Published on 8/26/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $620,000 autocallable contingent coupon equity notes on three stocks
By William Gullotti
Buffalo, N.Y., Aug. 26 – Citigroup Global Markets Holdings Inc. priced $620,000 of autocallable contingent coupon equity-linked securities due July 1, 2024 linked to the worst performing of the stocks of Apple Inc., JPMorgan Chase & Co. and Visa Inc., 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 9.5% if each stock closes at or above its coupon barrier price, 75% of its initial share price, on the valuation date for that period.
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.
If the notes are not called and each stock finishes at or above its final barrier price, 75% of its initial share price, the payout at maturity will be par. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 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: | Apple Inc., JPMorgan Chase & Co., Visa Inc.
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| Amount: | $620,000
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| Maturity: | July 1, 2024
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| Coupon: | 9.5% 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, investors will receive shares of worst performer equal to that stock’s equity ratio
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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: | $133.70 for Apple, $151.12 for JPMorgan, $234.68 for Visa
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| Coupon barrier prices: | $93.590 for Apple, $105.784 for JPMorgan, $164.276 for Visa; 70% of initial share prices
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| Final barrier prices: | $86.905 for Apple, $98.228 for JPMorgan, $152.542 for Visa; 65% of initial share prices
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| Equity ratio: | 7.47943 for Apple, 6.61726 for JPMorgan, 4.26112 for Visa; total per security
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| Strike date: | June 23
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| Pricing date: | June 24
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| Settlement date: | July 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.6%
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| Cusip: | 17328NRW0
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