Published on 10/14/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.1 million callable contingent coupon equity notes on four stocks
By William Gullotti
Buffalo, N.Y., Oct. 14 – Citigroup Global Markets Holdings Inc. priced $3.1 million of callable contingent coupon equity-linked securities due Oct. 11, 2024 linked to the worst performing of Bank of America Corp., Apple Inc., JPMorgan Chase & Co. and Nvidia Corp., according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent monthly coupon at an annualized rate of 16.1% if each stock closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes will be callable in whole at par plus any coupon due on any quarterly valuation date after one year.
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 55% 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., Bank of America Corp., JPMorgan Chase & Co., Nvidia Corp.
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| Amount: | $3.1 million
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| Maturity: | Oct. 11, 2024
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| Contingent coupon: | 16.1% per year, payable monthly if each stock closes at or above coupon barrier on the valuation date for that period
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| 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 after one year
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| Initial levels: | $44.24 for BofA, $142.00 for Apple, $169.02 for JPMorgan, $207.00 for Nvidia
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| Coupon barrier levels: | $30.968 for BofA, $99.40 for Apple, $118.314 for JPMorgan, $144.90 for Nvidia; 70% of initial levels
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| Final barrier levels: | $24.332 for BofA, $78.10 for Apple, $92.961 for JPMorgan, $113.85 for Nvidia; 55% of initial levels
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| Strike date: | Oct. 6
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| Pricing date: | Oct. 8
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| Settlement date: | Oct. 14
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.45%
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| Cusip: | 17329UAT8
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