Published on 2/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $926,000 autocallable contingent coupon securities on indexes
By Taylor Fox
New York, Feb. 16 – Citigroup Global Markets Holdings Inc. priced $926,000 of 0% autocallable contingent coupon equity-linked securities due Jan. 25, 2024 linked to the least performing of the Dow Jones industrial average, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a coupon of 6% per annum on a monthly basis if the least-performing index closes at or above its coupon barrier level, 75% of its initial level, on the valuation date for that period.
The notes will be called at par plus the coupon if each index finishes at or above its initial value on any monthly valuation date after six months.
If all the indexes finish above their final barrier levels, 70% of their initial levels, the payout at maturity will be par plus the final coupon.
Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying indexes: | Dow Jones industrial average, Nasdaq-100 index and Russell 2000 index
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| Amount: | $926,000
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| Maturity: | Jan. 25, 2024
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| Coupon: | 6% per annum on a monthly basis if the least-performing index closes at or above its coupon barrier value for that period
|
| Price: | Par
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| Payout at maturity: | If all the indexes finish above final barrier levels, par plus the final coupon; otherwise, 1% loss for each 1% decline of the least-performing index from its initial level
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| Call: | At par plus the coupon due if each index closes at or above its initial level on any monthly valuation date after six months
|
| Initial levels: | 31,176.01 for Dow, 13,404.99 for Nasdaq and 2,141.421 for Russell
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| Coupon barrier levels: | 23,382.008 for Dow, 10,053.743 for Nasdaq and 1,606.066 for Russell, 75% of initial levels
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| Final buffer levels: | 21,823.207 for Dow, 9,383.493 for Nasdaq and 1,498.995 for Russell, 70% of initial levels
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| Pricing date: | Jan. 21
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| Settlement date: | Jan. 26
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.95%
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| Cusip: | 17328YNL4
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