Published on 8/19/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $3.69 million autocallable contingent coupon equity notes on three stocks
By Wendy Van Sickle
Columbus, Ohio, Aug. 19 – Citigroup Global Markets Holdings Inc. priced $3.69 million of autocallable contingent coupon equity-linked securities due Aug. 10, 2023 linked to the worst performing of the stocks of Tesla, Inc., Morgan Stanley and JPMorgan Chase & 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 monthly coupon at an annual rate of 13.4% if each stock closes at or above its coupon barrier price, 80% of its initial share price, on the valuation date for that period. Contingent coupon payments will include previously unpaid coupons, if any.
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 final barrier price, 60% of its initial share price, the payout at maturity will be par plus the final coupon. Otherwise, investors will receive a number of shares of the worst performer equal to $5,000 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: | Tesla, Inc., Morgan Stanley, JPMorgan Chase & Co.
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| Amount: | $3,687,000
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| Maturity: | Aug. 10, 2023
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| Coupon: | 13.4% annualized rate, payable monthly if each stock closes at or above coupon barrier price on valuation date for that period; contingent coupon payments will also include any previously unpaid coupons
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| Price: | Par of $5,000
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| Payout at maturity: | Par plus contingent coupon if each stock closes at or above final barrier price; otherwise, investors will receive shares of worst performer equal to its equity ratio
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| Call: | Automatically at par plus coupon if each stock closes at or above initial level on any quarterly autocall date after six months
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| Initial share prices: | $713.76 for Tesla, $100.74 for Morgan Stanley, $157.33 for JPMorgan
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| Coupon barrier prices: | $571.008 for Tesla, $80.592 for Morgan Stanley, $125.864 for JPMorgan; 80% of initial share prices
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| Final barrier prices: | $428.256 for Tesla, $60.444 for Morgan Stanley, $94.398 for JPMorgan; 60% of initial share prices
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| Equity ratio: | 1.40103 for Tesla, 9.92654 for Morgan Stanley, 6.35607 for JPMorgan; total per security
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| Pricing date: | Aug. 9
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| Settlement date: | Aug. 12
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.25%
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| Cusip: | 17328NWA2
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