Published on 10/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.55 million callable contingent coupon equity notes on S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Oct. 15 – Citigroup Global Markets Holdings Inc. priced $1.55 million of callable contingent coupon equity-linked securities due Oct. 28, 2024 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent monthly coupon at an annualized rate of 6.15% if each index closes at or above its coupon barrier level, 80% 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 monthly call valuation date after six months.
Unless the worst performer finishes below its 65% final barrier, the payout at maturity will be par, in which case 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 indexes: | Russell 2000 index, Nasdaq-100 index, S&P 500 index
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| Amount: | $1,554,000
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| Maturity: | Oct. 28, 2024
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| Contingent coupon: | 6.15% per year, payable monthly if each index 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 worst performer finishes below its final barrier, in which case 1% loss for every 1% decline of worst performer from its initial level
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| Call option: | In whole at par plus any coupon due on any monthly call valuation date after six months
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| Initial levels: | 15,111.79 for Nasdaq, 4,411.79 for S&P, 2,209.649 for Russell
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| Coupon barrier levels: | 12,089.432 for Nasdaq, 3,529.432 for S&P, 1,767.719 for Russell; 80% of initial levels
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| Barrier levels: | 9,822.664 for Nasdaq, 2,867.664 for S&P, 1,436.272 for Russell; 65% of initial levels
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| Pricing date: | July 23
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| Settlement date: | July 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.45%
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| Cusip: | 17329QEL0
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