Published on 4/1/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $12.72 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, April 1 – Citigroup Global Markets Holdings Inc. priced $12.72 million of trigger callable contingent yield notes with daily coupon observation due March 31, 2026 linked to the least performing of the S&P 500 index, the Russell 2000 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each quarter, the notes pay a contingent coupon at a rate of 8.5% per year if each index closes at or above its coupon barrier, 70% of its initial level, on each day that quarter.
The notes are callable at par of $10 plus any coupon due on any quarterly coupon payment date.
If the notes are not called and each index finishes at or above its downside threshold, 70% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the selling agent.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Trigger callable contingent yield notes with daily coupon observation
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Underlying indexes: | S&P 500 index, Russell 2000 index and MSCI Emerging Markets index
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Amount: | $12,715,000
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Maturity: | March 31, 2026
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Coupon: | 8.5% per year, payable each quarter that each index closes at or above its coupon barrier on each day that quarter
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Price: | Par of $10
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Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to decline of least-performing index below its initial level
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Call option: | At par plus any coupon due on any quarterly coupon payment date
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Initial levels: | 2,221.482 for Russell, 3,974.54 for S&P, 1,307.48 for MSCI Emerging Markets
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Coupon barriers: | 1,555.037 for Russell, 2,782.178 for S&P, 915.24 for MSCI Emerging Markets; 70% of initial levels
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Downside thresholds: | 1,110.741 for Russell, 1,987.27 for S&P, 653.74 for MSCI Emerging Markets; 50% of initial levels
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Pricing date: | March 26
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Settlement date: | March 31
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Underwriter: | Citigroup Global Markets Inc.
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Selling agent: | UBS Financial Services Inc.
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Fees: | 2%
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Cusip: | 17329B715
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