Published on 3/15/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.6 million callable contingent coupon equity notes on three tech stocks
By William Gullotti
Buffalo, N.Y., March 15 – Citigroup Global Markets Holdings Inc. priced $1.6 million of callable contingent coupon equity-linked securities due Feb. 20, 2024 linked to the worst performing of Apple Inc., Microsoft Corp. and Amazon.com, Inc., 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 8.5% if each stock closes at or above its coupon barrier level, 55% of its initial level, on the valuation date for that period. Previously unpaid coupons, if any, will be automatically included whenever a contingent coupon is paid.
The notes will be callable in whole at par plus any coupon due on any monthly valuation date after one year.
If the notes are not redeemed early and each stock finishes at or above the 55% final barrier, the payout at maturity will be par plus all unpaid coupons.
Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial level 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: | Callable contingent coupon equity-linked securities
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| Underlying stocks: | Apple Inc., Microsoft Corp., Amazon.com, Inc.
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| Amount: | $1.6 million
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| Maturity: | Feb. 20, 2024
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| Contingent coupon: | 8.5% per year, payable monthly if each stock closes at or above coupon barrier on the valuation date for that period; coupon payment events will automatically include any previously unpaid coupons
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| Price: | Par
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| Payout at maturity: | If each stock finishes at or above final barrier, par plus all unpaid coupons; otherwise, receive a number of shares equal to the worst performer’s equity ratio or, at the issuer’s option, the cash value of those shares
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| Call option: | In whole at par plus any coupon due on any monthly valuation date after one year
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| Initial levels: | $168.64 for Apple, $295.04 for Microsoft, $3,065.87 for Amazon
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| Coupon barrier levels: | $92.752 for Apple, $162.272 for Microsoft, $1,686.229 for Amazon; 55% of initial levels
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| Final barrier levels: | $92.752 for Apple, $162.272 for Microsoft, $1,686.229 for Amazon; 55% of initial levels
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| Equity ratios: | 5.92979 for Apple, 3.38937 for Microsoft, 0.32617 for Amazon; shares delivered per security
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| Strike date: | Feb. 11
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| Pricing date: | Feb. 14
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| Settlement date: | Feb. 17
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.4%
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| Cusip: | 17328N4Z8
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