Published on 8/5/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.13 million callable contingent coupon equity notes on ETFs, Nasdaq
By William Gullotti
Buffalo, N.Y., Aug. 5 – Citigroup Global Markets Holdings Inc. priced $1.13 million of callable contingent coupon equity-linked securities due March 9, 2023 linked to the worst performing of the Nasdaq-100 index, the iShares Global Clean Energy ETF 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 pay a contingent monthly coupon at an annualized rate of 10.5% if each underlier closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
After three months, the notes will be callable in whole at par plus any coupon due on any monthly call valuation date.
If the notes have not been called, the payout at maturity will be par unless any underlier closes below its 60% barrier value during the life of the notes and any underlier finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer declines 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: | SPDR S&P Regional Banking ETF, Nasdaq-100 index, iShares Global Clean Energy ETF
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| Amount: | $1,125,000
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| Maturity: | March 9, 2023
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| Contingent coupon: | 10.5% per year, payable monthly if each underlier 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 unless any underlier closes below its barrier value during the life of the notes and any underlier finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer declines from its initial level
|
| Call option: | In whole at par plus any coupon due on any monthly call valuation date after three months
|
| Initial levels: | $70.72 for SPDR, $22.30 for iShares, 13,770.77 for Nasdaq
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| Coupon barrier levels: | $49.504 for SPDR, $15.61 for iShares, 9,639.539 for Nasdaq; 70% of initial levels
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| Barrier levels: | $42.432 for SPDR, $13.38 for iShares, 8,262.462 for Nasdaq; 60% of initial levels
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| Pricing date: | June 4
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| Settlement date: | June 9
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.225%
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| Cusip: | 17329FUN2
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