Published on 7/30/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.61 million contingent coupon autocallables on ETF, index
By Kiku Steinfeld
Chicago, July 30 – Citigroup Global Markets Holdings Inc. priced $2.61 million of autocallable contingent coupon equity linked securities due Jan. 20, 2023 linked to the worst performing of the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each month, the notes will pay a contingent coupon at an annual rate of 6.6% if each underlying asset closes at or above its 70% coupon barrier on the observation date for that month.
The notes will be called at par if each underlying asset closes at or above its initial level on any monthly observation date after six months.
The payout at maturity will be par unless any underlying asset finishes below its initial level and any underlying asset closes below its 70% knock-in level on any day during the life of the notes, in which case investors will be fully exposed to the decline in 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 securities
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| Underlying assets: | Russell 2000 index and the iShares MSCI Emerging Markets ETF
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| Amount: | $2,609,000
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| Maturity: | Jan. 20, 2023
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| Coupon: | 6.6% annualized, payable each month that each index closes at or above coupon barrier on observation date for that month
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless any underlying asset finishes below its initial level and any underlying asset closes below its knock-in level on any day during the life of the notes, in which case full exposure to the decline in the worst performing asset
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| Call: | At par if each index closes at or above initial level on any monthly observation date after six months
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| Initial levels: | 2,163.238 for Russell, $53.59 for ETF
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| Coupon barriers: | 1,514.267 for Russell, $37.513 for ETF, 70% of initial levels
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| Knock-in levels: | 1,514.267 for Russell, $37.513 for ETF, 70% of initial levels
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| Pricing date: | July 16
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| Settlement date: | July 21
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.4%
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| Cusip: | 17329Q5R7
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