Published on 12/2/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.84 million market-linked contingent autocalls on three SPDR ETFs
By William Gullotti
Buffalo, N.Y., Dec. 2 – Citigroup Global Markets Holdings Inc. priced $2.84 million of 0% market-linked autocallable securities with contingent downside due Nov. 28, 2025 linked to the Energy Select Sector SPDR Fund, the Consumer Staples Select Sector SPDR Fund and the Technology Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
Monthly, the notes will pay a contingent interest payment at the rate of 13.7% per year if each fund closes at or above the coupon barrier price, 70% of the initial share price, on the observation date for that period.
The notes will be automatically called at par plus the coupon if each fund closes at or above initial levels on any monthly observation date after six months.
The payout at maturity will be par plus the final coupon unless any fund falls by more than 30%, in which case investors will lose 1% for every 1% decline of the worst performer from its initial level.
Citigroup Global Markets Inc. and Wells Fargo Securities 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 funds: | Energy Select Sector SPDR Fund, Consumer Staples Select Sector SPDR Fund, Technology Select Sector SPDR Fund
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| Amount: | $2,838,000
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| Maturity: | Nov. 28, 2025
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| Coupon: | 13.7% annual rate, payable monthly if all funds close at or above their coupon barrier prices on the relevant observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless any fund falls by more than 30%, in which case full exposure the decline of the worst performer from its initial level
|
| Call: | Automatically at par plus coupon if each fund closes at or above initial levels on any monthly observation date after six months
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| Initial levels: | $90.70 for Energy, $75.67 for Consumer, $129.46 for Technology
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| Coupon barriers: | $63.49 for Energy, $52.969 for Consumer, $90.622 for Technology; 70% of initial level
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| Threshold levels: | $63.49 for Energy, $52.969 for Consumer, $90.622 for Technology; 70% of initial level
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| Pricing date: | Nov. 29
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| Settlement date: | Dec. 2
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| Agents: | Citigroup Global Markets Inc., Wells Fargo Securities
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| Fees: | 2.225%
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| Cusip: | 17330YKU3
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