Published on 4/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.03 million autocallable contingent coupon equity notes on ETFs
By Kiku Steinfeld
Chicago, April 15 – Citigroup Global Markets Holdings Inc. priced $2.03 million of autocallable contingent coupon equity-linked securities due March 30, 2023 linked to the worst performing of the SPDR S&P Regional Banking ETF, SPDR S&P 500 ETF Trust and SPDR S&P Bank ETF, 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 10.45% if each asset closes at or above the coupon barrier price, 70% of the initial price, on the valuation date for that period.
The notes will be called at par on any quarterly call valuation date after six months.
If the notes are not called, the payout at maturity will be par unless either asset closes below 70% of the initial price, in which case the payout will be a number of shares of the worst performer equal to $1,000 divided by that asset’s initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.
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 contingent coupon equity-linked securities
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| Underlying assets: | SPDR S&P Regional Banking ETF, SPDR S&P 500 ETF Trust, SPDR S&P Bank ETF
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| Amount: | $2,030,000
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| Maturity: | March 30, 2023
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| Coupon: | 10.45% annualized rate, payable quarterly if each asset closes at or above coupon barrier price on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless either asset closes below knock-in level, in which case number of shares of worst performer equal to $1,000 divided by that asset’s initial share price or, at issuer’s option, amount in cash equal to value of those shares
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| Call: | At par if each asset closes at or above initial level on any quarterly call valuation date after six months
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| Initial share price: | $389.70 for ETF Trust, $51.59 for S&P Bank, $66.22 for Regional Banking
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| Coupon barrier levels: | $272.790 for ETF Trust, $36.113 for S&P Bank, $46.354 for Regional Banking, 70% of initial levels
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| Knock-in levels: | $272.790 for ETF Trust, $36.113 for S&P Bank, $46.354 for Regional Banking, 70% of initial levels
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| Equity ratios: | 2.56608 for ETF Trust, 19.3836 for S&P Bank, 15.10118 for Regional Banking
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| Pricing date: | March 25
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| Settlement date: | March 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328NMJ4
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