Published on 2/17/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $400,000 callable contingent coupon equity notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Feb. 17 – Citigroup Global Markets Holdings Inc. priced $400,000 of callable contingent coupon equity-linked securities due Feb. 2, 2023 linked to the worst performing of the Russell 2000 index, the iShares Russell 2000 Value ETF 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 will pay a contingent monthly coupon at an annual rate of 9% if each asset closes at or above the coupon barrier price, 70% of the initial price, on the valuation date for that month.
The notes will be callable at par on any monthly call valuation date after three months.
If the notes are not called and each asset finishes at or above final barrier price, 60% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will be exposed to the downside of the worst performer.
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: | iShares Russell 2000 Value ETF, Nasdaq-100 index, Russell 2000 index
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| Amount: | $400,000
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| Maturity: | Feb. 2, 2023
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| Coupon: | 9% annualized rate, payable monthly if each asset closes at or above coupon barrier price on valuation date for that month
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each asset closes at or above final barrier; otherwise, investors will be exposed to the downside of the worst performer
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| Call option: | Callable at par plus coupon on any monthly call valuation date after three months
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| Initial levels: | 2,073.641 for Russell, $138.40 for iShares and 12,925.38 for Nasdaq
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| Coupon barrier levels: | 1,451.549 for Russell, $96.88 for iShares and 9,047.766 for Nasdaq, 70% of initial levels
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| Final barrier levels: | 1,244.185 for Russell, $83.04 for iShares and 7,755.228 for Nasdaq, 60% of initial levels
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| Pricing date: | Jan. 29
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| Settlement date: | Feb. 3
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17328YMR2
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