Published on 11/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.91 million callable contingent coupon equity notes on index, ETFs
By Wendy Van Sickle
Columbus, Ohio, Nov. 9 – Citigroup Global Markets Holdings Inc. priced $1.91 million of callable contingent coupon equity-linked securities due Aug. 3, 2023 linked to the worst performing of the SPDR S&P Biotech ETF, the iShares MSCI Brazil ETF and the MSCI Emerging Markets 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 13.25% if each underlier closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
After three months, the notes will be callable in whole at par plus any coupon due on any quarterly call valuation date after six months.
If the notes have not been called, the payout at maturity will be par if all underliers finish at or above the 70% final barrier level.
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: | MSCI Emerging Markets index, SPDR S&P Biotech ETF, iShares MSCI Brazil ETF
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| Amount: | $1,912,000
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| Maturity: | Aug. 3, 2023
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| Contingent coupon: | 13.25% 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 all underliers finish at or above final barrier level, 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 after six months
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| Initial levels: | $39.65 for Brazil, 1,295.41 for MSCI EM, $125.17 for Biotech
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| Coupon barrier levels: | $27.755 for Brazil, 906.787 for MSCI EM, $87.619 for Biotech; 70% of initial levels
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| Final barrier levels: | $27.755 for Brazil, 906.787 for MSCI EM, $87.619 for Biotech; 70% of initial levels
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17329QAF7
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