Published on 12/29/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $6.88 million contingent market-linked autocalls on three indexes
By Kiku Steinfeld
Chicago, Dec. 29 – Citigroup Global Markets Holdings Inc. priced $6.88 million of 0% market-linked autocallable securities with contingent downside due Nov. 29, 2024 linked to the Euro Stoxx 50 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 guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly interest payment at the rate of 8.9% per year if each index closes at or above its coupon barrier level, 75% of the initial level, on the observation date for that period.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon unless the worst performer falls below its 75% barrier, in which case investors will lose 1% for every 1% decline of that index from its initial level.
Citigroup Global Markets Inc. is the lead agent and Wells Fargo Securities, LLC is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Market-linked autocallable securities with contingent coupon and contingent downside
|
| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, Euro Stoxx 50 index
|
| Amount: | $6,878,000
|
| Maturity: | Nov. 29, 2024
|
| Coupon: | 8.9% annual rate, payable quarterly if all indexes close at or above their coupon barrier levels on the related observation date
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon unless the worst performer falls below barrier, in which case full exposure to decline of that index from its initial level
|
| Call: | Automatically at par plus coupon if each index closes at or above initial levels on any quarterly observation date after six months
|
| Initial values: | 4,063.06 for Stoxx, 2,198.908 for Russell, 16,135.92 for Nasdaq
|
| Coupon barriers: | 3,047.295 for Stoxx, 1,649.181 for Russell, 12,101.94 for Nasdaq, 75% of initial levels
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| Barriers: | 3,047.295 for Stoxx, 1,649.181 for Russell, 12,101.94 for Nasdaq, 75% of initial levels
|
| Pricing date: | Nov. 30
|
| Settlement date: | Dec. 3
|
| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
|
| Fees: | 2.225%
|
| Cusip: | 17329U5Z0
|
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