Published on 2/11/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $782,000 autocallable contingent coupon equity notes on four stocks
By Wendy Van Sickle
Columbus, Ohio, Feb. 11 – Citigroup Global Markets Holdings Inc. priced $782,000 of autocallable contingent coupon equity-linked securities due Sept. 5, 2025 linked to the worst performing of the stocks of Home Depot, Inc., Costco Wholesale Corp., Lowe’s Cos., Inc. and Walmart 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 monthly coupon at an annual rate of 8.65% if each stock closes at or above its coupon barrier price, 80% of its initial share price, on the valuation date for that period, in which case any previously unpaid coupon will also be paid.
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 after six months.
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 the final coupon. Otherwise, investors will be fully exposed to the decline of the worst performer from its 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: | Home Depot, Inc., Costco Wholesale Corp., Lowe’s Cos., Inc., Walmart Inc.
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| Amount: | $782,000
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| Maturity: | Sept. 5, 2025
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| Coupon: | 8.65% annualized rate, payable monthly if each stock closes at or above coupon barrier price on valuation date for that period, plus any previously unpaid coupon
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each stock finishes at or above final barrier price; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial share price
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| Call: | Automatically at par plus coupon if each stock closes at or above initial level on any quarterly valuation date after six months
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| Initial share prices: | $326.18 for Home Depot, $455.49 for Costco, $203.89 for Lowe’s, $148.10 for Walmart
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| Coupon barrier prices: | $260.944 for Home Depot, $364.392 for Costco, $163.112 for Lowe’s, $118.48 for Walmart; 80% of initial share prices
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| Final barrier prices: | $195.708 for Home Depot, $273.294 for Costco, $122.334 for Lowe’s, $88.86 for Walmart; 60% of initial share prices
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.25%
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| Cusip: | 17328NWS3
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