Published on 7/12/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.93 million autocallable contingent coupon equity notes on indexes
By Wendy Van Sickle
Columbus, Ohio, July 12 – Citigroup Global Markets Holdings Inc. priced $1.93 million of autocallable contingent coupon equity-linked securities due May 29, 2026 linked to the worst performing of the S&P 500 Dynamic Participation index and the Russell 2000 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 monthly coupon at an annual rate of 5.75% if each underlying index closes at or above the coupon barrier level, 85% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each underlying index closes at or above its initial level on any quarterly call valuation date after one year.
If the notes have not been called, the payout at maturity will be par unless any index finishes below its 85% buffer level, in which case investors will be exposed to the loss of the laggard index beyond 15%.
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: | S&P 500 Dynamic Participation index, Russell 2000 index
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Amount: | $1,933,000
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Maturity: | May 29, 2026
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Coupon: | 5.75% annualized rate, payable monthly if each underlying 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 unless any index finishes below buffer level, in which case exposure to loss of laggard index beyond 15%
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Call: | Automatically at par plus coupon if each underlying closes at or above initial level on any quarterly call valuation date after one year
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Initial levels: | 611.17 for SPDR S&P 500 Dynamic Participation, 2,205.85 for Russell 2000
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Coupon barrier levels: | 519.495 for SPDR S&P 500 Dynamic Participation, 1,874.888 for Russell 2000; 85% of initial levels
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Buffer levels: | 519.495 for SPDR S&P 500 Dynamic Participation, 1,874.888 for Russell 2000; 85% of initial levels
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Pricing date: | May 25
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Settlement date: | May 28
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 4%
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Cusip: | 17329FQ80
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