Published on 3/30/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.04 million autocallable contingent coupon equity notes on indexes
By Taylor Fox
New York, March 30 – Citigroup Global Markets Holdings Inc. priced $1.04 million of autocallable contingent coupon equity-linked securities due March 25, 2024 linked to the worst performing of the Euro Stoxx 50 index, the Swiss Market 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 plus any previously unpaid coupons at an annual rate of 5% if each index closes at or above the coupon barrier level, 65% 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, 65% of its initial level, the payout at maturity will be par plus the final coupon and any previously unpaid coupons. 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.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying indexes: | Euro Stoxx 50 index, the Swiss Market index and the S&P 500 index
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| Amount: | $1,035,000
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| Maturity: | March 25, 2024
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| Coupon: | 5% annualized rate, payable quarterly if each index closes at or above coupon barrier level, on valuation date for that period
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| Price: | Par
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| 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
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date after six months
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| Initial levels: | 3,849.74 for Stoxx, 3,974.12 for S&P and 10,922.49 for Swiss Market
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| Coupon barrier levels: | 2,502.331 for Stoxx, 2,583.178 for S&P and 7,099.619 for Swiss Market, 65% of initial levels
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| Final barrier levels: | 2,502.331 for Stoxx, 2,583.178 for S&P and 7,099.619 for Swiss Market, 65% of initial levels
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| Pricing date: | March 18
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| Settlement date: | March 25
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.6%
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| Cusip: | 17329FCD4
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