Published on 8/18/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $885,000 contingent market-linked autocalls on three indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 18 – Citigroup Global Markets Holdings Inc. priced $885,000 of market-linked securities due June 19, 2025 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 6.5% if each index closes at or above its 75% coupon threshold on the observation date for that period.
The notes will be called at par plus 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 unless any index finishes below its 75% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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Underlying indexes: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
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Amount: | $885,000
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Maturity: | June 19, 2025
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Coupon: | 6.5% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that period
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Price: | Par
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Payout at maturity: | Par unless any index falls by more than 25%, in which case 1% loss per 1% decline of the worst performing index from its initial level
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Call: | At par plus coupon if each index closes at or above its initial level on any interest payment date after six months
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Initial levels: | 4,223.7 for S&P, 2,314.691 for Russell, 34,033.67 for Dow
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Coupon threshold: | 3,167.775 for S&P, 1,736.01825 for Russell, 25,525.2525 for Dow; 75% of initial levels
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Downside threshold: | 3,167.775 for S&P, 1,736.01825 for Russell, 25,525.2525 for Dow; 75% of initial levels
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Pricing date: | June 16
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Settlement date: | June 21
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Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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Fees: | 2.175%
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Cusip: | 17329FMA9
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