Published on 3/19/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.15 million autocallable contingent coupon equity notes on ETFs
By Taylor Fox
New York, March 19 – Citigroup Global Markets Holdings Inc. priced $3.15 million of autocallable contingent coupon equity-linked securities due June 14, 2022 linked to the worst performing of the Invesco QQQ trust, series 1 and the SPDR S&P 500 ETF trust, 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 6.3% if each asset closes at or above the coupon barrier price, 60% of the initial price, on the valuation date for that quarter.
The notes will be called at par on any monthly call valuation date after six months.
If the notes are not called, the payout at maturity will be par plus the final coupon, if any, unless either asset closes below its knock-in level during the life of the notes and either asset finishes below its initial share 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.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable contingent coupon equity-linked securities
|
| Underlying assets: | Invesco QQQ trust, series 1 and the SPDR S&P 500 ETF trust
|
| Amount: | $3,147,000
|
| Maturity: | June 14, 2022
|
| Coupon: | 6.3% annualized rate, payable quarterly if each asset closes at or above coupon barrier price on valuation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon, if any, unless either asset closes below knock-in level during life of notes and either asset finishes below initial share price, 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
|
| Call: | At par plus coupon if each asset closes at or above initial level on any monthly call valuation date after six months
|
| Initial share price: | $311.77 for Invesco and $387.17 for S&P
|
| Coupon barrier levels: | $187.062 for Invesco and $232.302 for S&P, 60% of initial levels
|
| Knock-in levels: | $187.062 for Invesco and $232.302 for S&P, 60% of initial levels
|
| Pricing date: | March 9
|
| Settlement date: | March 12
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 2.25%
|
| Cusip: | 17328NFR4
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