Published on 8/15/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.91 million memory coupon barrier step-down autocalls on three stocks
By William Gullotti
Buffalo, N.Y., Aug. 15 – Citigroup Global Markets Holdings Inc. priced $1.91 million of memory coupon barrier step-down autocall securities due Aug. 13, 2026 tied to the stocks of UnitedHealth Group Inc., Microsoft Corp. and Walmart 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 10.25% if each stock closes at or above its coupon barrier, 60% of its initial level, on the related observation date, plus any previously unpaid coupon.
The notes will be called at par plus the coupon if each stock closes at or above its autocall level on any quarterly observation date. The autocall level starts at 100% of the initial level and steps down to 90% starting on Nov. 11, 2024.
If the notes are not called and each stock finishes at or above its barrier level, 60% of the initial level, the payout 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: | Memory coupon barrier step-down autocall securities
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| Underlying stocks: | UnitedHealth Group Inc., Microsoft Corp., Walmart Inc.
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| Amount: | $1,902,000
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| Maturity: | Aug. 13, 2026
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| Coupon: | 10.25% annualized, payable quarterly if each stock closes above barrier level on observation date; 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 barrier level, par plus all unpaid coupons; otherwise, investors will receive shares of the worst performer equal to that stock’s equity ratio or, at the issuer’s option, the cash equivalent
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| Call: | At par plus coupon if each stock closes at or above autocall level on any quarterly observation date; autocall level starts at 100% of initial level and steps down to 90% starting on Nov. 11, 2024
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| Initial levels: | $502.11 for UnitedHealth, $322.23 for Microsoft, $160.91 for Walmart
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| Barriers: | $301.266 for UnitedHealth, $193.338 for Microsoft, $96.546 for Walmart; 60% of initial levels
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| Equity ratios: | 1.9916 for UnitedHealth, 3.10337 for Microsoft, 6.21465 for Walmart; shares delivered per security
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| Pricing date: | Aug. 9
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| Settlement date: | Aug. 14
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 17331AJR3
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