Published on 2/18/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.5 million autocallable securities on S&P, Dow, Nasdaq
By Kiku Steinfeld
Chicago, Feb. 18 – Citigroup Global Markets Holdings Inc. priced $1.5 million of 0% autocallable securities due Feb. 9, 2028 linked to the Nasdaq-100 index, the Dow Jones industrial average index and the S&P 500, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
If each index closes at or above its initial level on any annual valuation date, the notes will be called at par plus a premium of 9.05% a year.
If each index finishes at or above its trigger level, 80% of the initial level, the payout will be par plus 63.35%. If the least performing index falls below the trigger level but not below the final barrier level, 70% of the initial level, the payout will be par.
Otherwise, investors will lose 1% for each 1% decline of the worst performing index 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 securities
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| Underlying indexes: | Nasdaq-100, Dow Jones industrial average, S&P 500
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| Amount: | $1,500,000
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| Maturity: | Feb. 9, 2028
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above its trigger level, par plus 63.35%; if least performing index falls below the trigger level but not below the final barrier level, par; otherwise, 1% loss for each 1% decline of the worst performing index from its initial level
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| Call: | Automatically at par plus an annualized premium of 9.05% if each index closes at or above its initial level on any annual valuation date
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| Initial levels: | 3,871.74 for S&P, 13,560.89 for Nasdaq, 31,055.86 for Dow
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| Trigger levels: | 3,097.392 for S&P, 10,848.712 for Nasdaq, 24,844.688 for Dow; 80% of initial levels
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| Final barrier levels: | 2,710.218 for S&P, 9,492.623 for Nasdaq, 21,739.102 for Dow, 70% of initial levels
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| Pricing date: | Feb. 4
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| Settlement date: | Feb. 9
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17328YKU7
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