Published on 1/27/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $500,000 autocallable contingent coupon equity notes on ARK ETF, S&P
By William Gullotti
Buffalo, N.Y., Jan. 27 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due Sept. 5, 2024 linked to the worst performing of the ARK Innovation ETF and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent monthly coupon at an annual rate of 7.4% if each underlier closes at or above the coupon barrier level, 75% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each underlier closes at or above its initial level, on any quarterly valuation date after six months.
If the notes are not called and each underlier finishes at or above final buffer level, 80% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% decline of the worst performer below 20%.
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 assets: | S&P 500 index, ARK Innovation ETF
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| Amount: | $500,000
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| Maturity: | Sept. 5, 2024
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| Coupon: | 7.4% annualized rate, payable monthly if each underlier 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 contingent coupon if each underlier closes at or above final buffer; otherwise, investors will lose 1% for every 1% decline of the worst performer below the buffer
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| Call: | Automatically at par plus coupon if each underlier closes at or above initial level on any quarterly valuation date after six months
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| Initial levels: | $122.79 for ETF, 4,528.79 for S&P
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| Coupon barrier levels: | $92.093 for ETF, 3,396.593 for S&P; 75% of initial levels
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| Final buffer levels: | $98.232 for ETF, 3,623.032 for S&P; 80% of initial levels
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| Pricing date: | Aug. 30
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| Settlement date: | Sept. 2
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.5%
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| Cusip: | 17329QUQ1
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