Published on 3/25/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.17 million autocallable contingent coupon equity notes on three stocks
Chicago, March 25 – Citigroup Global Markets Holdings Inc. priced $1.17 million of autocallable contingent coupon equity-linked securities due Feb. 6, 2023 linked to the worst performing of the stocks of BioNTech SE, Enphase Energy, Inc. and SolarEdge Technologies, Inc., 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 annualized rate of 7.39% if the worst performing stock closes at or above the barrier price, 50% of the initial price, on the valuation date for that period. Previously unpaid coupons will also be paid.
The notes will be automatically called at par plus the contingent coupon if the shares of each stock closes at or above 65% of the initial share prices on any quarterly valuation date.
If the notes are not called, the payout at maturity will be par plus any coupon due under two conditions. If the worst performer finishes above the 50% final barrier value or the best performer finishes above 79% of its initial level. Otherwise, investors will be exposed to the losses of the worst performer, payable either in shares or cash at the issuer’s option.
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: | BioNTech SE, Enphase Energy, Inc. and SolarEdge Technologies, Inc.
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| Amount: | $1,174,000
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| Maturity: | Feb. 6, 2023
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| Coupon: | 7.39% per year, payable monthly if worst performing stock is greater than or equal to coupon barrier price on valuation date for that period; previously unpaid coupons will also be paid
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless at least one stock finishes below final barrier level or best performer finishes above final knock-in value; otherwise, full exposure to losses of worst performer payable in shares of that stock or cash at the issuer’s option
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| Call: | At par plus contingent coupon if closing share price is greater than or equal to 65% of initial share price on any quarterly valuation date
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| Initial share prices: | $116.94 for BioNTech, $182.35 for Enphase and $288.33 for SolarEdge
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| Coupon barrier levels: | $58.47 for BioNTech, $91.175 for Enphase and $144.165 for SolarEdge, 50% of initial share prices
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| Final barrier levels: | $58.47 for BioNTech, $91.175 for Enphase and $144.165 for SolarEdge, 50% of initial share prices
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| Autocall levels: | $76.011 for BioNTech, $118.528 for Enphase and $187.415 for SolarEdge, 65% of initial share prices
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| Final knock-in levels: | $92.383 for BioNTech, $144.057 for Enphase and $227.781 for SolarEdge, 79% of initial share prices
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| Equity ratios: | 8.55139 for BioNTech, 5.48396 for Enphase and 3.46825 for SolarEdge
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| Pricing date: | Feb. 1
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| Settlement date: | Feb. 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17328NEW4
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