Published on 2/17/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $3.89 million autocallable barrier securities on Nasdaq, Russell, Dow
By Kiku Steinfeld
Chicago, Feb. 17 – Citigroup Global Markets Holdings Inc. priced $3.89 million of 0% autocallable barrier securities due Feb. 6, 2026 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will be called at par plus a call premium of 14.6% per year if each index closes at or above its 102% premium threshold level on any annual call date.
If the final level of each index return is positive or flat, the payout at maturity will be par plus the return of the worst performer.
The payout will be par if the final level of each index is less than its initial level but greater than or equal to the barrier level, 65% of the initial level.
If any index finishes below the barrier level, investors will be fully exposed to the decline of the least performing index.
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 barrier securities
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index and Dow Jones industrial average
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| Amount: | $3,892,000
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| Maturity: | Feb. 6, 2026
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| Coupon: | 0%3.89 | 3.89
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| Price: | Par
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| Payout at maturity: | If each index return is positive, par plus least performing index return; par if final level of least performing index is less than initial level but greater than or equal to barrier level; full exposure to decline if least performing index finishes below barrier level
|
| Call: | At par plus call premium of 14.6% per year if each index closes at or above its 102% premium threshold level on any annual call date
|
| Initial levels: | 13,402.37 for Nasdaq, 30,723.60 for Dow, 2,159.703 for Russell
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| Trigger levels: | 8,711.541 for Nasdaq, 19,970.34 for Dow, 1,403.807 for Russell; 65% of initial levels
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| Premium threshold levels: | 13,670.417 for Nasdaq, 31,338.072 for Dow, 2,202.897 for Russell; 102% of initial levels
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| Pricing date: | Feb. 3
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| Settlement date: | Feb. 8
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17328YP65
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