Published on 10/13/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $29.41 million callable contingent coupon equity notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Oct. 13 – Citigroup Global Markets Holdings Inc. priced $29.41 million of callable contingent coupon equity-linked securities due April 2, 2026 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent quarterly coupon at an annualized rate of 9.15% if each underlier closes at or above its coupon barrier level, 80% of its initial level, on every trading day that period.
The notes will be callable in whole at par plus any coupon due on any quarterly call valuation date after six months.
If each underlier finishes at or above its coupon barrier, the payout at maturity will be par.
If worst performer declines below 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: | iShares MSCI EAFE ETF, Russell 2000 index, S&P 500 index
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| Amount: | $29.41 million
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| Maturity: | April 2, 2026
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| Contingent coupon: | 9.15% per year, payable quarterly if each underlier closes at or above coupon barrier on every trading day that period
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| Price: | Par
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| Payout at maturity: | Par 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 after six months
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| Initial levels: | $78.01 for VanEck, 4,307.54 for S&P, 2,204.372 for Russell
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| Coupon barrier levels: | $62.408 for VanEck, 3,446.032 for S&P, 1,763.498 for Russell; 80% of initial levels
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| Barrier levels: | $46.806 for VanEck, 2,584.524 for S&P, 1,322.623 for Russell; 60% of initial levels
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| Pricing date: | Sept. 30
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| Settlement date: | Oct. 5
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17329QZ37
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