Published on 3/21/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $3 million contingent income callable notes on Stoxx, S&P, Dow
By Kiku Steinfeld
Chicago, March 22 – Citigroup Global Markets Holdings Inc. priced $3 million of contingent income callable securities due March 7, 2023 linked to the least performing of the Euro Stoxx 50 index, the S&P 500 index and the Dow Jones industrial average index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each quarter, the notes pay a contingent coupon at the rate of 5.4% per year if each index closes at or above its coupon barrier, 60% of its initial level, on every day that quarter.
The notes are callable at par plus the coupon, if any, on any quarterly coupon payment date other than the final one.
If each index finishes at or above its downside threshold level, 60% of its initial level, the payout at maturity will be par plus the coupon. Otherwise, investors will be fully exposed to decline of the least-performing index 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: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50 index, S&P 500 and Dow Jones industrial average
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| Amount: | $3 million
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| Maturity: | March 7, 2023
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| Coupon: | 5.4% per year, payable quarterly if each index closes at or above coupon barrier level on every day that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus coupon; otherwise, full exposure to least-performing index’s decline from initial level
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| Call option: | Callable at par plus coupon on any quarterly coupon payment date
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| Initial levels: | 3,870.29 for S&P, 31,391.52 for Dow and 3,707.72 for Stoxx
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| Coupon barriers: | 2,322.174 for S&P, 18,834.912 for Dow and 2,224.632 for Stoxx; 60% of initial levels
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| Downside thresholds: | 2,322.174 for S&P, 18,834.912 for Dow and 2,224.632 for Stoxx; 60% of initial levels
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| Pricing date: | March 2
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| Settlement date: | March 5
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 17328YW59
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