Published on 11/5/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $550,000 autocallable contingent coupon equity notes on three ETFs
By Kiku Steinfeld
Chicago, Nov. 7 – Citigroup Global Markets Holdings Inc. priced $550,000 of autocallable contingent coupon equity-linked securities due March 14, 2024 linked to the worst performing of the Invesco QQQ Trust, series 1, the iShares Russell 2000 ETF 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 quarterly coupon at an annual rate of 12.6% if each fund closes at or above the coupon barrier level, 70% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each fund closes at or above its initial level, on any quarterly valuation date.
If the worst performer finishes above its 70% final barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer, payable in shares or cash at the option of the issuer.
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 ETFs: | SPDR S&P 500 ETF trust, iShares Russell 2000 ETF, Invesco QQQ Trust, series 1
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Amount: | $550,000
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Maturity: | March 14, 2024
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Coupon: | 12.6% annualized rate, payable quarterly if each fund 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 if the worst performer finishes above final barrier; otherwise, investors will lose 1% for every 1% decline of the worst performer, payable in shares or cash at the option of the issuer
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Call: | Automatically at par plus coupon if each fund closes at or above initial level on any quarterly valuation date
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Initial levels: | $337.30 for Invesco, $198.66 for Russell, $432.17 for S&P
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Coupon barrier levels: | $236.110 for Invesco, $139.062 for Russell, $302.519 for S&P; 70% of initial levels
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Final barrier levels: | $236.110 for Invesco, $139.062 for Russell, $302.519 for S&P; 70% of initial levels
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Equity ratios: | 2.96472 for Invesco, 5.03373 for Russell, 2.31390 for S&P
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Pricing date: | March 7, 2022
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Settlement date: | March 10, 2022
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 1%
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Cusip: | 17328N4E5
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