 70% of initial levels
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| Pricing date: | June 18
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| Settlement date: | June 23
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| Agents: | UBS Financial Services Inc. and Citigroup Global Markets Inc.
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| Fees: | 1.25%
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| Cusip: | 17329D661
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