Published on 4/3/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.23 million autocallable barrier securities on index, ETF
By Kiku Steinfeld
Chicago, April 5 – Citigroup Global Markets Holdings Inc. priced $1.23 million of 0% autocallable barrier securities due March 17, 2026 linked to the lesser performing of the SPDR S&P 500 ETF trust and the Nasdaq-100 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 9.25% per year if each asset closes at or above its initial level on any annual call date.
If the final level of each asset return is positive or flat, the payout at maturity will be par plus the asset return. The payout will be par if the final level of each asset is less than its initial level but greater than or equal to the barrier level, 80% of the initial level. If either asset finishes below the barrier level, investors will be fully exposed to the decline of the least performing asset.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable barrier securities
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| Underlying assets: | SPDR S&P 500 ETF trust and Nasdaq-100 index
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| Amount: | $1,227,000
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| Maturity: | March 17, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each asset return is positive or flat, par plus least performing asset return; par if final level of least performing asset is less than initial level but greater than or equal to barrier level; full exposure to decline if least performing asset finishes below barrier level
|
| Call: | At par plus call premium of 9.25% per year if each asset closes at or above its initial level on any annual call date
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| Initial index levels: | 12,937.29 for index, $394.06 for ETF
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| Barrier levels: | 10,349.832 for index, $315.248 for ETF, 80% of initial levels
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| Pricing date: | March 12
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| Settlement date: | March 17
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4.1%
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| Cusip: | 17328YTE4
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