Published on 8/2/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $500,000 autocallable contingent coupon equity notes on four stocks
By Kiku Steinfeld
Chicago, Aug. 2 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due April 17, 2023 linked to the worst performing of the stocks of Alphabet Inc., Amazon.com, Inc., Wells Fargo & Co. and Apple 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 11.3% 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 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, 60% of its initial share price, the payout at maturity will be par plus any final coupon. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial share price or, at the issuer’s option, the cash equivalent.
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: | Alphabet Inc., Amazon.com, Inc., Apple Inc., Wells Fargo & Co.
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| Amount: | $500,000
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| Maturity: | April 17, 2023
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| Coupon: | 11.3% 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 plus any final coupon if each stock finishes at or above final barrier price; otherwise, investors will receive a number of shares of worst performer equal to that stock’s equity ratio or, at the issuer’s option, the cash equivalent
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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: | $2,754.95 for Alphabet, $3,265.08 for Amazon, $172 for Apple, $53.63 for Wells
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| Coupon barrier prices: | $1,928.465 for Alphabet, $2,285.556 for Amazon, $120.40 for Apple, $37.541 for Wells; 70% of initial share prices
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| Final barrier prices: | $1,652.970 for Alphabet, $1,959.048 for Amazon, $103.20 for Apple, $32.178 for Wells; 60% of initial share prices
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| Equity ratios: | 0.36298 for Alphabet, 0.30627 for Amazon, 5.81395 for Apple, 18.64628 for Wells; total per security
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| Pricing date: | Jan. 7, 2022
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| Settlement date: | Jan. 14, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17328NX78
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