Published on 4/26/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $320,000 autocallable contingent coupon equity notes on four stocks
By Wendy Van Sickle
Columbus, Ohio, April 26 – Citigroup Global Markets Holdings Inc. priced $320,000 of autocallable contingent coupon equity-linked securities due April 4, 2024 linked to the worst performing of the stocks of Advanced Micro Devices, Inc., Booking Holdings Inc., Expedia Group, Inc. and Southwest Airlines 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% if each stock closes at or above its coupon barrier price, 60% of its initial share price, on the valuation date for that period, plus any previously unpaid coupon.
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 valuation date.
If the notes are not called and each stock finishes at or above its final barrier price, 50% of its initial share price, the payout at maturity will be par plus the final coupon. 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: | Advanced Micro Devices, Inc., Booking Holdings Inc., Expedia Group, Inc. and Southwest Airlines Co.
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Amount: | $320,000
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Maturity: | April 4, 2024
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Coupon: | 8% annualized rate, payable quarterly if each stock closes at or above coupon barrier price on valuation date for that period, plus any previously unpaid coupon
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Price: | Par
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Payout at maturity: | Par plus contingent coupon 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 the issuer’s option
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Call: | Automatically at par plus coupon if each stock closes at or above initial level on any quarterly valuation date
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Initial share prices: | $81.09 for Advanced, $2,382.46 for Booking, $175.93 for Expedia and $61.30 for Southwest
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Coupon barrier prices: | $48.654 for Advanced, $1,429.476 for Booking, $105.558 for Expedia and $36.78 for Southwest; 60% of initial share prices
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Final barrier prices: | $40.545 for Advanced, $1,191.23 for Booking, $87.965 for Expedia and $30.65 for Southwest; 50% of initial share prices
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Equity ratios: | 12.33198 for Advanced, 0.41793 for Booking, 5.68408 for Expedia and 16.31321 for Southwest
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Pricing date: | April 1
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Settlement date: | April 7
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 2.75%
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Cusip: | 17328NLR7
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