Published on 11/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $3.5 million callable contingent coupon equity notes on three ETFs
By William Gullotti
Buffalo, N.Y., Nov. 9 – Citigroup Global Markets Holdings Inc. priced $3.5 million of callable contingent coupon equity-linked securities due Nov. 12, 2024 linked to the worst performing of the Invesco QQQ Trust, Series 1, the iShares Russell 2000 ETF and the SPDR S&P 500 ETF Trust, 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 7% if each ETF closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes will be callable in whole, at the option of the issuer, at par plus any coupon due on any quarterly valuation date after six months.
If the notes are not redeemed early, the payout will be par plus the final coupon if each ETF finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above 65% of its initial level, the payout at maturity will be par. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by its initial level or, at the issuer’s option, the cash equivalent.
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 funds: | Invesco QQQ Trust, Series 1, iShares Russell 2000 ETF, SPDR S&P 500 ETF Trust
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| Amount: | $3,495,000
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| Maturity: | Nov. 12, 2024
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| Contingent coupon: | 7% per year, payable quarterly if each fund closes at or above coupon barrier on related observation date
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| Price: | Par
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| Payout at maturity: | Par plus coupon if each ETF finishes at or above its coupon barrier; if worst performer finishes below coupon barrier but not below final barrier, par; otherwise, investors will receive a number of shares equal to the worst performer’s equity ratio or cash at the issuer’s option
|
| Call option: | In whole at par plus any coupon due on any quarterly valuation date after six months
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| Initial levels: | $389.05 for QQQ, $234.45 for iShares, $461.90 for SPDR
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| Coupon barrier levels: | $272.335 for QQQ, $164.115 for iShares, $323.33 for SPDR; 70% of initial levels
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| Final barrier levels: | $252.883 for QQQ, $152.393 for iShares, $300.235 for SPDR; 65% of initial levels
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| Equity ratios: | 2.57036 for QQQ, 4.2653 for iShares, 2.16497 for SPDR; shares delivered per security
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| Strike date: | Nov. 2
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| Pricing date: | Nov. 3
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| Settlement date: | Nov. 10
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.35%
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| Cusip: | 17328NQ92
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