Published on 11/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.11 million contingent market-linked autocalls on ETFs
By Wendy Van Sickle
Columbus, Ohio, Nov. 9 – Citigroup Global Markets Holdings Inc. priced $2.11 million of market-linked autocallable securities with contingent coupon and contingent downside due July 29, 2024 linked to the VanEck Vectors Gold Miners ETF, the iShares Silver trust and the SPDR S&P Metals & Mining ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly interest payment at the rate of 11% per year if each ETF closes at or above the coupon barrier level, 70% of the initial share level, on the observation date for that period.
The notes will be automatically called at par plus coupon if each ETF closes at or above initial levels on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon unless the worst performer falls by more than 30%, in which case investors lose 1% for every 1% decline of that ETF from its initial level.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market-linked autocallable securities with contingent coupon and contingent downside
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| Underlying ETFs: | iShares Silver Trust, SPDR S&P Metals & Mining ETF, VanEck Vectors Gold Miners ETF
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| Amount: | $2,111,000
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| Maturity: | July 29, 2024
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| Coupon: | 11% annual rate, payable quarterly if all ETFs close at or above their coupon barrier levels on the relevant observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless the worst performer falls by more than 30%, in which case full exposure to decline of that ETF from its initial level
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| Call: | Automatically at par plus coupon if each ETF closes at or above initial levels on any quarterly observation date after six months
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| Initial levels: | $23.72 for iShares Silver, $45.40 for Metals & Mining, $35.07 for Gold Miners
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| Coupon barriers: | $16.604 for iShares Silver, $31.78 for Metals & Mining, $24.549 for Gold Miners; 70% of initial level
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| Threshold levels: | $16.604 for iShares Silver, $31.78 for Metals & Mining, $24.549 for Gold Miners; 70% of initial level
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.125%
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| Cusip: | 17329QX70
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