Published on 10/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $500,000 autocallable contingent coupon equity notes on index, ETF
By Wendy Van Sickle
Columbus, Ohio, Oct. 15 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due July 28, 2026 linked to the worst performing of the VanEck Vectors Gold Miners ETF and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent monthly coupon at an annual rate of 4.5% if each underlier closes at or above the coupon barrier level, 80% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each underlier closes at or above its initial level, on any monthly valuation date after one year.
If the notes are not called and each underlier finishes at or above final buffer level, 85% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% decline of the worst performer beyond 15%.
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: | Dow Jones industrial average, VanEck Vectors Gold Miners ETF
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| Amount: | $500,000
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| Maturity: | July 28, 2026
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| Coupon: | 4.5% annualized rate, payable monthly if each underlier closes at or above coupon barrier level, on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each underlier closes at or above final buffer; otherwise, investors will lose 1% for every 1% decline of the worst performer beyond 15%
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| Call: | Automatically at par plus coupon if each underlier closes at or above initial level on any monthly valuation date after one year
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| Initial levels: | $33.15 for ETF, 35,061.55 for Dow
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| Coupon barrier levels: | $26.52 for ETF, 28,049.24 for Dow; 80% of initial levels
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| Final buffer levels: | $28.178 for ETF, 29,802.318 for Dow; 85% of initial levels
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| Pricing date: | July 23
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| Settlement date: | July 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.75%
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| Cusip: | 17329QFS4
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