Published on 9/20/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.6 million callable contingent coupon equity notes on ETFs
By Kiku Steinfeld
Chicago, Sept. 20 – Citigroup Global Markets Holdings Inc. priced $1.6 million of callable contingent coupon equity-linked securities due July 6, 2023 linked to the worst performing of the SPDR S&P Biotech ETF, the VanEck Vectors Oil Services ETF and the Financial Select Sector SPDR fund, 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 10% if each asset closes at or above its coupon barrier level, 58.45% 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 valuation date.
If the notes are not redeemed, the payout will be par unless any asset finishes below 58.45% of its initial level, in which case investors will be fully exposed to the loss of the least performing asset, payable in shares or, at the issuer’s option, cash.
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: | SPDR S&P Biotech ETF, VanEck Vectors Oil Services ETF and Financial Select Sector SPDR fund
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| Amount: | $1,603,000
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| Maturity: | July 6, 2023
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| Contingent coupon: | 10% per year, payable quarterly if each asset 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: | Par unless any asset finishes below 58.45% of its initial level, in which case investors will be fully exposed to the loss of the least performing asset, payable in shares or, at the issuer’s option, cash
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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: | $36.69 for Financial, $135.40 for Biotech, $218.93 for Oil
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| Coupon barriers: | $21.445 for Financial, $79.141 for Biotech, $127.965 for Oil; 58.45% of initial levels
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| Final barriers: | $21.445 for Financial, $79.141 for Biotech, $127.965 for Oil; 58.45% of initial levels
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| Equity ratios: | 27.25538 for Financial, 7.38552 for Biotech, 4.56767 for Oil
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| Pricing date: | June 30
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| Settlement date: | July 6
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328NTZ1
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