By William Gullotti
Buffalo, N.Y., May 16 – Citigroup Global Markets Holdings Inc. priced $2.5 million of 0% autocallable securities due May 14, 2027 tied to the iShares MSCI Emerging Markets ETF and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
If each underlier closes at or above its initial level on any annual valuation date, the notes will be called at par plus an annualized call premium of 10.5%.
If each underlier finishes at or above its initial level, the payout at maturity will be par plus 52.5%.
If the least performing underlier finishes below its initial level but not below the barrier level, 65% of the initial level, the payout will be par.
Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.
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 securities
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| Underlying assets: | iShares MSCI Emerging Markets ETF, S&P 500 index
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| Amount: | $2.5 million
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| Maturity: | May 14, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each underlier finishes at or above its initial level, par plus 52.5%; if the least performing underlier finishes below its initial level but not below the barrier level, par; otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level
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| Call: | If each underlier closes at or above its initial level on any annual valuation date, the notes will be called at par plus an annualized call premium of 10.5%
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| Initial levels: | $40.93 for ETF, 4,123.34 for S&P
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| Barrier levels: | $26.605 for ETF, 2,680.171 for S&P; 65% of initial levels
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| Strike date: | May 6
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| Pricing date: | May 11
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| Settlement date: | May 16
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.3%
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| Cusip: | 17330FQW4
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