Published on 11/18/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $7.42 million autocallable contingent coupon equity notes on three stocks
By William Gullotti
Buffalo, N.Y., Nov. 18 – Citigroup Global Markets Holdings Inc. priced $7.42 million of autocallable contingent coupon equity-linked securities due Nov. 20, 2023 linked to the worst performing of the stocks of Amazon.com, Inc., Bank of America Corp. and Home Depot, 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 10% if each stock closes at or above its coupon barrier price, 68% of its initial share price, on the valuation date for that period. Previously unpaid coupons, if any, will be automatically included whenever a coupon payment is made.
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, 68% of its initial share price, the payout at maturity will be par plus the final coupon. Otherwise, investors will receive a number of shares of the worst performer equal to $5,000 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: | Amazon.com, Inc., Bank of America Corp., Home Depot, Inc.
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| Amount: | $7,415,000
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| Maturity: | Nov. 20, 2023
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| Coupon: | 10% annualized rate, payable quarterly if each stock closes at or above coupon barrier price on valuation date for that period; coupon payment events will automatically include any previously unpaid coupons
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| Price: | Par of $5,000
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| Payout at maturity: | Par plus 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: | $3,545.68 for Amazon, $47.05 for BofA, $371.08 for Home Depot
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| Coupon barrier prices: | $2,411.062 for Amazon, $31.994 for BofA, $252.334 for Home Depot; 68% of initial share prices
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| Final barrier prices: | $2,411.062 for Amazon, $31.994 for BofA, $252.334 for Home Depot; 68% of initial share prices
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| Equity ratio: | 1.41017 for Amazon, 106.26993 for BofA, 13.47418 for Home Depot; total per security
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| Pricing date: | Nov. 15
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| Settlement date: | Nov. 18
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328NS66
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