Published on 9/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.44 million autocallable securities on Russell, S&P, Dow
By William Gullotti
Buffalo, N.Y., Sept. 15 – Citigroup Global Markets Holdings Inc. priced $2.44 million of 0% autocallable securities due June 30, 2026 tied to 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.
If each index closes at or above its premium threshold level, 105% of its initial level, on any semiannual valuation date after one year, the notes will be called at par plus an annualized call premium of 8.55%.
If each index finishes at or above its premium threshold level, the payout at maturity will be par plus 42.75%.
If the least performing index finishes below its premium threshold but not below its barrier level, 65% of its 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: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
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| Amount: | $2,438,000
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| Maturity: | June 30, 2026
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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 premium threshold, par plus 42.75%; if the least performing index finishes below its premium threshold but not below its barrier level, par; otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level
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| Call: | If each index closes at or above its premium threshold level on any semiannual valuation date after one year, the notes will be called at par plus an annualized call premium of 8.55%
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| Initial levels: | 34,433.84 for Dow, 4,280.7 for S&P, 2,334.396 for Russell
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| Premium thresholds: | 36,155.532 for Dow, 4,494.735 for S&P, 2,451.116 for Russell; 105% of initial levels
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| Barrier levels: | 20,660.304 for Dow, 2,568.42 for S&P, 1,400.638 for Russell; 65% of initial levels
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| Pricing date: | June 25
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| Settlement date: | June 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.25%
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| Cusip: | 17329FUF9
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