Published on 6/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $4.47 million contingent income callable notes on Russell, Stoxx, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, June 9 – Citigroup Global Markets Holdings Inc. priced $4.47 million of contingent income callable securities due May 19, 2026 linked to the worst performing of the Euro Stoxx 50 index, 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.
Each quarter, the notes pay a contingent coupon at an annual rate of 10% if each index closes at or above its coupon barrier level, 80% of its initial index level, on each day of that quarter.
The notes are callable at par on any quarterly contingent coupon payment date.
If each index finishes at or above its downside threshold level, 75% of its initial level, the payout at maturity will be par.
If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
Citigroup Global Markets Inc. is the underwriter with Morgan Stanley Wealth Management as a selected dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Russell 2000 index, Nasdaq-100 index, Euro Stoxx 50 index
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| Amount: | $4.47 million
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| Maturity: | May 19, 2026
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| Coupon: | 10% per year, payable for each quarter that each index closes at or above coupon barrier on each day of that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
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| Call option: | At par on any quarterly contingent coupon payment date
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| Initial levels: | 4,017.44 for Stoxx, 2,224.63 for Russell, 13,393.12 for Nasdaq
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| Coupon barriers: | 3,213.952 for Stoxx, 1,779.704 for Russell, 10,714.496 for Nasdaq; 80% of initial levels
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| Downside thresholds: | 3,013.08 for Stoxx, 1,668.473 for Russell, 10,044.84 for Nasdaq; 75% of initial levels
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| Pricing date: | May 14
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| Settlement date: | May 19
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| Underwriter: | Citigroup Global Markets Inc.
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 3%
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| Cusip: | 17329FEQ3
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