Published on 2/7/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.12 million callable contingent coupon securities on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Feb. 8 – Citigroup Global Markets Holdings Inc. priced $1.12 million of 0% callable contingent coupon equity-linked securities due Jan. 25, 2024 linked to the least performing of the Russell 2000 index, the iShares Russell 2000 Value ETF 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 will pay a coupon of 7.75% per annum on a monthly basis if the least-performing asset closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes may be called at par plus any coupon due at the issuer’s option on any monthly call valuation date starting April 22.
If all the assets finish above their final barrier levels, 60% of their initial levels, the payout at maturity will be par plus the final coupon.
Otherwise, investors will lose 1% for each 1% decline of the least-performing asset 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: | Russell 2000 index, iShares Russell 2000 Value ETF and S&P 500 index
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| Amount: | $1,124,000
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| Maturity: | Jan. 25, 2024
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| Coupon: | 7.75% per annum on a monthly basis if the least-performing asset closes at or above its coupon barrier value for that period
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| Price: | Par
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| Payout at maturity: | If all the assets finish above final barrier levels, par plus the final coupon; otherwise, 1% loss for each 1% decline of the least-performing asset from its initial level
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| Call: | At par plus any contingent coupon due at the issuer’s option on any monthly call valuation date starting April 22
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| Initial levels: | 2,168.758 for Russell, $143.79 for ETF and 3,841.47 for S&P
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| Coupon barrier levels: | 1,518.131 for Russell, $100.654 for ETF and 2,689.029 for S&P, 70% of initial levels
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| Final barrier levels: | 1,301.255 for Russell, $86.274 for ETF and 2,304.882 for S&P, 60% of initial levels
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| Pricing date: | Jan. 22
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| Settlement date: | Jan. 27
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17328YMW1
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