Published on 3/23/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.32 million callable contingent coupon equity notes on silver, gold ETFs
By William Gullotti
Buffalo, N.Y., March 23 – Citigroup Global Markets Holdings Inc. priced $1.32 million of callable contingent coupon equity-linked securities due March 23, 2026 linked to the worst performing of the VanEck Vectors Gold Miners ETF, the iShares Silver Trust and the SPDR Gold Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent quarterly coupon at an annualized rate of 10% if each ETF closes at or above its coupon barrier level, 60% of its initial level, on the related observation date.
The notes will be callable in whole, at the option of the issuer, at par plus any coupon due on any quarterly valuation date after one year.
If the notes are not redeemed early and each ETF finishes at or above 60% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable contingent coupon equity-linked securities
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| Underlying funds: | VanEck Vectors Gold Miners ETF, iShares Silver Trust, SPDR Gold Trust
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| Amount: | $1,317,000
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| Maturity: | March 23, 2026
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| Contingent coupon: | 10% per year, payable quarterly if each fund closes at or above coupon barrier on related observation date
|
| Price: | Par
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| Payout at maturity: | Par plus coupon if each ETF finishes at or above final barrier; otherwise, investors will be fully exposed to the decline of the worst performer from its initial level
|
| Call option: | In whole at par plus any coupon due on any quarterly valuation date after one year
|
| Initial levels: | $37.22 for VanEck, $23.02 for iShares, $179.30 for SPDR
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| Coupon barrier levels: | $22.332 for VanEck, $13.812 for iShares, $107.58 for SPDR; 60% of initial levels
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| Final barrier levels: | $22.332 for VanEck, $13.812 for iShares, $107.58 for SPDR; 60% of initial levels
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| Pricing date: | March 18
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| Settlement date: | March 23
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.95%
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| Cusip: | 17330AMA7
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