Published on 6/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $905,000 autocallable contingent coupon equity notes on ETFs
By Wendy Van Sickle
Columbus, Ohio, June 9 – Citigroup Global Markets Holdings Inc. priced $905,000 of autocallable contingent coupon equity-linked securities due May 19, 2026 linked to the worst performing of the iShares Global Clean Energy ETF, the SPDR S&P Biotech ETF and the VanEck Vectors Semiconductor ETF, 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 9.25% if each underlying fund closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each underlying fund closes at or above its initial level on any quarterly valuation date after one year.
If the notes are not called and each underlying fund finishes at or above its barrier level, 70% of its initial level, the payout at maturity will be par. Otherwise, the payout will be a number of shares of the worst-performing ETF equal to $1,000 divided by its initial level 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 funds: | iShares Global Clean Energy ETF, SPDR S&P Biotech ETF and VanEck Vectors Semiconductor ETF
|
| Amount: | $905,000
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| Maturity: | May 19, 2026
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| Coupon: | 9.25% annualized rate, payable quarterly if each ETF closes at or above coupon barrier level on valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par if each ETF finishes at or above barrier level; otherwise, number of shares of worst-performing ETF equal to equity ratio or, at issuer’s option, amount in cash equal to value of those shares
|
| Call: | Automatically at par plus coupon if each ETF closes at or above initial level on any quarterly valuation date after one year
|
| Initial levels: | $21.60 for Global Clean, $126.92 for Biotech, $233.34 for Semiconductor
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| Coupon barrier levels: | $15.12 for Global Clean, $88.844 for Biotech, $163.338 for Semiconductor; 70% of initial levels
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| Barrier levels: | $15.12 for Global Clean, $88.844 for Biotech, $163.338 for Semiconductor; 70% of initial levels
|
| Equity ratios: | 46.29630 for Global Clean, 7.87898 for Biotech, 4.28559 for Semiconductor; equal to $1,000 divided by initial share price
|
| Pricing date: | May 14
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| Settlement date: | May 19
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328NSJ8
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