Published on 11/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $685,000 autocallable contingent coupon equity notes on Russell, S&P Dynamic
By William Gullotti
Buffalo, N.Y., Nov. 15 – Citigroup Global Markets Holdings Inc. priced $685,000 of autocallable contingent coupon equity-linked securities due May 8, 2024 linked to the worst performing of the S&P 500 Dynamic Participation index and the Russell 2000 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 5.2% if each index closes at or above the coupon barrier level, 85% 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 six months.
If the notes are not called and each index finishes at or above buffer level, 85% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% decline of the worst performer below 15%.
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 indexes: | Russell 2000 index, S&P 500 Dynamic Participation index
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| Amount: | $685,000
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| Maturity: | May 8, 2024
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| Coupon: | 5.2% annualized rate, payable monthly if each index closes at or above coupon barrier level, on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each index closes at or above buffer; otherwise, investors will lose 1% for every 1% decline of the worst performer below 15%
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any monthly valuation date after six months
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| Initial levels: | 2,223.581 for Russell, 659.55 for S&P Dynamic
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| Coupon barrier levels: | 1,890.044 for Russell, 560.618 for S&P Dynamic; 85% of initial levels
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| Buffer levels: | 1,890.044 for Russell, 560.618 for S&P Dynamic; 85% of initial levels
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| Pricing date: | Aug. 3
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| Settlement date: | Aug. 6
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.7%
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| Cusip: | 17329QJ35
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