Published on 6/15/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $750,000 autocallable contingent coupon equity notes on three ETFs
Chicago, June 15 – Citigroup Global Markets Holdings Inc. priced $750,000 of autocallable contingent coupon equity-linked securities due Dec. 13, 2023 linked to the worst performing of the iShares Russell 2000 ETF, the Invesco QQQ Trust, Series 1 and the SPDR S&P 500 ETF Trust, 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 8% if each ETF closes at or above the coupon barrier level, 65% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each ETF closes at or above its initial level on any quarterly valuation date.
If the notes are not called, the payout at maturity will be par plus any coupon unless any ETF finishes below the 60% barrier level, in which case investors will lose 1% for each 1% decline of the least-performing ETF, 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 funds: | iShares Russell 2000 ETF, the Invesco QQQ Trust, Series 1 and the SPDR S&P 500 ETF Trust
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Amount: | $750,000
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Maturity: | Dec. 13, 2023
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Coupon: | 8% annualized rate, payable quarterly if each ETF closes at or above coupon barrier level, on valuation date for that period
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Price: | Par
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Payout at maturity: | Par plus the coupon unless any ETF finishes below the barrier level, in which case 1% loss for each 1% decline of the least-performing ETF, payable in shares or cash at the issuer’s option
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Call: | At par plus coupon if each ETF closes at or above its initial price on any quarterly observation date
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Initial levels: | $383.13 for Invesco, $214.71 for Russell, $453.42 for S&P
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Coupon barrier levels: | $249.035 for Invesco, $139.562 for Russell, $294.723 for S&P; 65% of initial levels
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Final barrier levels: | $229.878 for Invesco, $128.826 for Russell, $272.052 for S&P; 60% of initial levels
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Strike date: | Dec. 3, 2021
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Pricing date: | Dec. 6, 2021
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Settlement date: | Dec. 13, 2021
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 2%
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Cusip: | 17328NP93
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