Published on 6/5/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.55 million autocallable contingent coupon equity notes on three ETFs
Kiku Steinfeld
Chicago, June 6 – Citigroup Global Markets Holdings Inc. priced $1.55 million of autocallable contingent coupon equity-linked securities due Nov. 21, 2023 linked to the worst performing of the iShares Russell 2000 ETF, the Energy Select Sector SPDR fund and the Financial Select Sector SPDR fund, 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 8.65% 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 the coupon unless any ETF finishes below the 65% barrier level, in which case investors will lose 1% for each 1% decline of the least-performing ETF.
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: | Energy Select Sector SPDR fund, Financial Select Sector SPDR fund, iShares Russell 2000 ETF
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| Amount: | $1,545,000
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| Maturity: | Nov. 21, 2023
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| Coupon: | 8.65% 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 65% barrier level, in which case 1% loss for each 1% decline of the least-performing ETF
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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: | $58.12 for Energy, $40.11 for Financial, $238.99 for iShares
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| Coupon barrier levels: | $37.778 for Energy, $26.072 for Financial, $155.344 for iShares; 65% of initial levels
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| Final barrier levels: | $37.778 for Energy, $26.072 for Financial, $155.344 for iShares; 65% of initial levels
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| Pricing date: | Nov. 16, 2021
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| Settlement date: | Nov. 19, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17329UF63
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