Published on 7/2/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.29 million autocallable contingent coupon equity notes on four stocks
By Kiku Steinfeld
Chicago, July 2 – Citigroup Global Markets Holdings Inc. priced $1.29 million of autocallable contingent coupon equity-linked securities due July 2, 2024 linked to the worst performing of the stocks of Advanced Micro Devices, Inc., Home Depot, Inc., JPMorgan Chase & Co. 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 quarterly coupon at an annual rate of 9.25% if each stock closes at or above its coupon barrier price, 60% 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 quarterly valuation date.
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. Otherwise, investors will be fully exposed to the losses of the worst performer, payable in shares or cash at the issuer’s option.
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: | Advanced Micro Devices, Inc., Home Depot, Inc., JPMorgan Chase & Co. and Microsoft Corp.
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| Amount: | $1.29 million
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| Maturity: | July 2, 2024
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| Coupon: | 9.25% annualized rate, payable quarterly 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, full exposure to losses of worst performer, payable in either shares or cash at the issuer’s option
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| Call: | Automatically at par plus coupon if each stock closes at or above initial level on any quarterly valuation date
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| Initial share prices: | $87.08 for Advanced, $314.28 for Home Depot, $154.33 for JPMorgan and $268.72 for Microsoft
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| Coupon barrier prices: | $52.248 for Advanced, $188.568 for Home Depot, $92.598 for JPMorgan and $161.232 for Microsoft; 60% of initial share prices
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| Final barrier prices: | $52.248 for Advanced, $188.568 for Home Depot, $92.598 for JPMorgan and $161.232 for Microsoft; 60% of initial share prices
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| Equity ratios: | 11.48369 for Advanced, 3.18188 for Home Depot, 6.47962 for JPMorgan and 3.72135 for Microsoft
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| Pricing date: | June 23
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| Settlement date: | June 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.25%
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| Cusip: | 17328NSK5
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