Published on 5/16/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.07 million callable contingent coupon notes on three ETFs
Chicago, May 13 – Citigroup Global Markets Holdings Inc. priced $1.07 million of callable contingent coupon equity-linked securities due Oct. 12, 2023 linked to the least performing of the Materials Select Sector SPDR fund, the SPDR S&P Bank ETF and the VanEck Vectors Semiconductor ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent quarterly coupon at an annualized rate of 12% if each underlying ETF closes at or above its coupon barrier level, 70% of its initial level, on the related quarterly observation date.
The notes will be callable in whole at par quarterly.
If each fund finishes at or above its 70% barrier level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the least-performing fund, payable in shares or cash at the option of the issuer.
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: | Callable contingent coupon equity-linked securities
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| Underlying ETFs: | Materials Select Sector SPDR fund, the SPDR S&P Bank ETF and the VanEck Vectors Semiconductor ETF
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| Amount: | $1,071,000
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| Maturity: | Oct. 12, 2023
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| Contingent coupon: | 12% per year, payable each quarter that each underlying fund closes at or above coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each fund finishes at or above final barrier, par; otherwise, full exposure to losses of least-performing fund, payable in shares or cash at option of issuer
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| Call option: | At par quarterly
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| Initial levels: | $81.63 for Materials, $54.85 for Bank, $257.25 for Semiconductor
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| Coupon barriers: | $57.141 for Materials, $38.395 for Bank, $180.075 for Semiconductor; 70% of initial levels
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| Final barriers: | $57.141 for Materials, $38.395 for Bank, $180.075 for Semiconductor; 70% of initial levels
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| Equity ratios: | 12.2504 for Materials, 18.23154 for Bank, 3.88727 for Semiconductor
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| Pricing date: | Oct. 7, 2021
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| Settlement date: | Oct. 13, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17328NZM3
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