Published on 8/31/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.51 million autocallable contingent coupon equity notes on four tech stocks
By William Gullotti
Buffalo, N.Y., Aug. 31 – Citigroup Global Markets Holdings Inc. priced $2.51 million of autocallable contingent coupon equity-linked securities due Sept. 3, 2024 linked to the worst performing of the stocks of Amazon.com, Inc., Apple Inc., Alphabet Inc. and Microsoft Corp., according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent semiannual coupon at an annual rate of 8% if each stock closes at or above its coupon barrier price, 65% 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 semiannual autocall date.
If the notes are not called and each stock finishes at or above its final barrier price, 65% 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: | Amazon.com, Inc., Apple Inc., Alphabet Inc., Microsoft Corp.
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| Amount: | $2.51 million
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| Maturity: | Sept. 3, 2024
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| Coupon: | 8% annualized rate, payable semiannually 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 semiannual valuation date
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| Initial share prices: | $3,305.78 for Amazon, $149.62 for Apple, $2,847.97 for Alphabet, $302.62 for Microsoft
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| Coupon barrier prices: | $2,148.757 for Amazon, $97.253 for Apple, $1,851.181 for Alphabet, $196.703 for Microsoft; 65% of initial share prices
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| Final barrier prices: | $2,148.757 for Amazon, $97.253 for Apple, $1,851.181 for Alphabet, $196.703 for Microsoft; 65% of initial share prices
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| Equity ratio: | 0.3025 for Amazon, 6.6836 for Apple, 0.35113 for Alphabet, 3.30447 for Microsoft; total per security
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| Strike date: | Aug. 24
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| Pricing date: | Aug. 25
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| Settlement date: | Sept. 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.4%
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| Cusip: | 17328NYA0
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