Published on 8/26/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.91 million callable contingent coupon equity notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Aug. 26 – Citigroup Global Markets Holdings Inc. priced $2.91 million of callable contingent coupon equity-linked securities due Sept. 27, 2024 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the VanEck Vectors Gold Miners ETF, 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 8.65% if each underlier closes at or above its coupon barrier level, 70% 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 call valuation date.
If each underlier finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If worst performer declines beyond the coupon barrier but finishes at or above its 60% barrier value, the payout at maturity will be par. Otherwise, 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 assets: | VanEck Vectors Gold Miners ETF, Russell 2000 index, S&P 500 index
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Amount: | $2,908,000
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Maturity: | Sept. 27, 2024
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Contingent coupon: | 8.65% per year, payable monthly if each underlier 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 plus final coupon if each underlier finishes at or above coupon barrier; if the worst performer falls below coupon barrier but finishes at or above the final barrier level, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
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Call option: | In whole at par plus any coupon due on any quarterly call valuation date
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Initial levels: | $34.44 for VanEck, 4,266.49 for S&P, 2,333.622 for Russell
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Coupon barrier levels: | $24.108 for VanEck, 2,986.543 for S&P, 1,633.535 for Russell; 70% of initial levels
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Barrier levels: | $20.664 for VanEck, 2,559.894 for S&P, 1,400.173 for Russell; 60% of initial levels
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Pricing date: | June 24
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Settlement date: | June 29
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.95%
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Cusip: | 17329FUD4
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