Published on 7/21/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $5.41 million jump autocallables on S&P, Russell
By Kiku Steinfeld
Chicago, July 21 – Citigroup Global Markets Holdings Inc. priced $5.41 million of 0% jump securities with autocallable feature due June 3, 2027 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par $10 plus 6.6% per year if each index closes at or above its initial level on any quarterly determination date after one year.
If each index’s final level is greater than or equal to its initial level, the payout at maturity will be par plus 39.6%. If the final level of either index is less than its initial level but the final level of each index is greater than or equal to its 80% downside threshold level, the payout will be par. Otherwise, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc.is the underwriter with Morgan Stanley Wealth Management as a selected dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Jump securities with autocallable feature
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $5,408,200
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| Maturity: | June 3, 2027
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If each index’s final level is greater than or equal to initial level, par plus 39.6%; if final level of either index is less than initial level but final level of each index is greater than or equal to downside threshold level, par; otherwise, 1% loss for every 1% that lesser-performing index declines from its initial level
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| Call: | Automatically at par plus 6.6% per year if each index closes at or above initial level on any quarterly determination date after one year
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| Initial levels: | 4,204.11 for S&P and 2,268.972 for Russell
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| Downside threshold levels: | 3,363.288 for S&P and 1,815.178 for Russell; 80% of initial levels
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| Pricing date: | May 28
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| Settlement date: | June 3
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| Underwriter: | Citigroup Global Markets Inc.
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| Selected dealer: | Morgan Stanley Wealth Management as a dealer
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| Fees: | 3.5%
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| Cusip: | 17329D455
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