Published on 6/16/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.47 million autocallable barrier securities on Select Sector funds
By Kiku Steinfeld
Chicago, June 16 – Citigroup Global Markets Holdings Inc. priced $1.47 million of 0% autocallable barrier securities due May 24, 2023 linked to the least performing of the Financial Select Sector SPDR fund and the Health Care 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 be called at par plus a premium of 12.8% if each ETF closes at or above its initial level on May 27, 2022.
If the final level of each ETF return is positive or flat, the payout at maturity will be par plus the ETF return. The payout will be par if the final level of each ETF is less than its initial level but greater than or equal to the barrier level, 80% of the initial level. If either ETF finishes below the barrier level, investors will be fully exposed to the decline of the least performing ETF, payable in shares or cash at the issuer’s option.
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 barrier securities
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| Underlying ETFs: | Financial Select Sector SPDR fund and Health Care Select Sector SPDR fund
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| Amount: | $1,465,000
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| Maturity: | May 24, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each ETF return is positive, par plus least performing ETF return; par if final level of least performing ETF is less than initial level but greater than or equal to barrier level; full exposure to decline if least performing ETF finishes below barrier level, payable in shares or cash at the issuer’s option
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| Call: | At par plus 12.8% if ETF closes at or above initial level on May 27, 2022
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| Initial ETF levels: | $37.19 for Financial, $123.05 for Health
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| Trigger levels: | $29.752 for Financial, $98.440 for Health, 80% of initial levels
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| Equity ratios: | 26.88895 for Financial, 8.12678 for Health
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| Pricing date: | May 19
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| Settlement date: | May 24
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328NUN6
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