Published on 2/16/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.1 million callable contingent coupon equity notes on index, ETFs
By Kiku Steinfeld
Chicago, Feb. 16 – Citigroup Global Markets Holdings Inc. priced $1.1 million of callable contingent coupon equity-linked securities due Feb. 10, 2025 linked to the worst performing of the S&P 500 index, the iShares MSCI Brazil ETF and the SPDR Euro Stoxx 50 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 12.5% if each asset closes at or above its coupon barrier level, 60% 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 quarterly valuation date.
If the notes are not redeemed, the payout will be par plus any final coupon unless any asset finishes below 50% of its initial level, in which case investors will be fully exposed to the loss of the least performing asset.
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: | S&P 500 index, iShares MSCI Brazil ETF and SPDR Euro Stoxx 50 ETF
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| Amount: | $1.1 million
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| Maturity: | Feb. 10, 2025
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| Contingent coupon: | 12.5% per year, payable quarterly if each asset 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 plus any coupon unless any asset finishes below final barrier level, in which case investors will be fully exposed to the loss of the least performing asset
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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: | $35.68 for Brazil, 3,826.31 for S&P, $41.94 for Stoxx
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| Coupon barriers: | $21.408 for Brazil, 2,295.786 for S&P, $25.164 for Stoxx; 60% of initial levels
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| Final barriers: | $17.840 for Brazil, 1,913.155 for S&P, $20.970 for Stoxx; 50% of initial levels
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| Pricing date: | Feb. 3
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| Settlement date: | Feb. 10
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17328YXQ2
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