Published on 9/16/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $965,000 callable contingent coupon equity notes on indexes, ETF
By Kiku Steinfeld
Chicago, Sept. 16 – Citigroup Global Markets Holdings Inc. priced $965,000 of callable contingent coupon equity-linked securities due June 30, 2025 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the VanEck Vectors Gold Miners 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 9% if each underlier closes at or above its coupon barrier level, 70% 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 called and the worst performer finishes at or above its 60% barrier value, the payout will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer 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: | VanEck Vectors Gold Miners ETF, Russell 2000 index, S&P 500 index
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| Amount: | $965,000
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| Maturity: | June 30, 2025
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| Contingent coupon: | 9% 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: | If worst performer finishes at or above its 60% barrier value, par; otherwise, 1% loss for every 1% decline of the worst performer from its initial level
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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: | $34.36 for ETF, 4,280.70 for S&P, 2,334.396 for Russell
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| Coupon barrier levels: | $24.052 for ETF, 2,996.490 for S&P, 1,634.077 for Russell; 70% of initial levels
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| Barrier levels: | $20.616 for ETF, 2,568.420 for S&P, 1,400.638 for Russell; 60% of initial levels
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| Pricing date: | June 25
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| Settlement date: | June 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17329FT38
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