Published on 10/30/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $2.85 million autocallable contingent coupon equity notes on four stocks
By Kiku Steinfeld
Chicago, Nov. 1 – Citigroup Global Markets Holdings Inc. priced $2.85 million of autocallable contingent coupon equity-linked securities due Sept. 27, 2024 linked to the worst performing of the stocks of Chevron Corp., JPMorgan Chase & Co., Home Depot, Inc. and Microsoft Corp., 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 9% if each stock closes at or above its coupon barrier price, 60% of its initial share price, on the valuation date for that period.
The notes will be automatically called at par if each stock closes at or above its initial share price on any quarterly autocall date.
If the notes are not called and each stock finishes at or above its final barrier price, 60% of its initial share price, the payout at maturity will be par. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial share price or, at the option of the issuer, the cash equivalent.
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 stocks: | Chevron Corp., JPMorgan Chase & Co., Home Depot, Inc. and Microsoft Corp.
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| Amount: | $2,852,000
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| Maturity: | Sept. 27, 2024
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| Coupon: | 9% annualized rate, payable quarterly if each stock 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 if each stock closes at or above final barrier price; otherwise, investors will receive shares of worst performer equal to that stock’s equity ratio or cash at issuer’s option
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| Call: | Automatically at par if each stock closes at or above initial level on any quarterly valuation date
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| Initial share prices: | $103.36 for Chevron, $333.80 for Home Depot, $166.08 for JPMorgan, $283.52 for Microsoft
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| Coupon barrier prices: | $62.016 for Chevron, $200.280 for Home Depot, $99.648 for JPMorgan, $170.112 for Microsoft; 60% of initial share prices
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| Final barrier prices: | $62.016 for Chevron, $200.280 for Home Depot, $99.648 for JPMorgan, $170.112 for Microsoft; 60% of initial share prices
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| Equity ratio: | 9.67492 for Chevron, 2.99581 for Home Depot, 6.02119 for JPMorgan, 3.52709 for Microsoft
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| Pricing date: | Sept. 28
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| Settlement date: | Sept. 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.25%
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| Cusip: | 17328ND47
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