Published on 5/20/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.05 million contingent market-linked autocalls on SPDR funds
By Kiku Steinfeld
Chicago, May 20 – Citigroup Global Markets Holdings Inc. priced $1.05 million of market-linked autocallable securities with contingent coupon and contingent downside due Oct. 19, 2023 linked to the SPDR S&P Biotech ETF, the SPDR S&P 500 ETF trust, the Consumer Discretionary Select Sector SPDR fund and the Financial Select Sector SPDR fund, 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 9% 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: | SPDR S&P Biotech ETF, SPDR S&P 500 ETF trust, Consumer Discretionary Select Sector SPDR fund and Financial Select Sector SPDR fund
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| Amount: | $1.05 million
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| Maturity: | Oct. 19, 2023
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| Coupon: | 9% 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: | $445.87 for ETF trust, $39.51 for Financial, $125.08 for Biotech, $70.81 for Consumer
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| Coupon barriers: | $312.109 for ETF trust, $27.657 for Financial, $87.556 for Biotech, $49.567 for Consumer; 70% of initial levels
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| Final barrier levels: | $312.109 for ETF trust, $27.657 for Financial, $87.556 for Biotech, $49.567 for Consumer; 70% of initial levels
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| Pricing date: | Oct. 15, 2021
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| Settlement date: | Oct. 20, 2021
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 1.825%
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| Cusip: | 17329ULE9
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