Published on 2/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $5.79 million contingent market-linked autocalls on three indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 9 – Citigroup Global Markets Holdings Inc. priced $5.79 million of market-linked securities due April 28, 2022 – autocallable with contingent coupon and contingent downside linked to the worst performing of the Dow Jones industrial average, 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 9.9% if each index closes at or above its 75% coupon threshold on the observation date for that quarter.
The notes will be called at par plus coupon if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 75% barrier value, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC and Citigroup Global Markets Inc. are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | Dow Jones industrial average, Russell 2000 index, Nasdaq-100 index
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| Amount: | $5,787,000
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| Maturity: | April 28, 2022
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| Coupon: | 9.9% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below downside threshold, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par plus coupon if each index closes at or above its initial level on any observation date after six months
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| Initial levels: | 30,603.36 for Dow, 2,106.609 for Russell, 13,201.53 for Nasdaq-100
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| Coupon thresholds: | 22,952.52 for Dow, 1,579.95675 for Russell, 9,901.1475 for Nasdaq-100; 75% of initial levels
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| Downside thresholds: | 22,952.52 for Dow, 1,579.95675 for Russell, 9,901.1475 for Nasdaq-100; 75% of initial levels
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| Pricing date: | Jan. 28
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| Settlement date: | Feb. 2
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| Agents: | Wells Fargo Securities, LLC and Citigroup Global Markets Inc.
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| Fees: | 1.275%
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| Cusip: | 17328YH23
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