Published on 5/16/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $786,000 autocallable contingent coupon equity notes on ARK, S&P
By William Gullotti
Buffalo, N.Y., May 16 – Citigroup Global Markets Holdings Inc. priced $786,000 of autocallable contingent coupon equity-linked securities due Oct. 10, 2023 linked to the worst performing of the ARK Innovation ETF and the S&P 500 index, 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 5% if each underlier closes at or above the coupon barrier level, 80% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each underlier closes at or above its initial level on any quarterly valuation date after six months.
If the notes are not called and each underlier finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its final buffer level, 79% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer below 21%.
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 contingent coupon equity-linked securities
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| Underlying assets: | S&P 500 index, ARK Innovation ETF
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| Amount: | $786,000
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| Maturity: | Oct. 10, 2023
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| Coupon: | 5% annualized rate, payable quarterly if each underlier closes at or above coupon barrier level, on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each underlier finishes at or above coupon barrier; if worst performer finishes below coupon barrier but not below final buffer, par; otherwise, investors will lose 1% for every 1% decline of the worst performer below 21%
|
| Call: | Automatically at par plus coupon if each underlier closes at or above initial level on any quarterly valuation date after six months
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| Initial levels: | $107.19 for ETF, 4,300.46 for S&P
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| Coupon barrier levels: | $85.752 for ETF, 3,440.368 for S&P; 80% of initial levels
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| Final buffer levels: | $84.68 for ETF, 3,397.363 for S&P; 79% of initial levels
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| Pricing date: | Oct. 4, 2021
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| Settlement date: | Oct. 7, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.6%
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| Cusip: | 17329U2F7
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