Published on 12/1/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $4.5 million contingent income autocallables on three SPDR ETFs
By William Gullotti
Buffalo, N.Y., Dec. 1 – Citigroup Global Markets Holdings Inc. priced $4.5 million of contingent income autocallable securities due Dec. 2, 2024 linked to the performance of the Financial Select Sector SPDR Fund, the Energy Select Sector SPDR Fund and the Industrial 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 8.5% if the lowest performing ETF closes at or above the 65% coupon threshold on the related quarterly determination date.
The notes will be called at par of $10 plus the contingent coupon if the lowest performing ETF closes at or above its initial price on any quarterly determination date.
If the lowest performing ETF finishes at or above the 65% downside threshold, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for each 1% share price decline of the worst performer from its initial price.
Citigroup Global Markets Inc. is the underwriter. Morgan Stanley Wealth Management is a selected dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying ETFs: | Financial Select Sector SPDR Fund, Energy Select Sector SPDR Fund, Industrial Select Sector SPDR Fund
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| Amount: | $4,497,250
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| Maturity: | Dec. 2, 2024
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| Coupon: | 8.5% per year, payable quarterly if each ETF closes at or above coupon threshold level on the relevant observation date
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| Price: | Par of $10
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| Payout at maturity: | If lowest performing ETF finishes at or above downside threshold, par plus final coupon; otherwise, full exposure to share price decline of the worst performer from its initial price
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| Call: | At par plus contingent coupon if lowest performing ETF closes at or above initial price on any quarterly determination date
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| Initial share prices: | $38.77 for Financial, $55.58 for Energy, $103.21 for Industrial
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| Coupon threshold levels: | $25.201 for Financial, $36.127 for Energy, $67.087 for Industrial; 65% of initial levels
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| Downside thresholds: | $25.201 for Financial, $36.127 for Energy, $67.087 for Industrial; 65% of initial levels
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| Pricing date: | Nov. 26
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| Settlement date: | Dec. 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.5%
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| Cusip: | 17329T518
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