Published on 2/9/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $500,000 autocallable contingent coupon equity notes on two ETFs
By Kiku Steinfeld
Chicago, Feb. 9 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due Feb. 7, 2025 linked to the worst performing of the Invesco QQQ Trust, Series 1 and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent semiannual coupon at an annual rate of 7% if each ETF closes at or above the coupon barrier level, 65% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each ETF closes at or above 90% of its initial level on any semiannual valuation date starting Aug. 1, 2022.
If the notes have not been called, the payout at maturity will be par unless either ETF closes below its 65% barrier value, in which case investors will receive a number of shares of the worst performer equal to $1,000 divided by that ETF’s initial share price or the cash equivalent at the issuer’s option.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable contingent coupon equity-linked securities
|
| Underlying funds: | SPDR S&P 500 ETF Trust, Invesco QQQ Trust, Series 1
|
| Amount: | $500,000
|
| Maturity: | Feb. 7, 2025
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| Coupon: | 7% annualized rate, payable semiannually if each ETF closes at or above coupon barrier level, on valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par unless either ETF closes below its 65% barrier value, in which case investors will receive a number of shares of the worst performer equal to $1,000 divided by that ETF’s initial share price or the cash equivalent at the issuer’s option
|
| Call: | Automatically at par plus coupon if each ETF closes at or above 90% of initial level on any semiannual valuation date starting Aug. 1, 2022
|
| Initial levels: | $351.80 for QQQ, $441.95 for S&P
|
| Coupon barrier levels: | $228.670 for QQQ, $287.268 for S&P; 65% of initial levels
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| Final barrier levels: | $228.670 for QQQ, $287.268 for S&P; 65% of initial levels
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| Equity ratios: | 2.84252 for QQQ, 2.26270 for S&P; shares per security
|
| Pricing date: | Jan. 31
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| Settlement date: | Feb. 7
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
|
| Cusip: | 17328N2U1
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