Published on 9/27/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $10.79 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, Sept. 27 – Citigroup Global Markets Holdings Inc. priced $10.79 million of trigger callable contingent yield notes with daily coupon observation due June 27, 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.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 9.5% if each index closes at or above its coupon barrier level, 65% of its initial level, on each trading day during that quarter.
The notes will be callable at par of $10 plus any coupon due on any quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its downside threshold level, 65% of its initial level, the payout at maturity will be par plus any coupon due. Otherwise, investors will lose 1% for each 1% decline of the least-performing index.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the selling agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $10,794,000
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| Maturity: | June 27, 2024
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| Coupon: | 9.5% per year, payable each quarter that each index closes at or above its coupon barrier level on each trading day during that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus any coupon due unless any index finishes below downside threshold level, in which case 1% loss for every 1% decline of worst performing index
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| Call option: | At par plus any coupon due on any quarterly observation date other than final one
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| Initial levels: | 4,395.64 for S&P, 2,218.561 for Russell, 15,176.51 for Nasdaq
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| Coupon barriers: | 2,857.17 for S&P, 1,442.065 for Russell, 9,864.73 for Nasdaq; 65% of initial levels
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| Downside thresholds: | 2,857.17 for S&P, 1,442.065 for Russell, 9,864.73 for Nasdaq; 65% of initial levels
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| Pricing date: | Sept. 22
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| Settlement date: | Sept. 27
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| Underwriter: | Citigroup Global Markets Inc.
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| Agent: | UBS Financial Services Inc.
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| Fees: | 1%
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| Cusip: | 17329T658
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