Published on 10/7/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $4.87 million callable contingent coupon equity notes on Intel, indexes
By William Gullotti
Buffalo, N.Y., Oct. 7 – Citigroup Global Markets Holdings Inc. priced $4.87 million of callable contingent coupon equity-linked securities due Sept. 29, 2026 linked to the worst performing of the shares of Intel Corp., the Nasdaq-100 index and the Russell 2000 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 9.85% 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 have not been called and each underlier finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the final level of the worst performer is below its coupon barrier but greater than or equal to its 50% final barrier, the payout at maturity 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: | Russell 2000 index, Nasdaq-100 index, Intel Corp.
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| Amount: | $4,872,000
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| Maturity: | Sept. 29, 2026
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| Contingent coupon: | 9.85% per year, payable quarterly 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 each underlier finishes at or above coupon barrier, par plus final coupon; if the worst performer finishes below coupon barrier but at or above final barrier, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
|
| Call option: | In whole at par plus any coupon due on any quarterly call valuation date
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| Initial levels: | $54.22 for Intel, 2,248.075 for Russell, 15,329.68 for Nasdaq
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| Coupon barrier levels: | $37.954 for Intel, 1,573.653 for Russell, 10,730.776 for Nasdaq; 70% of initial levels
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| Barrier levels: | $27.11 for Intel, 1,124.038 for Russell, 7,664.84 for Nasdaq; 50% of initial levels
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| Pricing date: | Sept. 24
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| Settlement date: | Sept. 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17329QYE4
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