Published on 1/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $604,000 contingent coupon autocalls on ETF, Russell, Dow
By Wendy Van Sickle
Columbus, Ohio, Jan. 15 – Citigroup Global Markets Holdings Inc. priced $604,000 of autocallable with contingent coupon equity-linked notes due July 17, 2023 linked to the worst performing of the Dow Jones industrial average, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, 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 at an annual rate of 5.45% if each asset closes at or above its 70% coupon barrier value on the observation date for that month.
The notes will be called at par if each asset 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 asset finishes below its 70% final barrier level, in which case investors will be exposed to the decline of the worst performing asset.
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 assets: | iShares MSCI Emerging Markets ETF, Russell 2000 index and Dow Jones industrial average
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| Amount: | $604,000
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| Maturity: | July 17, 2023
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| Coupon: | 5.45% annualized, payable monthly if each asset closes at or above coupon barrier on valuation date for that month
|
| Price: | Par
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| Payout at maturity: | If each asset finishes at or above final barrier level, par plus any coupon; otherwise, 1% loss for each 1% decline of worst performing asset
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| Call: | At par if each asset closes at or above its initial level on any quarterly call review date after one year
|
| Initial levels: | 31,068.69 for Dow, 2,127.959 Russell, $54.50 for ETF
|
| Coupon barriers: | 21,748.03 for Dow, 1,489.571 for Russell, $38.15 for ETF, 70% of initial levels
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| Final barrier level levels: | 21,748.03 for Dow, 1,489.571 for Russell, $38.15 for ETF, 70% 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: | 2.65%
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| Cusip: | 17328YFF6
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