Published on 5/11/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $150,000 autocallable contingent coupon equity notes on indexes
By William Gullotti
Buffalo, N.Y., May 11 – Citigroup Global Markets Holdings Inc. priced $150,000 of autocallable contingent coupon equity-linked securities due Jan. 13, 2022 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, 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 8.7% if each index closes at or above the coupon barrier level, 70% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level, on any quarterly valuation date.
If the notes are not called and each index finishes at or above the initial level, the payout will be par. The payout will also be par if no index closes below the 70% knock-in level at any point during the life of the notes.
Otherwise, investors will be fully exposed to the downside of the worst performer on the final valuation date.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable contingent coupon equity-linked securities
|
| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
|
| Amount: | $150,000
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| Maturity: | Jan. 13, 2022
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| Coupon: | 8.70% annualized rate, payable quarterly if each index closes at or above coupon barrier level, on valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par if all indexes finish above initial levels; par if no index ever closes below knock-in level during life of the notes; otherwise, full exposure to losses of worst performer on final valuation date
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date
|
| Initial levels: | 13,845.05 for Nasdaq, 2,243.474 for Russell, 4,128.8 for S&P
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| Coupon barrier levels: | 9,691.535 for Nasdaq, 1,570.432 for Russell and 2,890.16 for S&P; 70% of initial levels
|
| Knock-in levels: | 9,691.535 for Nasdaq, 1,570.432 for Russell and 2,890.16 for S&P; 70% of initial levels
|
| Pricing date: | April 9
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| Settlement date: | April 14
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 0.6%
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| Cusip: | 17329FJ39
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