By Taylor Fox
New York, Feb. 1 – Citigroup Global Markets Holdings Inc. priced $1.73 million of 0% autocallable index-linked notes due Jan. 4, 2023 tied to 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 an 3.9% annualized premium if the index closes at or above 90% of its initial level on Jan. 7, 2022.
If the index return is positive, investors will receive at maturity par plus the three times the return of the index plus 10%.
If the index return is negative but not by more than 10%, investors will receive par plus – the negative return plus 10% times three – plus the negative return.
If the index has not declined more than 7.5%, the return will be positive.
The return will be negative if it declines between 7.5% and 10%.
For example, if the index declines 5%, the return will be par plus – negative-5% plus 10%, so 5% times three equals 15% - minus the return, the negative-5%, so 10%. The return in this scenario would be a 110% return.
Otherwise, investors will be exposed to any losses.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable index-linked notes
|
| Underlying index: | S&P 500
|
| Amount: | $1,725,000
|
| Maturity: | Jan. 4, 2023
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the notes are not called and the index finishes at or above initial level, par plus three times index return plus 10%; if index declines by up to 10%, par plus three times the negative return plus 10% plus the negative return meaning if index finishes above 92.5% of initial level, a positive outcome if below that level, a negative outcome; otherwise, investors will be exposed to any losses
|
| Call: | At par plus 3.9% per year if index closes at or above 90% of initial level on Jan. 7, 2022
|
| Initial level: | 3,732.04
|
| Pricing date: | Dec. 30
|
| Settlement date: | Jan. 7
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 2%
|
| Cusip: | 17328YAW4
|
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