Published on 1/8/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $580,000 autocallable contingent coupon securities on indexes
By Wendy Van Sickle
Columbus, Ohio, Jan. 8 – Citigroup Global Markets Holdings Inc. priced $580,000 of 0% autocallable contingent coupon equity-linked securities due Dec. 29, 2025 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a coupon of 5.2% per annum on a quarterly basis if the least-performing index closes at or above its coupon barrier level, 80% of its initial level, on the valuation date for that period.
The notes will be called at par plus the coupon if each index finishes at or above its initial value on any quarterly valuation date after one year.
If all the indexes finish above their final barrier levels, 80% of their initial levels, the payout at maturity will be par plus the final coupon.
Otherwise, investors will lose 1% for each 1% decline of the least-performing index beyond 20%.
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: | S&P 500 index, Nasdaq-100 index and Russell 2000 index
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| Amount: | $580,000
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| Maturity: | Dec. 29, 2025
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| Coupon: | 5.2% per annum on a quarterly basis if the least-performing index closes at or above its coupon barrier value for that period
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| Price: | Par
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| Payout at maturity: | If all the indexes finish above final buffer levels, par plus the final coupon; otherwise, 1% loss for each 1% decline of the least-performing index beyond 20%
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| Call: | At par plus the coupon due if each index closes at or above its initial level on any quarterly valuation date after one year
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| Initial levels: | 3,690.01 for S&P, 12,653.14 for Nasdaq and 2,007.104 for Russell
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| Coupon barrier levels: | 2,952.008 for S&P, 10,122.512 for Nasdaq and 1,605.683 for Russell, 80% of initial levels
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| Final buffer levels: | 2,952.008 for S&P, 10,122.512 for Nasdaq and 1,605.683 for Russell, 80% of initial levels
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| Pricing date: | Dec. 23
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| Settlement date: | Dec. 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17328YFZ2
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