Published on 5/4/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.54 million autocallable contingent coupon equity notes on four stocks
By William Gullotti
Buffalo, N.Y., May 4 – Citigroup Global Markets Holdings Inc. priced $1.54 million of autocallable contingent coupon equity-linked securities due April 29, 2025 linked to the worst performing of the stocks of Alphabet 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 10.5% 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 plus the final coupon. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial share price 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: | Autocallable contingent coupon equity-linked securities
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Underlying stocks: | Alphabet Inc., Home Depot, Inc., JPMorgan Chase & Co., Microsoft Corp.
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Amount: | $1,544,000
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Maturity: | April 29, 2025
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Coupon: | 10.5% 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 plus final coupon if each stock finishes at or above final barrier price; otherwise, investors will receive a number of shares of worst performer equal to that stock’s equity ratio or, at the issuer’s option, the cash equivalent
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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: | $2,285.89 for Alphabet, $301.60 for Home Depot, $121.42 for JPMorgan, $283.22 for Microsoft
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Coupon barrier prices: | $1,371.534 for Alphabet, $180.96 for Home Depot, $72.852 for JPMorgan, $169.932 for Microsoft; 60% of initial share prices
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Final barrier prices: | $1,371.534 for Alphabet, $180.96 for Home Depot, $72.852 for JPMorgan, $169.932 for Microsoft; 60% of initial share prices
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Equity ratio: | 0.43747 for Alphabet, 3.31565 for Home Depot, 8.23588 for JPMorgan, 3.53082 for Microsoft; total per security
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Pricing date: | April 27
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Settlement date: | April 29
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 3.25%
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Cusip: | 17330DAM8
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