Published on 5/19/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.73 million autocallable contingent coupon equity notes on indexes
By William Gullotti
Buffalo, N.Y., May 19 – Citigroup Global Markets Holdings Inc. priced $1.73 million of autocallable contingent coupon equity-linked securities due Jan. 24, 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 monthly coupon at an annual rate of 6.65% 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 monthly valuation date after three months.
If the notes are not called and each index finishes at or above its initial level, the payout will be par.
If no index ever closes below its 70% knock-in level during the life of the notes, the payout will also be par.
Otherwise, investors will be fully exposed to the losses of the worst-performing index, with a maximum payout of par.
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 and S&P 500 index
|
| Amount: | $1,725,000
|
| Maturity: | Jan. 24, 2022
|
| Coupon: | 6.65% annualized rate, payable monthly if each index closes at or above coupon barrier level, on valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon if each index closes at or above initial level; par if no index closes below knock-in level on any day during the life of the notes; otherwise, investors will be exposed to the downside of the worst performer with a maximum payout of par
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any monthly valuation date after three months
|
| Initial levels: | 13,907.67 for Nasdaq, 2,232.001 for Russell, 4,163.26 for S&P
|
| Coupon barrier levels: | 9,735.369 for Nasdaq, 1,562.401 for Russell, 2,914.282 for S&P; 70% of initial levels
|
| Knock-in levels: | 9,735.369 for Nasdaq, 1,562.401 for Russell, 2,914.282 for S&P; 70% of initial levels
|
| Pricing date: | April 19
|
| Settlement date: | April 22
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 1.6%
|
| Cusip: | 17329FGS7
|
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