Published on 5/25/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $500,000 autocallable contingent coupon equity notes on four stocks
By Kiku Steinfeld
Chicago, May 25 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due Jan. 25, 2023 linked to the worst performing of the stocks of Bank of America Corp., Amazon.com, Inc., Goldman Sachs Group, Inc. and Morgan Stanley, 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, 70% of its initial share price, on the valuation date for that period.
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 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., Amazon.com, Inc., Goldman Sachs Group, Inc. and Morgan Stanley.
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| Amount: | $500,000
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| Maturity: | Jan. 25, 2023
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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
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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 shares or cash the 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: | $3,409.02 for Amazon, $46.37 for BofA, $406.07 for Goldman and $102.14 for Morgan Stanley
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| Coupon barrier prices: | $2,386.314 for Amazon, $32.459 for BofA, $284.249 for Goldman and $71.498 for Morgan Stanley; 70% of initial share prices
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| Final barrier prices: | $2,045.412 for Amazon, $27.822 for BofA, $243.642 for Goldman and $61.284 for Morgan Stanley; 60% of initial share prices
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| Equity ratios: | 0.29334 for Amazon, 21.56567 for BofA, 2.46263 for Goldman and 9.79048 for Morgan Stanley
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| Pricing date: | Oct. 18, 2021
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| Settlement date: | Oct. 25, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17328NZX9
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