Published on 2/20/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $873,000 contingent coupon autocalls on S&P, Russell, Nasdaq
By Kiku Steinfeld
Chicago, Feb. 22 – Citigroup Global Markets Holdings Inc. priced $873,000 of autocallable contingent coupon equity-linked securities due Nov. 10, 2022 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 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 quarterly coupon at an annual rate of 8.8% if each index closes at or above its 70% coupon barrier value on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly call review date after six months.
The payout at maturity will be par unless any index finishes below its 70% final barrier level, in which case investors will be exposed to the decline of the worst performing index.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Global Markets Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
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| Amount: | $873,000
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| Maturity: | Nov. 10, 2022
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| Coupon: | 8.8% annualized, payable quarterly if each index closes at or above coupon barrier on valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above final barrier level, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly call review date after six months
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| Initial levels: | 3,886.83 for S&P, 2,233.327 for Russell, 13,603.96 Nasdaq
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| Coupon barriers: | 2,720.781 for S&P, 1,563.3289 for Russell, 9,522.772 for Nasdaq; 70% of initial levels
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| Final barrier levels: | 2,720.781 for S&P, 1,563.3289 for Russell, 9,522.772 for Nasdaq; 70% of initial levels
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| Pricing date: | Feb. 5
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| Settlement date: | Feb. 10
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.225%
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| Cusip: | 17328YPK4
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