Published on 2/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.31 million callable contingent coupon securities on indexes, ETF
By Taylor Fox
New York, Feb. 16 – Citigroup Global Markets Holdings Inc. priced $2.31 million of callable contingent coupon equity-linked securities due July 22, 2022 linked to the least performing of the Nasdaq-100 index, the Dow Jones industrial average and the iShares Russell 2000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes have a monthly coupon of 7.75%, if the least-performing asset finishes at or above its coupon barrier value, 70% of its initial value on the related observation date.
The notes may be called at par plus any contingent coupon due by the issuer on any quarterly call valuation date.
If each asset finishes at or above its buffer value, 60% of its initial value, payout will be par plus any final coupon.
Otherwise, investors will lose 1% for each 1% decline of the least-performing asset 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: | Nasdaq-100 index, Dow Jones industrial average and iShares Russell 2000 Value ETF
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| Amount: | $2,310,000
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| Maturity: | July 22, 2022
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| Coupon: | 7.75% annual rate, paid monthly if each asset finishes at or above its coupon barrier value on related observation date
|
| Price: | Par
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| Payout at maturity: | If each asset finishes at or above final barrier value, par plus any final coupon; otherwise, 1% loss for each 1% decline of the least-performing asset from its initial level
|
| Call option: | At par plus any coupon due on any quarterly call valuation date
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| Initial values: | $142.96 for iShares Russell, 12,996.54 for Nasdaq and 30,930.52 for Dow
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| Coupon barriers: | $100.072 for iShares Russell, 9,097.578 for Nasdaq and 21,651.364 for Dow, 70% of initial values
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| Buffer values: | $85.776 for iShares Russell, 7,797.924 for Nasdaq and 18,558.312 for Dow, 60% of initial values
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| Pricing date: | Jan. 19
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| Settlement date: | Jan. 22
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.725%
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| Cusip: | 17328YC51
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