SLCG Economic Consulting's Logo


Autocallables 2024 Part III: SVB, Really?

By Craig McCann and Mike Yan

On Monday, we documented that $122 billion in autocallable structured products have been sold in the past 4 years, mostly issued by UBS, Goldman Sachs, JP Morgan, Citigroup and Morgan Stanley. You can read our first note on autocallables here.

Yesterday, we illustrated features of autocallables with reference to the five notes linked to the stock price of Lucid issued by Credit Suisse and Citigroup. You can read our second note here.

Today, we point out a particularly poorly timed issuance by Citigroup linked to Silicon Valley Bank stock.


Five autocallable notes linked to Silicon Valley Bank were issued between August 2021 and March 9, 2023.

424bs for these five autocallables can be downloaded at these links:

22550MWA3, 78016FD35, 17330PKC2, 40441XL73, 17331CZV2.

The first note, issued by Credit Suisse, had a 2-year term. The other four notes each had a 3-year term.

Four of the five were linked only to SVB, one, issued by Citigroup, was linked to the worst performing of SVB, Adobe and Intuit.

The first note was callable at Credit Suisse's discretion at par plus an accrued coupon on 7 quarterly call dates. The other four notes were called if SVB, or the worst performing of SVB, Adobe and Intuit in the case of the third note, closed above the underlying's closing price on the issue date.

Four of the notes had contingent coupons; one had a 55% coupon barrier, two had 70% coupon barriers, and one had a 100% coupon barrier.

Citigroup's $593,000 Autocallable Securities, Due September 12, 2024, Linked to SVB Financial Group Due September 12, 2024

Leading with the Lede:

Investors in these five autocallables linked to Silicon Valley Bank will receive virtually $0 per $1,000 at maturity. Some will receive a few coupon payments.

Inexplicably, Citigroup chose to issue this autocallable linked to SVB after the close on the disastrous March 9, 2023, amidst dozens of stories about the imminent collapse of SVB.

March 9, 2023 was the trade date, March 14, 2023 was the settlement date. This note was worthless before it settled in customer accounts.

Silicon Valley Bank's initial price in the series of autocallables above ($581.73, $542.74, $402.56 and $310.77) illustrate the approach to SVB's collapse on March 9, 2023 and March 10, 2023. SVB closed at $267.83 on March 8, 2023 and then dropped 60% to close at $106.04 on March 9, 2023.

Figure 1 SVB Closing Price, February 16, 2023 - March 15, 2023

Figure 2 Citigroup's Note Has Not Paid Any Coupons

Credit Suisse's $725,000 Contingent Coupon Callable Yield Notes due August 17, 2023 Linked to SVB

Figure 3 Credit Suisse's Note Paid $103.50 in 4 Quarterly Coupons and $1.70 Per $1,000 at Maturity

RBC's $887,000 Autocallable Contingent Coupon Barrier Notes, Due January 30, 2025, Linked to SVB

Figure 4 RBC's Note Paid $2.50 in 1 Quarterly Coupon per $100 Face Value

Citigroup's $1,301,000 Autocallable Linked to Worst of Adobe, Intuit and SVB Due July 3, 2025

Figure 5 Citigroup's Note Paid $19 in 20 Monthly Coupons per $100 Face Value

HSBC's $1,301,000 Autocallable Notes Linked to SVB Due February 17, 2026

Figure 6 HSBC's Note Paid $11.15 in 4 Quarterly Coupons per $100 Face Value