Published on 6/16/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1 million contingent income callable notes on Russell, Nasdaq, ETF
By Kiku Steinfeld
Chicago, June 16 – Citigroup Global Markets Holdings Inc. priced $1 million of contingent income callable securities due May 24, 2023 linked to the worst performing of the Nasdaq-100 index, the S&P 500 index and the SPDR S&P Regional Banking ETF, 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 an annual rate of 9.48% if each asset closes at or above its coupon barrier level, 70% of its initial asset level, on the observation date for that period.
The notes are callable at par on any quarterly observation date.
If each asset finishes at or above its downside threshold level, 70% of its initial level, the payout at maturity will be par.
If the final level of any asset is less than its downside threshold level, investors will be fully exposed to the decline 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: | Contingent income callable securities
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| Underlying assets: | Nasdaq-100 index, Russell 2000 index, SPDR S&P Regional Banking ETF
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| Amount: | $1,002,000
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| Maturity: | May 24, 2023
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| Coupon: | 9.48% per year, payable for each quarter that each asset closes at or above coupon barrier on every day that quarter
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| Price: | Par
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| Payout at maturity: | If each asset finishes at or above downside threshold, par; if final level of any asset is less than downside threshold level, full exposure to decline of lowest-performing asset
|
| Call option: | At par on any quarterly observation date
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| Initial levels: | $69.80 for ETF, 2,193.642 for Russell, 13,237.91 for Nasdaq
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| Coupon barriers: | $48.860 for ETF, 1,535.549 for Russell, 9,266.537 for Nasdaq; 70% of initial levels
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| Downside thresholds: | $48.860 for ETF, 1,535.549 for Russell, 9,266.537 for Nasdaq; 70% of initial levels
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| Pricing date: | May 19
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| Settlement date: | May 24
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17329FNA8
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