Published on 2/16/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $761,000 callable contingent coupon equity notes on S&P, Russell, EAFE
By Kiku Steinfeld
Chicago, Feb. 16 – Citigroup Global Markets Holdings Inc. priced $761,000 of callable contingent coupon equity-linked securities due Feb. 6, 2026 linked to the lesser performing of the MSCI EAFE index, S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly coupon at annual rate of 9.4% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be callable at par plus any coupon due on any quarterly call valuation date.
The payout at maturity will be par plus any final coupon unless either index finishes below its 60% barrier, in which case investors will lose 1% for each 1% decline of the worst performing index 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 indexes: | MSCI EAFE index, S&P 500 index and Russell 2000 index
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| Amount: | $761,000
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| Maturity: | Feb. 6, 2026
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| Coupon: | 9.4%, payable quarterly if each index closes at or above coupon barrier on observation date
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| Price: | Par
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| Payout at maturity: | Par plus any coupon if both indexes finish above barrier levels; otherwise, 1% loss for each 1% decline of worse performing index from initial level
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| Call option: | At par plus any coupon due on any quarterly call valuation date
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| Initial levels: | 2,168.22 for MSCI, 3,830.17 for S&P and 2,159.403 for Russell
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| Coupon barriers: | 1,517.754 for MSCI, 2,681.119 for S&P and 1,511.792 for Russell, 70% of initial levels
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| Barrier values: | 1,300.932 for MSCI, 2,298.102 for S&P and 1,295.822 for Russell, 60% of initial levels
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| Pricing date: | Feb. 3
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| Settlement date: | Feb. 8
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.5%
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| Cusip: | 17328YWH3
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