Published on 6/6/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $8.38 million callable contingent coupon equity notes on Nasdaq, Russell, S&P
By William Gullotti
Buffalo, N.Y., June 7 – Citigroup Global Markets Holdings Inc. priced $8.38 million of callable contingent coupon equity-linked securities due Feb. 16, 2023 linked to the worst performing of the Nasdaq-100 index, 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 monthly coupon at an annualized rate of 9.15% if each index closes at or above its coupon barrier level, 70% 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 monthly call valuation date after six months.
If the notes are not redeemed early, the payout will be par if all three indexes finish above their initial levels. Investors will also receive par if no index ever closes below its 60% knock-in level during the life of the notes. Otherwise, investors will be fully exposed to the losses of the worst performing index.
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, Nasdaq-100 index
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Amount: | $8,383,000
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Maturity: | Feb. 16, 2023
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Contingent coupon: | 9.15% 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 if all indexes finish above initial levels; par if no index closes below knock-in level during life of notes; otherwise, investors will lose 1% for every 1% that the least performing index declines
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Call option: | In whole at par plus any coupon due on any monthly call valuation date after six months
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Initial levels: | 4,063.04 for S&P, 13,001.63 for Nasdaq, 2,135.139 for Russell
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Coupon barrier levels: | 2,844.128 for S&P, 9,101.141 for Nasdaq, 1,494.597 for Russell; 70% of initial levels
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Barrier levels: | 2,437.824 for S&P, 7,800.978 for Nasdaq, 1,281.083 for Russell; 60% of initial levels
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Pricing date: | May 12
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Settlement date: | May 17
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.725%
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Cusip: | 17329FMJ0
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