Published on 9/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.08 million contingent market-linked autocalls on three indexes
By Kiku Steinfeld
Chicago, Sept. 9 – Citigroup Global Markets Holdings Inc. priced $1.08 million of market-linked securities due June 29, 2026 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Euro Stoxx 50 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 5.2% if each index closes at or above its 70% 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 70% 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. is the lead agent and Wells Fargo Securities, LLC is the agent.
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, Euro Stoxx 50 index and Dow Jones industrial average
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Amount: | $1,078,000
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Maturity: | June 29, 2026
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Coupon: | 5.2% 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 30%, 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 quarterly observation date after six months
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Initial levels: | 4,291.80 for S&P, 4,107.51 for Stoxx, 34,292.29f or Dow
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Coupon threshold: | 3,004.26 for S&P, 2,875.257 for Stoxx, 24,004.603 for Dow; 70% of initial levels
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Downside threshold: | 3,004.26 for S&P, 2,875.257 for Stoxx, 24,004.603 for Dow; 70% of initial levels
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Pricing date: | June 29
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Settlement date: | July 2
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Agents: | Citigroup Global Markets Inc. as lead agent and Wells Fargo Securities, LLC as agent
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Fees: | 2.475%
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Cusip: | 17329FYU2
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