Published on 8/19/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $5.14 million memory coupon barrier step-down autocall securities on three stocks
By Wendy Van Sickle
Columbus, Ohio, Aug. 19 – Citigroup Global Markets Holdings Inc. priced $5.14 million of memory coupon barrier step-down autocall securities due June 20, 2024 tied to the stocks of Amazon.com, Inc., JPMorgan Chase & Co. 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 8% if each stock closes above its coupon barrier, 71% of its initial level, on the related observation date, plus any previously unpaid coupon.
The notes will be called at par plus any coupon due if each stock closes above its autocall level on any quarterly observation date. The autocall level starts at 100% of the initial level and steps down to 90% on Sept. 16, 2022.
If the notes are not called and each stock finishes at or above its barrier level, 71% of the initial level, the payout will be par.
Otherwise, investors will receive shares of the least-performing stock.
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: | Amazon.com, Inc., JPMorgan Chase & Co. and Walmart Inc.
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| Amount: | $5,135,000
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| Maturity: | June 20, 2024
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| Coupon: | 8% annualized, payable quarterly if each stock closes above barrier level on observation date, plus any previously unpaid coupon
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| Price: | Par
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| Payout at maturity: | If each stock finishes at or above barrier level, par; otherwise, shares of worst performing stock equal to equity ratio
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| Call: | At par plus any coupon due if each stock closes above autocall level on any quarterly observation date; autocall level starts at 100% of initial level and steps down to 90% on Sept. 16, 2022
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| Initial levels: | $3,415.25 for Amazon, $137.15 for Walmart, $156.27 for JPMorgan
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| Barriers: | $2,424.828 for Amazon, $97.377 for Walmart, $110.952 for JPMorgan; 71% of initial levels
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| Equity ratios: | 1.46402 for Amazon, 36.45643 for Walmart, 31.9959 for JPMorgan
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| Pricing date: | June 16
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| Settlement date: | June 21
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 17328NQY7
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