Published on 9/27/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $275,000 autocallable contingent coupon equity notes on four stocks
By William Gullotti
Buffalo, N.Y., Sept. 27 – Citigroup Global Markets Holdings Inc. priced $275,000 of autocallable contingent coupon equity-linked securities due July 10, 2024 linked to the worst performing of the stocks of Amazon.com, Inc., Nvidia Corp., Qualcomm Inc. and salesforce.com, 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 quarterly coupon at an annual rate of 8.9% if each stock closes at or above its coupon barrier price, 70% of its initial share price, on the valuation date for that period. Unpaid coupons, if any, will be paid at any time a contingent coupon payment is made.
The notes will be automatically called at par plus the coupon if each stock closes at or above its initial share price on any quarterly autocall date after six months.
If the notes are not called and each stock finishes at or above its coupon barrier price, the payout at maturity will be par plus the final coupon and any previously unpaid coupons.
If the worst performer finishes below its coupon barrier price but at or above its final barrier price, 60% of its initial share price, the payout at maturity will be par. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial share price.
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: | Amazon.com, Inc., Nvidia Corp., Qualcomm Inc., salesforce.com, inc.
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| Amount: | $275,000
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| Maturity: | July 10, 2024
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| Coupon: | 8.9% annualized rate, payable quarterly if each stock closes at or above coupon barrier price on valuation date for that period; coupon payment events will include any previously unpaid coupons
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| Price: | Par
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| Payout at maturity: | Par plus final coupon and any previously unpaid coupons if each stock closes at or above coupon barrier price; if worst performer finishes below coupon barrier but at or above final barrier, par; otherwise, investors will receive shares of worst performer equal to that stock’s equity ratio
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| Call: | Automatically at par plus coupon if each stock closes at or above initial level on any quarterly valuation date after six months
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| Initial share prices: | $3,731.41 for Amazon, $796.11 for Nvidia, $138.29 for Qualcomm, $245.80 for salesforce
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| Coupon barrier prices: | $2,611.987 for Amazon, $557.277 for Nvidia, $96.803 for Qualcomm, $172.06 for salesforce; 70% of initial share prices
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| Final barrier prices: | $2,238.846 for Amazon, $477.666 for Nvidia, $82.974 for Qualcomm, $147.48 for salesforce; 60% of initial share prices
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| Equity ratio: | 0.268 for Amazon, 1.25611 for Nvidia, 7.23118 for Qualcomm, 4.06835 for salesforce; total per security
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| Pricing date: | July 8
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| Settlement date: | July 12
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.75%
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| Cusip: | 17328NRB6
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