Published on 6/14/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $500,000 autocallable contingent coupon equity notes on Amazon, bank stocks
Chicago, June 14 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due March 10, 2023 linked to the worst performing of the stocks of Bank of America Corp., Amazon.com, Inc., Morgan Stanley and Wells Fargo & Co., 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 14.7% if each stock closes at or above its coupon barrier price, 75% 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: | Bank of America Corp., Amazon.com, Inc., Morgan Stanley and Wells Fargo & Co.
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| Amount: | $500,000
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| Maturity: | March 10, 2023
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| Coupon: | 14.7% 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: | $3,437.36 for Amazon, $44.89 for BofA, $98.86 for Morgan Stanley, $48.91 for Wells
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| Coupon barrier prices: | $2,062.416 for Amazon, $26.934 for BofA, $59.316 Morgan Stanley, $29.346 for Wells; 75% of initial share prices
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| Final barrier prices: | $2,062.416 for Amazon, $26.934 for BofA, $59.316 for Morgan Stanley, $29.346 for Wells; 60% of initial share prices
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| Equity ratio: | 0.29092 for Amazon, 22.27668 for BofA, 10.11531 for Morgan Stanley, 20.44572 for Wells
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| Strike date: | Dec. 2, 2021
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| Pricing date: | Dec. 3, 2021
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| Settlement date: | Dec. 10, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17328NS25
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