Published on 12/14/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $5.23 million contingent market-linked autocalls on three indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 14 – Citigroup Global Markets Holdings Inc. priced $5.23 million of market-linked securities due Nov. 29, 2024 – autocallable with contingent coupon and contingent downside linked to the worst performing of the Russell 2000 index, the S&P 500 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 pay a contingent quarterly coupon at an annual rate of 5% if each index closes at or above its 65% coupon threshold on the observation date for that quarter.
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 65% barrier value, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC and Citigroup Global Markets Inc. 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: | Russell 2000 index, S&P 500 index and Dow Jones industrial average
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| Amount: | $5,225,000
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| Maturity: | Nov. 29, 2024
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| Coupon: | 5% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below downside threshold, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par plus coupon if each index closes at or above its initial level on any observation date after six months
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| Initial levels: | 3,621.63 for S&P, 1,819.816 for Russell, 29.638.64 for Dow
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| Coupon thresholds: | 2,354.0595 for S&P, 1,182.8804 for Russell, 19,265.116 for Dow; 65% of initial levels
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| Downside thresholds: | 2,354.0595 for S&P, 1,182.8804 for Russell, 19,265.116 for Dow; 65% of initial levels
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| Pricing date: | Nov. 30
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| Settlement date: | Dec. 3
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| Agents: | Wells Fargo Securities, LLC and Citigroup Global Markets Inc.
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| Fees: | 2.175%
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| Cusip: | 17328WUH9
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