Published on 5/11/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.25 million callable contingent coupon equity notes on Dow, Nasdaq, S&P
By Kiku Steinfeld
Chicago, May 11 – Citigroup Global Markets Holdings Inc. priced $1.25 million of callable contingent coupon equity-linked securities due April 28, 2025 linked to the worst performing of the Dow Jones industrial average, the Nasdaq-100 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 monthly coupon at an annualized rate of 6% if each index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
Beginning in October, the notes will be callable in whole at par plus any coupon due on any quarterly valuation date.
If the notes are not redeemed early, the payout will be par unless any index closes below 60% of its initial level, in which case investors will lose 1% for every 1% that the least performing index declines.
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: | Dow Jones industrial average, S&P 500 index and Nasdaq-100 index
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| Amount: | $1.25 million
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| Maturity: | April 28, 2025
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| Contingent coupon: | 6% per year, payable monthly 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: | Par unless any index closes below its knock-in level, in which case investors will lose 1% for every 1% that the least performing index declines
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| Call option: | Beginning in October, in whole at par plus any coupon due on any quarterly valuation date
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| Initial levels: | 34,043.49 Dow, 4,180.17 for S&P, 13,941.44 for Nasdaq
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| Coupon barrier levels: | 23,830.443 for Dow, 2,926.119 for S&P, 9,759.008 for Nasdaq, 70% of initial levels
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| Knock-in levels: | 20,426.094 for Dow, 2,508.102 for S&P, 8,364.864 for Nasdaq, 60% of initial levels
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| Pricing date: | April 23
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| Settlement date: | April 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17329FE75
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