Published on 4/2/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.05 million callable contingent coupon equity notes on S&P, MSCI EM
By Kiku Steinfeld
Chicago, April 5 – Citigroup Global Markets Holdings Inc. priced $3.05 million of callable contingent coupon equity-linked securities due March 16, 2028 linked to the least performing of the S&P 500 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at annual rate of 7.4% if each underlier closes at or above its coupon barrier, 75% of its initial level, on the observation date for that period.
The notes will be callable at par plus any coupon due on any quarterly coupon payment date after one year.
The payout at maturity will be par plus any final coupon unless any underlier finishes below its 70% barrier, in which case investors will lose 1% for each 1% decline of the worst performing underlier.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable contingent coupon equity-linked securities
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| Underlying indexes: | S&P 500 index, MSCI Emerging Markets index
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| Amount: | $3,050,000
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| Maturity: | March 16, 2028
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| Coupon: | 7.4%, payable quarterly if each underlier closes at or above coupon barrier on observation date
|
| Price: | Par
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| Call option: | At par plus any coupon due on any quarterly coupon payment date after one year
|
| Payout at maturity: | Par plus any coupon if all indexes close above barrier level; otherwise 1% loss for each 1% decline of worst performing index
|
| Initial levels: | 1,348.20 for MSCI and 3,943.34 for S&P
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| Coupon barriers: | 1,011.150 for MSCI and 2,957.505 for S&P; 75% of initial levels
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| Barrier values: | 943.740 for MSCI and 2,760.338 for S&P; 70% of initial levels
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| Pricing date: | March 12
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| Settlement date: | March 17
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| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.6%
|
| Cusip: | 17328YZS6
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