Published on 5/3/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $250,000 callable contingent coupon equity notes on SPDR ETFs
Chicago, May 3 – Citigroup Global Markets Holdings Inc. priced $250,000 of callable contingent coupon equity-linked securities due March 23, 2023 linked to the worst performing of the Health Care Select Sector SPDR fund, the SPDR S&P 500 ETF trust and the SPDR S&P biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent quarterly coupon at an annualized rate of 11.35% if each asset closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
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 plus the final coupon unless any asset finishes below 70% of its initial level, in which case investors will lose 1% for every 1% that the least performing asset declines, payable either in shares or cash at the issuer’s option.
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 funds: | Health Care Select Sector SPDR fund, the SPDR S&P 500 ETF trust and the SPDR S&P biotech ETF
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Amount: | $250,000
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Maturity: | March 23, 2023
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Contingent coupon: | 11.35% per year, payable quarterly if each fund closes at or above coupon barrier on related observation date
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Price: | Par
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Payout at maturity: | Par plus coupon unless any asset finishes below final barrier level, in which case investors will lose 1% for every 1% that the least performing asset declines, payable in shares or cash at the issuer’s option
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Call option: | In whole at par plus any coupon due on any quarterly valuation date
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Initial levels: | $115.07 for Health, $389.48 for S&P, $145.07 for Biotech
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Coupon barriers: | $80.549 for Health, $272.636 for S&P, $101.549 for Biotech; 70% of initial levels
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Barrier levels: | $80.549 for Health, $272.636 for S&P, $101.549 for Biotech; 70% of initial levels
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Equity levels: | 8.69036 for Health, 2.56753 for S&P, 6.89322 for Biotech
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Pricing date: | March 19
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Settlement date: | March 24
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.75%
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Cusip: | 17328NMM7
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