Published on 2/6/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.42 million autocallable securities on Nasdaq, Russell, S&P
By Taylor Fox
New York, Feb. 8 – Citigroup Global Markets Holdings Inc. priced $1.42 million of 0% autocallable securities due Jan. 8, 2026 linked to the least 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 be called at par plus a premium of 12.2% per year if the least-performing index finishes at or above its premium threshold level on any annual valuation date. The initial premium threshold level is 102% of the initial level, shifting up 2% each year.
If all the indexes finish at or above 110% of their initial levels, the payout at maturity will be par plus the premium due.
If any index finishes below 110% premium threshold level and above the barrier level, 90% of its initial level, payout will be par.
Otherwise, investors will be exposed to any decline of the worst performer beyond the 10% buffer.
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 securities
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index and S&P 500 index
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| Amount: | $1,423,000
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| Maturity: | Jan. 8, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If all indexes finish at or above 110% of the initial level, par plus the premium due; if any index finishes below 110% of initial level and above final barrier level, par; otherwise, 1% loss for each 1% decline of the least-performing index beyond the buffer
|
| Call: | At par plus 12.2% per year if all indexes finish at or above premium threshold level on any annual valuation date; premium threshold level starts at 102% of initial level and moves up 2% per year and ends at 110% of initial level
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| Initial levels: | 12,694.66 for Nasdaq, 1,945.914 for Russell and 3,700.65 for S&P
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| Final barrier levels: | 11,425.194 for Nasdaq, 1,751.323 for Russell and 3,330.585 for S&P, 90% of initial levels
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| Pricing date: | Jan. 4
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| Settlement date: | Jan. 7
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.55%
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| Cusip: | 17328Y6C3
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