Published on 11/12/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $360,000 callable contingent coupon equity notes on three ETFs
By William Gullotti
Buffalo, N.Y., Nov. 12 – Citigroup Global Markets Holdings Inc. priced $360,000 of callable contingent coupon equity-linked securities due Aug. 5, 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 8% 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.
If the notes are not redeemed early, the payout will be par plus the final coupon if each ETF finishes at or above its 70% final barrier. 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: | $360,000
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| Maturity: | Aug. 5, 2024
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| Contingent coupon: | 8% 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 final barrier; otherwise, investors will receive a number of shares equal to the worst performer’s equity ratio or cash at the issuer’s option
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| Call option: | In whole at par plus any coupon due on any quarterly valuation date
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| Initial levels: | $365.83 for QQQ, $220.82 for iShares, $438.83 for SPDR
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| Coupon barrier levels: | $256.081 for QQQ, $154.574 for iShares, $307.181 for SPDR; 70% of initial levels
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| Final barrier levels: | $256.081 for QQQ, $154.574 for iShares, $307.181 for SPDR; 70% of initial levels
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| Equity ratios: | 2.73351 for QQQ, 4.52858 for iShares, 2.27879 for SPDR; shares delivered per security
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| Strike date: | July 28
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| Pricing date: | July 29
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| Settlement date: | Aug. 5
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.7%
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| Cusip: | 17328NVM7
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