Published on 11/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.16 million autocallable contingent coupon equity notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 15 – Citigroup Global Markets Holdings Inc. priced $1.16 million of autocallable contingent coupon equity-linked securities due Aug. 6, 2026 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average 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 contingent quarterly coupon at an annual rate of 6.6% if each index closes at or above the coupon barrier level, 70% of the initial level, on the valuation 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 valuation date after one year.
If the notes are not called and each index finishes at or above its initial level or never closes below its knock-in level, 70% 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 from its initial level.
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 indexes: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
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| Amount: | $1,159,000
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| Maturity: | Aug. 6, 2026
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| Coupon: | 6.6% annualized rate, payable quarterly if each index 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 if each index closes at or above initial level or never closes below knock-in value; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date after one year
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| Initial levels: | 2,215.495 for Russell, 4,387.16 for S&P, 34,838.16 for Dow
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| Coupon barrier levels: | 1,550.847 for Russell, 3,071.012 for S&P, 24,386.712 for Dow; 70% of initial levels
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| Knock-in levels: | 1,550.847 for Russell, 3,071.012 for S&P, 24,386.712 for Dow; 70% of initial levels
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| Pricing date: | Aug. 2
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| Settlement date: | Aug. 5
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.55%
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| Cusip: | 17329QGR5
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