Published on 7/14/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $2.42 million autocallable contingent coupon equity notes on S&P 500, Stoxx
By Wendy Van Sickle
Columbus, Ohio, July 14 – Citigroup Global Markets Holdings Inc. priced $2.42 million of autocallable contingent coupon equity-linked securities due May 31, 2024 linked to the performance of the S&P 500 index and Euro Stoxx 50 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 6% if each index closes at or above its coupon barrier price, 85% of its initial level, on the valuation date for that period. Any previously unpaid coupons will also be paid.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level on any quarterly autocall date after one year.
If the notes are not called and each index finishes at or above its final barrier price, 85% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the losses of the worst performer.
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 indexs: | S&P 500 index, Euro Stoxx 50 index
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| Amount: | $2,421,000
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| Maturity: | May 31, 2024
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| Coupon: | 6% annualized rate, payable quarterly if each index closes at or above coupon barrier price on valuation date for that period; previously unpaid coupons will also be paid
|
| Price: | Par
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| Payout at maturity: | If each index closes at or above final barrier price, par plus the final coupon; otherwise, full exposure to losses of worst performer
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date after one year
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| Initial levels: | 4,195.99 for S&P 500, 4,031.67 for Stoxx
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| Coupon barrier prices: | 3,566.592 for S&P 500, 3,426.92 for Stoxx; 85% of initial levels
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| Final barrier prices: | 3,566.592 for S&P 500, 3,426.92 for Stoxx; 85% of initial levels
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| Pricing date: | May 26
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| Settlement date: | June 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 17329FLJ9
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