Published on 11/12/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $76,000 contingent market-linked autocalls on Nasdaq, Russell, Dow
By William Gullotti
Buffalo, N.Y., Nov. 12 – Citigroup Global Markets Holdings Inc. leveld $76,000 of 0% market-linked autocallable securities with contingent downside due July 29, 2026 linked to the Nasdaq-100 index, the Dow Jones industrial average and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly interest payment at the rate of 5.5% per year if each index closes at or above the coupon barrier level, 75% of the initial share level, on the observation date for that period.
The notes will be automatically called at par plus coupon if each index closes at or above initial levels on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but not below its 70% threshold level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
Citigroup Global Markets Inc. and Wells Fargo Securities are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market-linked autocallable securities 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: | $76,000
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| Maturity: | July 29, 2026
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| Coupon: | 5.5% annual rate, payable quarterly if all indexes close at or above their coupon barrier levels on the relevant observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each index finishes at or above coupon barrier; if worst performer finishes below its coupon barrier but at or above threshold level, par; otherwise, full exposure to decline of worst performer from its initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial levels on any quarterly observation date after six months
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| Initial levels: | 35,084.53 for Dow, 2,240.029 for Russell, 15,048.36 for Nasdaq
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| Coupon barriers: | 26,313.3975 for Dow, 1,680.02175 for Russell, 11,286.27 for Nasdaq; 75% of initial level
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| Threshold levels: | 24,559.171 for Dow, 1,568.0203 for Russell, 10,533.852 for Nasdaq; 70% of initial level
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities
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| Fees: | 2.575%
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| Cusip: | 17329QXD7
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