Published on 8/6/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.01 million callable contingent coupon equity notes on Nasdaq, Russell, EM ETF
By Wendy Van Sickle
Columbus, Ohio, Aug. 6 – Citigroup Global Markets Holdings Inc. priced $1.01 million of callable contingent coupon equity-linked securities due June 11, 2026 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, 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 at an annualized rate of 6.4% if each asset closes at or above its coupon barrier level, 60% 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 call valuation date.
If the notes are not redeemed early, the payout will be par unless any asset finishes below 60% of its initial level, in which case investors will lose 1% for every 1% that the least performing asset declines.
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: | Russell 2000 index, iShares MSCI Emerging Markets ETF, Nasdaq-100 index
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| Amount: | $1,011,000
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| Maturity: | June 11, 2026
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| Contingent coupon: | 6.4% per year, payable quarterly if each asset 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 asset finishes below its final barrier level, in which case investors will lose 1% for every 1% that the least performing asset declines
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| Call option: | In whole at par plus any coupon due on any quarterly call valuation date
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| Initial levels: | $55.99 for ETF, 2,286.412 for Russell, 13,770.77 for Nasdaq
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| Coupon barrier levels: | $33.594 for ETF, 1,371.847 for Russell, 8,262.462 for Nasdaq; 60% of initial levels
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| Barrier levels: | $33.594 for ETF, 1,371.847 for Russell, 8,262.462 for Nasdaq; 60% of initial levels
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| Pricing date: | June 4
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| Settlement date: | June 7
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.5%
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| Cusip: | 17329FZW7
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