Published on 9/20/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $5.5 million callable contingent coupon equity notes on Nasdaq, S&P, Stoxx
By William Gullotti
Buffalo, N.Y., Sept. 20 – Citigroup Global Markets Holdings Inc. priced $5.5 million of callable contingent coupon equity-linked securities due Sept. 18, 2024 linked to the worst performing of the Nasdaq-100 index, the S&P 500 index and the Euro Stoxx 50 index, 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 9.75% if each index closes at or above its coupon barrier level, 75% 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 each index finishes above the coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer declines below the coupon barrier but finishes at or above 60% of its initial level, the payout will be par. Otherwise, investors will lose 1% for every 1% that the least performing index 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 indexes: | S&P 500 index, Euro Stoxx 50 index, Nasdaq-100 index
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| Amount: | $5.5 million
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| Maturity: | Sept. 18, 2024
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| Contingent coupon: | 9.75% per year, payable quarterly if each index 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 all indexes finish at or above coupon barrier, par plus final coupon; if the worst performer falls below coupon barrier but finishes at or above final barrier, par; otherwise, investors will lose 1% for every 1% that the least performing index declines from 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: | 4,189.53 for Stoxx, 15,434.5 for Nasdaq, 4,468.73 for S&P
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| Coupon barrier levels: | 3,142.148 for Stoxx, 11,575.875 for Nasdaq, 3,351.548 for S&P; 75% of initial levels
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| Barrier levels: | 2,513.718 for Stoxx, 9,260.7 for Nasdaq, 2,681.238 for S&P; 60% of initial levels
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| Strike date: | Sept. 13
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| Pricing date: | Sept. 14
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| Settlement date: | Sept. 17
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17329QT26
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