Published on 5/20/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $276,000 autocallable contingent coupon equity notes on indexes
By Wendy Van Sickle
Columbus, Ohio, May 20 – Citigroup Global Markets Holdings Inc. priced $276,000 of autocallable contingent coupon equity-linked securities due Aug. 1, 2024 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 6.15% if each index closes at or above the coupon barrier level, 80% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level, on any quarterly valuation date after six months.
If the notes are not called and each index finishes at or above its initial level, the payout will be par.
If no index finishes below its 60% final barrier level, the payout will also be par.
Otherwise, investors will be fully exposed to the losses of the worst-performing index.
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: | Autocallable contingent coupon equity-linked securities
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index and Dow Jones industrial average
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| Amount: | $276,000
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| Maturity: | Aug. 1, 2024
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| Coupon: | 6.15% annualized rate, payable quarterly if each index closes at or above coupon barrier level, on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each index closes at or above initial level; par if no index finishes below final barrier level; otherwise, investors will be exposed to the downside of the worst performer
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date after six months
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| Initial levels: | 13,970.21 for Nasdaq, 2,295.456 for Russell, 34,060.36 for Dow
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| Coupon barrier levels: | 11,176.168 for Nasdaq, 1,836.365 for Russell, 27,248.288 for Dow; 80% of initial levels
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| Final barrier levels: | 8,382.126 for Nasdaq, 1,377.274 for Russell, 20,436.216 for Dow; 60% of initial levels
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| Pricing date: | April 29
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| Settlement date: | May 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.5%
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| Cusip: | 17329FCS1
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