Published on 5/3/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.5 million autocallable contingent coupon equity notes on indexes
Chicago, May 3 – Citigroup Global Markets Holdings Inc. priced $3.5 million of autocallable contingent coupon equity-linked securities due March 22, 2024 linked to the worst performing of the MSCI Emerging Markets 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 quarterly coupon at an annual rate of 11.25% if each index closes at or above the coupon barrier level, 80% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon and any previously unpaid coupons if each index closes at or above its initial level, on any quarterly valuation date after six months.
If the notes are not called and each index finishes at or above final barrier level, 80% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will be exposed to the downside of the worst performer.
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: | MSCI Emerging Markets index, the Russell 2000 index and the S&P 500 index
|
| Amount: | $3,500,000
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| Maturity: | March 22, 2024
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| Coupon: | 11.25% annualized rate, payable quarterly 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 final barrier; otherwise, investors will be exposed to the downside of the worst performer
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date after six months
|
| Initial levels: | 1,336.84 for MSCI, 2,287.545 for Russell and 3,913.10 for S&P
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| Coupon barrier levels: | 1,069.472 for MSCI, 1,830.036 for Russell and 3,130.480 for S&P, 80% of initial levels
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| Final barrier levels: | 1,069.472 for MSCI, 1,830.036 for Russell and 3,130.480 for S&P, 80% of initial levels
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| Pricing date: | March 19
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| Settlement date: | March 24
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 2%
|
| Cusip: | 17329F7K4
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