Published on 9/1/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $5.4 million autocallable barrier securities on S&P, Nasdaq, Russell
By Kiku Steinfeld
Chicago, Sept. 1 – Citigroup Global Markets Holdings Inc. priced $5.4 million of 0% autocallable barrier securities due Aug. 24, 2026 linked to the worst performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically redeemed at par plus a 31.5% premium if each index finishes at or above 110% of its initial level on Feb. 20, 2024.
If the notes are not called and all indexes close above their initial levels, the payout at maturity will be par plus double the return of the least performing index.
If the worst performer declines but finishes above 70% of its initial level, the payout will be par.
Otherwise, investors will lose 1% for each 1% decline from the initial level of the least performing index.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable barrier securities
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| Underlying indexes: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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| Amount: | $5,396,000
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| Maturity: | Aug. 24, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus double any gain of worst performing index; par if any index declines but worst performer finishes above barrier level; otherwise, full exposure to decline of least performing index
|
| Call: | At par plus 31.5% if each index finishes at or above 110% of its initial level on Feb. 20, 2024
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| Initial levels: | 4,405.80 for S&P, 2,132.420 for Russell and 14,933.94 for Nasdaq
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| Trigger levels: | 3,084.060 for S&P, 1,492.694 for Russell and 10,453.758 for Nasdaq; 70% of initial levels
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| Call levels: | 4,846.380 for S&P, 2,345.662 for Russell and 16,427.334 for Nasdaq; 110% of initial levels
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| Pricing date: | Aug. 19
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| Settlement date: | Aug. 24
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17329QJ76
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