Published on 2/28/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.24 million callable contingent coupon equity notes on Russell, S&P
Chicago, Feb. 28 – Citigroup Global Markets Holdings Inc. priced $1.24 million of callable contingent coupon equity-linked securities due Nov. 1, 2023 linked to the worst performing of the Russell 2000 index and the S&P 500 index, 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 5% if each index closes at or above its coupon barrier level, 85% 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 starting after one year.
If the notes are not redeemed early, the payout will be par plus the final coupon if each index finishes at or above 85% of its initial level. Otherwise, investors will lose 1% for every 1% decline of the worst performer beyond the buffer 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, S&P 500 index
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Amount: | $1,237,000
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Maturity: | Nov. 1, 2023
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Contingent coupon: | 5% per year, payable quarterly 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 buffer level, par plus final coupon; otherwise, investors will lose 1% for every 1% decline of the worst performer beyond the buffer
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Call option: | In whole at par plus any coupon due on any quarterly call valuation date after one year
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Initial levels: | 4,186.72 for S&P, 2,301.267 for Russell
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Coupon barrier levels: | 3,558.712 for S&P, 1,956.077 for Russell; 85% of initial levels
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Barrier levels: | 3,558.712 for S&P, 1,956.077 for Russell; 85% of initial levels
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Pricing date: | April 27, 2021
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Settlement date: | April 30, 2021
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 2.5%
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Cusip: | 17329F5H3
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