Published on 3/17/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.39 million autocallable contingent coupon equity notes on S&P, Nasdaq
By Taylor Fox
New York, March 17 – Citigroup Global Markets Holdings Inc. priced $1.39 million of autocallable contingent coupon equity-linked securities due June 9, 2022 linked to the worst performing of the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent monthly coupon plus any previously unpaid coupons at an annual rate of 8.25% 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 and any previously unpaid coupons if each index closes at or above its initial level, on any monthly valuation date after six months.
If the notes are not called and each index finishes at or above final barrier level, 80% of its initial level, the payout at maturity will be par plus the final coupon and any previously unpaid coupons. Otherwise, investors will be exposed to the downside of the worst performer.
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 and the S&P 500 index
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| Amount: | $1,385,000
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| Maturity: | June 9, 2022
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| Coupon: | 8.25% annualized rate, payable monthly 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 final barrier; otherwise, investors will be exposed to the downside of the worst performer
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any monthly valuation date after six months
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| Initial levels: | 12,668.51 for Nasdaq and 3,841.94 for S&P
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| Coupon barrier levels: | 10,134.808 for Nasdaq and 3,073.552 for S&P, 80% of initial levels
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| Final barrier levels: | 10,134.808 for Nasdaq and 3,073.552 for S&P, 80% of initial levels
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| Pricing date: | March 5
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| Settlement date: | March 10
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.25%
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| Cusip: | 17328YTU8
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