Published on 3/31/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $575,000 autocallable barrier securities on S&P, Russell ETF
By Kiku Steinfeld
Chicago, March 31 – Citigroup Global Markets Holdings Inc. priced $575,000 of 0% autocallable barrier securities due March 10, 2026 linked to the lesser performing of the iShares Russell 2000 Value 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 be called at par plus a call premium of 10.1% per year if each asset closes at or above 102% its initial level on any annual call date.
If the final level of each asset is greater than or equal to its final barrier level, 90% of its initial level, the payout at maturity will be par plus 50.5%.
The payout will be par if the final level of each asset is less than its final barrier level but greater than or equal to its knock-in level, 65% of its initial level.
If either asset finishes below its knock-in level, investors will be fully exposed to the decline of the lesser performing asset.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable barrier securities
|
| Underlying assets: | iShares Russell 2000 Value ETF and S&P 500 index
|
| Amount: | $575,000
|
| Maturity: | March 10, 2026
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each asset return is greater than or equal to final barrier level, par plus 50.5%; par if final level of lesser performing asset is less than final barrier but greater than or equal to knock-in level; full exposure to decline if lesser performing asset finishes below knock-in level
|
| Call: | At par plus call premium of 10.1% per year if each asset closes at or above call level on any annual call date
|
| Initial index levels: | $156.96 for ETF, 3,841.94 for S&P
|
| Call levels: | $160.099 for ETF, 3,918.779 for S&P, 102% of initial levels
|
| Final barrier levels: | $141.264 for ETF, 3,457.74 for S&P, 90% of initial levels
|
| Knock-in levels: | $102.024 for ETF, 2,497.261 for S&P, 65% of initial levels
|
| Pricing date: | March 5
|
| Settlement date: | March 10
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 1.125%
|
| Cusip: | 17328YVS0
|
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