Published on 2/27/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $707,000 autocallable contingent coupon notes on ETFs
Chicago, Feb. 27 – Citigroup Global Markets Holdings Inc. priced $707,000 of autocallable contingent coupon equity-linked securities due May 13, 2024 linked to the worst performing of the Invesco QQQ Trust, series 1, SPDR S&P 500 ETF Trust and iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive an annualized coupon of 9% paid quarterly if the worst performing ETF closes at or above its 60% coupon barrier on the related valuation date.
The securities will be called automatically if the price of the worst performing ETF is greater than or equal to its initial price on any quarterly valuation date.
If the worst performing ETF finishes at or above its 60% final barrier the payout at maturity will be par. Otherwise investors will lose 1% loss for every 1% that the worst performing ETF declines, payable in cash or shares at the issuer’s option.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| 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 ETFs: | Invesco QQQ Trust, series 1, SPDR S&P 500 ETF Trust and iShares Russell 2000 ETF
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| Amount: | $707,000
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| Maturity: | May 13, 2024
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| Coupon: | 9% annual rate, paid quarterly if the worst performing ETF closes at or above its 60% coupon barrier on the related valuation date
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| Price: | Par
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| Payout at maturity: | If worst performing ETF finishes at or above final barrier par; 1% loss for every 1% that worst performing ETF declines if it ends below final barrier, payable in shares or cash at the issuer’s option
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| Call: | Automatically at par if the price of the worst performing ETF is greater than or equal to its initial price on any quarterly valuation date
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| Initial levels: | $318.82 for Invesco QQQ Trust, Series 1, $416.38 for SPDR S&P 500 ETF Trust, $188.49 for iShares Russell 2000 ETF
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| Coupon barriers: | $191.292 for Invesco QQQ Trust, Series 1, $249.828 for SPDR S&P 500 ETF Trust, $113.094 for iShares Russell 2000 ETF, 60% of initial levels
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| Final barriers: | $191.292 for Invesco QQQ Trust, Series 1, $249.828 for SPDR S&P 500 ETF Trust, $113.094 for iShares Russell 2000 ETF, 60% of initial levels
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| Equity ratios: | 3.13657 for Invesco QQQ Trust, Series 1, 2.40165 for SPDR S&P 500 ETF Trust, 5.30532 for iShares Russell 2000 ETF
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| Strike date: | May 3, 2022
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| Pricing date: | May 4, 2022
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| Settlement date: | May 11, 2022
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1.65%
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| Cusip: | 17330DBU9
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