Published on 1/18/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $512,000 callable contingent coupon equity notes on index, ETFs
By Wendy Van Sickle
Columbus, Ohio, Jan. 18 – Citigroup Global Markets Holdings Inc. priced $512,000 of callable contingent coupon equity-linked securities due Sept. 2, 2025 linked to the worst performing of the S&P 500 index, the iShares Russell 2000 ETF and the iShares MSCI Emerging Markets ETF, 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 7% if each underlier closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
After three months, the notes will be callable in whole at par plus any coupon due on any monthly call valuation date after three months.
If the notes have not been called, the payout at maturity will be par plus the final coupon if all underliers finish at or above the 60% barrier level. Otherwise, investors will lose 1% for every 1% decline of the worst performer 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: | iShares MSCI Emerging Markets ETF, S&P 500 index, iShares Russell 2000 ETF
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Amount: | $512,000
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Maturity: | Sept. 2, 2025
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Contingent coupon: | 7% per year, payable monthly if each underlier 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 underliers finish at or above the 60% barrier level, par plus the final coupon; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
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Call option: | In whole at par plus any coupon due on any monthly call valuation date after three months
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Initial levels: | $226.41 iShares Russell 2000, $51.59 for iShares MSCI Emerging Markets, 4,509.37 for S&P
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Coupon barrier levels: | $158.487 iShares Russell 2000, $36.113 for iShares MSCI Emerging Markets, 3,156.559 for S&P; 70% of initial levels
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Barrier levels: | $135.846 iShares Russell 2000, $30.954 for iShares MSCI Emerging Markets, 2,705.622 for S&P; 60% of initial levels
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Pricing date: | Aug. 27
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Settlement date: | Sept. 1
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.95%
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Cusip: | 17329QC81
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