Published on 11/29/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.61 million callable contingent coupon equity notes on S&P, Russell, Dow
By William Gullotti
Buffalo, N.Y., Nov. 29 – Citigroup Global Markets Holdings Inc. priced $1.61 million of callable contingent coupon equity-linked securities due Nov. 24, 2027 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent semiannual coupon at an annualized rate of 4.75% if each index closes at or above its coupon barrier level, 60% 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 semiannual call valuation date.
If the notes are not redeemed early, the payout will be par plus the final coupon if each index finishes at or above 60% of its initial level. 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 indexes: | Russell 2000 index, Dow Jones industrial average, S&P 500 index
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| Amount: | $1,611,000
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| Maturity: | Nov. 24, 2027
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| Contingent coupon: | 4.75% per year, payable semiannually 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: | If all indexes finish at or above final barrier, par plus final coupon; otherwise, investors will 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 semiannual call valuation date Initial levels: | 35,601.98 for Dow, 4,697.96 for S&P, 2,343.161 for Russell
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| Coupon barrier levels: | 21,361.188 for Dow, 2,818.776 for S&P, 1,405.897 for Russell; 60% of initial levels
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| Barrier levels: | 21,361.188 for Dow, 2,818.776 for S&P, 1,405.897 for Russell; 60% of initial levels
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| Pricing date: | Nov. 19
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| Settlement date: | Nov. 24
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17329UHF1
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