Published on 7/19/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.94 million contingent market-linked autocalls on three funds
By Wendy Van Sickle
Columbus, Ohio, July 19 – Citigroup Global Markets Holdings Inc. priced $3.94 million of market-linked securities due May 30, 2024 – autocallable with contingent coupon and contingent downside linked to the least performing of the SPDR S&P Metals & Mining ETF, the VanEck Vectors Gold Miners ETF and the iShares Silver Trust , according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 12.5% if each fund 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 fund closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any fund finishes below its 70% downside threshold, in which case the payout will be par plus the return of the worst performing fund with full exposure to any losses.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC 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 funds: | SPDR S&P Metals & Mining ETF, VanEck Vectors Gold Miners ETF, iShares Silver Trust
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| Amount: | $3,937,000
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| Maturity: | May 30, 2024
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| Coupon: | 12.5% annualized, payable quarterly if each fund 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 fund falls by more than 30%, in which case 1% loss per 1% decline of the worst performing fund from its initial level
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| Call: | At par plus coupon if each fund closes at or above its initial level on any interest payment date after six months
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| Initial levels: | $46.73 for Metals & Mining, $38.21 for Gold Miners, $25.85 for iShares Silver
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| Coupon threshold: | $32.711 for Metals & Mining, $27.447 for Gold Miners, $18.095 for iShares Silver; 70% of initial levels
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| Downside threshold: | $32.711 for Metals & Mining, $27.447 for Gold Miners, $18.095 for iShares Silver; 70% of initial levels
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| Pricing date: | May 27
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| Settlement date: | June 2
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.125%
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| Cusip: | 17329FNZ3
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