Published on 10/12/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.06 million autocallable contingent coupon equity notes on bank stocks
By Kiku Steinfeld
Chicago, Oct. 12 – Citigroup Global Markets Holdings Inc. priced $1.06 million of autocallable contingent coupon equity-linked securities due July 30, 2024 linked to the worst performing of the stocks of Bank of America Corp., JPMorgan Chase & Co., Visa Inc. and Wells Fargo & Co., 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 8.25% if each stock closes at or above its coupon barrier price, 60% 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 if each stock closes at or above its initial share price on any quarterly valuation date.
If the notes are not called and each stock finishes at or above its final barrier price, 60% of its initial share price, the payout at maturity will be par. Otherwise, investors will be fully exposed to the losses of the worst performer, payable in shares or cash at the issuer’s option.
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: | Bank of America Corp., JPMorgan Chase & Co., Visa Inc. and Wells Fargo & Co.
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| Amount: | $1,055,000
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| Maturity: | July 30, 2024
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| Coupon: | 8.25% annualized rate, payable quarterly plus any previously unpaid coupons if each stock closes at or above coupon barrier price on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par if each stock closes at or above final barrier price; otherwise, full exposure to losses of worst performer, payable in either shares or cash at issuer’s option
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| Call: | Automatically at par if each stock closes at or above initial level on any quarterly valuation date
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| Initial share prices: | $37.96 for BofA, $150.93 for JPMorgan, $244.14 for Visa and $45.03 for Wells
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| Coupon barrier prices: | $22.776 for BofA, $90.558 for JPMorgan, $146.484 for Visa and $27.018 for Wells; 60% of initial share prices
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| Final barrier prices: | $22.776 for BofA, $90.558 for JPMorgan, $146.484 for Visa and $27.018 for Wells; 60% of initial share prices
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| Equity ratios: | 26.34352 for BofA, 6.62559 for JPMorgan, 4.09601 for Visa and 22.20742 for Wells
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| Pricing date: | July 23
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| Settlement date: | Aug. 2
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.3%
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| Cusip: | 17328NXV5
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