Published on 8/19/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $5.89 million memory coupon barrier step-down autocall securities on three stocks
By Wendy Van Sickle
Columbus, Ohio, Aug. 19 – Citigroup Global Markets Holdings Inc. priced $5.89 million of memory coupon barrier step-down autocall securities due Aug. 10, 2023 tied to 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 will be guaranteed by Citigroup Inc.
The notes will pay a quarterly contingent coupon at an annualized rate of 10.2% if each stock closes above its coupon barrier, 70% of its initial level, on the related observation date, plus any previously unpaid coupon.
The notes will be called at par plus any coupon due if each stock closes above its autocall level on any quarterly observation date. The autocall level starts at 100% of the initial level and steps down to 90% on Aug. 8, 2022.
If the notes are not called and each stock finishes at or above its barrier level, 70% of the initial level, the payout will be par.
Otherwise, investors will receive shares of the least-performing stock.
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: | Memory coupon barrier step-down autocall securities
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| Underlying stocks: | Amazon.com, Inc., Bank of America Corp. and Home Depot, Inc.
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| Amount: | $5,885,000
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| Maturity: | Aug. 10, 2023
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| Coupon: | 10.2% annualized, payable quarterly if each stock closes above barrier level on observation date, plus any previously unpaid coupon
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| Price: | Par
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| Payout at maturity: | If each stock finishes at or above barrier level, par; otherwise, shares of worst performing stock equal to equity ratio
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| Call: | At par plus any coupon due if each stock closes above autocall level on any quarterly observation date; autocall level starts at 100% of initial level and steps down to 90% on Aug. 8, 2022
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| Initial levels: | $3,344.94 for Amazon, $329.84 for Home Depot, $40.15 for Bank of America
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| Barriers: | $2,341.458 for Amazon, $230.888 for Home Depot, $28.105 for Bank of America; 70% of initial levels
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| Equity ratios: | 1.4948 for Amazon, 15.15886 for Home Depot, 124.533 for Bank of America
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| Pricing date: | Aug. 6
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| Settlement date: | Aug. 11
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328NXW3
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