Published on 9/7/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.07 million autocallable contingent coupon equity notes on four stocks
By Kiku Steinfeld
Chicago, Sept. 7 – Citigroup Global Markets Holdings Inc. priced $1.07 million of autocallable contingent coupon equity-linked securities due Jan. 29, 2025 linked to the worst performing of the stocks of Lowe's Cos., Inc., Apple 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 9.5% 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. 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: | Apple Inc., JPMorgan Chase & Co., Lowe's Cos., Inc. and Microsoft Corp.
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| Amount: | $1,074,000
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| Maturity: | Jan. 29, 2025
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| Coupon: | 9.5% 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 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: | $159.22 for Apple, $145.31 for JPMorgan, $225.93 for Lowe’s, $299.84 for Microsoft
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| Coupon barrier prices: | $95.532 for Apple, $87.186 for JPMorgan, $135.558 for Lowe’s, $179.904 for Microsoft; 60% of initial share prices
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| Final barrier prices: | $95.532 for Apple, $87.186 for JPMorgan, $135.558 for Lowe’s, $179.904 for Microsoft; 60% of initial share prices
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| Equity ratios: | 6.28062 for Apple, 6.88184 for JPMorgan, 4.42615 for Lowe’s, 3.33511 for Microsoft; total per security
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| Pricing date: | Jan. 27, 2022
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| Settlement date: | Jan. 31, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.25%
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| Cusip: | 17328N4M7
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