Published on 1/30/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.47 million contingent market-linked autocalls on gold, silver ETFs
Chicago, Jan. 30 – Citigroup Global Markets Holdings Inc. priced $3.47 million of market-linked securities – autocallable securities with contingent coupon and contingent downside due April 29, 2025 linked to the worst performing of the VanEck Vectors Gold Miners ETF and the iShares Silver trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
The notes will pay a 11.75% quarterly contingent coupon if both ETFs close above their 70% coupon barrier levels on the related observation date.
The notes will be automatically called at par if both ETFs close above their initial levels on any quarterly potential autocall date starting after six months.
If the notes are not called, the payout at maturity will be par unless the worst performer falls by more than 30%, in which case investors will lose 1% for every 1% decline of that ETF from its initial level.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market-linked securities – autocallable securities with contingent coupon and contingent downside
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| Underlying ETFs: | iShares Silver trust, VanEck Vectors Gold Miners ETF
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| Amount: | $3,466,000
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| Maturity: | April 29, 2025
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| Coupon: | 11.75% annual rate, payable quarterly if both ETFs close above coupon barrier levels on related observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless the worst performer falls by more than 30%, in which case full exposure to decline of that ETF from its initial level
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| Call: | Automatically at par if both ETFs close above their initial levels on any quarterly potential autocall date starting after six months
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| Initial levels: | $21.04 for iShares Silver, $34.99 for Gold Miners
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| Coupon barrier levels: | $14.728 for iShares Silver, $24.493 for Gold Miners; 70% of initial levels
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| Threshold levels: | $14.728 for iShares Silver, $24.493 for Gold Miners; 70% of initial levels
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| Pricing date: | April 29, 2022
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| Settlement date: | May 4, 2022
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.225%
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| Cusip: | 17330FDW8
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