Published on 4/12/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $792,000 contingent coupon autocalls on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, April 12 – Citigroup Global Markets Holdings Inc. priced $792,000 of autocallable contingent coupon securities due April 1, 2024 linked to the worst performing of the Russell 2000 index and the S&P 500 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 5% if each index closes at or above its 80% coupon barrier value on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly call review date after one year.
The payout at maturity will be par plus any coupon unless any index finishes below its 80% final buffer level, in which case investors will be exposed to the decline of the worst performing index beyond the buffer.
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 notes
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| Underlying indexes: | S&P 500 index and Russell 2000 index
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| Amount: | $792,000
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| Maturity: | April 1, 2024
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| Coupon: | 5% annualized, payable quarterly if each index closes at or above coupon barrier on valuation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above final buffer level, par plus any coupon; otherwise, 1% loss for each 1% decline of worst performing index beyond 20%
|
| Call: | At par if each index closes at or above its initial level on any quarterly call review date after one year
|
| Initial levels: | 3,974.54 for S&P, 2,221.482 for Russell
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| Coupon barriers: | 3,179.632 for S&P, 1,777.186 for Russell, 80% of initial levels
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| Final buffer level levels: | 3,179.632 for S&P, 1,777.186 for Russell, 80% of initial levels
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| Pricing date: | March 26
|
| Settlement date: | March 31
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 0.5%
|
| Cusip: | 17329F5R1
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