Published on 1/14/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $730,000 contingent coupon autocalls on S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Jan. 14 – Citigroup Global Markets Holdings Inc. priced $730,000 of autocallable with contingent coupon equity-linked notes due Jan. 15, 2026 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 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 quarterly coupon at an annual rate of 4.1% 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 one year.
The payout at maturity will be par plus any coupon unless any index finishes below its 60% 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 Inc.
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Issue: | Autocallable contingent coupon equity-linked notes
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Underlying indexes: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
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Amount: | $730,000
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Maturity: | Jan. 15, 2026
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Coupon: | 4.1% 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 plus any coupon; otherwise, 1% loss for each 1% decline of worst 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 one year
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Initial levels: | 12,892.09 for Nasdaq, 2,127.959 Russell, 3,801.19 for S&P
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Coupon barriers: | 9,024.463 for Nasdaq, 1,489.571 for Russell, 2,660.833 for S&P, 70% of initial levels
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Final barrier level levels: | 7,735.254 for Nasdaq, 1,276.775 for Russell, 2,280.714 for S&P, 60% of initial levels
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Pricing date: | Jan. 12
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Settlement date: | Jan. 15
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 3.75%
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Cusip: | 17328YB45
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