Published on 2/22/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.13 million callable contingent coupon equity notes on three tech stocks
By William Gullotti
Buffalo, N.Y., Feb. 22 – Citigroup Global Markets Holdings Inc. priced $1.13 million of callable contingent coupon equity-linked securities due Sept. 12, 2025 linked to the worst performing of Apple Inc., Alphabet Inc. and Amazon.com, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent quarterly coupon at an annualized rate of 9.8% if each stock closes at or above its coupon barrier level, 80% of its initial level, on the valuation date for that period. Previously unpaid coupons, if any, will be automatically included whenever a contingent coupon is paid.
The notes will be callable in whole at par plus any coupon due on any quarterly valuation date.
If the notes are not redeemed early and each stock finishes above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above the 60% final barrier, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least performing stock declines.
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: | Callable contingent coupon equity-linked securities
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| Underlying stocks: | Apple Inc., Alphabet Inc., Amazon.com, Inc.
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| Amount: | $1,125,000
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| Maturity: | Sept. 12, 2025
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| Contingent coupon: | 9.8% per year, payable quarterly if each stock closes at or above coupon barrier on the valuation date for that period; coupon payment events will automatically include any previously unpaid coupons
|
| Price: | Par
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| Payout at maturity: | If each stock finishes at or above coupon barrier, par plus final coupon; if the worst performer finishes below coupon barrier but at or above final barrier, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
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| Call option: | In whole at par plus any coupon due on any quarterly valuation date
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| Initial levels: | $155.11 for Apple, $2,897.67 for Alphabet, $3,525.50 for Amazon
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| Coupon barrier levels: | $124.088 for Apple, $2,318.136 for Alphabet, $2,820.40 for Amazon; 80% of initial levels
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| Final barrier levels: | $93.066 for Apple, $1,738.602 for Alphabet, $2,115.30 for Amazon; 60% of initial levels
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| Equity ratios: | 6.44704 for Apple, 0.3451 for Alphabet, 0.28365 for Amazon; shares delivered per security
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| Strike date: | Sept. 8, 2021
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| Pricing date: | Sept. 9, 2021
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| Settlement date: | Sept. 14, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.5%
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| Cusip: | 17328NH68
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