By Sarah Lizee
Olympia, Wash., April 28 – Citigroup Global Markets Holdings Inc. priced $778,000 of autocallable contingent coupon equity-linked securities due April 25, 2024 linked to the worst performing of the iShares Russell 2000 exchange-traded fund 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 pay a monthly contingent coupon at an annual rate of 9.75% if both ETFs close at or above their coupon barriers, 70% of their initial levels, on the valuation date for that period.
The notes will automatically be called at par plus the coupon if both ETFs close at or above their call levels on any quarterly valuation date after one year other than the final valuation date. The call level will be 100% of the initial level on the first call date, stepping down by 2.5% on each call date.
If the notes are not called and both ETFs finish at or above their 70% final barriers, investors will receive par plus the final coupon. Otherwise, the payout will be a number of shares of the lesser-performing ETF equal to $1,000 divided by its initial share price or, at the issuer’s option, the cash value.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying assets: | iShares Russell 2000 ETF and SPDR S&P 500 ETF trust
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| Amount: | $778,000
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| Maturity: | April 25, 2024
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| Coupon: | 9.75% per year, payable monthly if both ETFs close at or above their coupon barrier on valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | If both ETFs finish at or above their final barrier levels, par plus coupon; otherwise, number of shares of lesser-performing ETF equal to its equity ratio or, at issuer’s option, cash value
|
| Call: | At par plus the coupon if both ETFs close at or above their call levels on any quarterly valuation date after one year other than the final valuation date; call level will be 100% of the initial level on the first call date, stepping down by 2.5% on each call date
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| Initial levels: | $117.74 for iShares Russell and $273.04 for SPDR S&P
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| Coupon barrier values: | $82.418 for iShares Russell and $191.128 for SPDR S&P, 70% of initial levels
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| Final barrier values: | $82.418 for iShares Russell and $191.128 for SPDR S&P, 70% of initial levels
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| Equity ratios: | 8.49329 for iShares Russell and 3.66247 for SPDR S&P
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| Pricing date: | April 21
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| Settlement date: | April 24
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.85%
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| Cusip: | 17328VKM1
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