By Taylor Fox
New York, Sept. 16 – Citigroup Global Markets Holdings Inc. priced $2.33 million of market-linked securities due Feb. 29, 2024 – autocallable with contingent coupon and contingent downside linked to the worst performing of the VanEck Vectors Gold Miners ETF and the iShares Silver Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 13.9% if each fund closes at or above its 70% coupon threshold on the observation date for that quarter.
The notes will be called at par plus coupon if each fund closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any fund finishes below its 70% barrier value, in which case the payout will be par plus the return of the worst performing fund with full exposure to any losses.
Wells Fargo Securities, LLC and Citigroup Global Markets Inc. are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
|
| Underlying funds: | VanEck Vectors Gold Miners ETF and iShares Silver Trust
|
| Amount: | $2,330,000
|
| Maturity: | Feb. 29, 2024
|
| Coupon: | 13.9% annualized, payable quarterly if each fund closes at or above coupon threshold on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any fund finishes below downside threshold, in which case 1% loss per 1% decline of worst performing fund
|
| Call: | At par plus coupon if each fund closes at or above its initial level on any observation date after six months
|
| Initial levels: | $32.33 for Gold and $25.40 for Silver
|
| Coupon thresholds: | $22.631 for Gold and $17.78 for Silver; 70% of initial levels
|
| Downside thresholds: | $22.631 for Gold and $17.78 for Silver; 70% of initial levels
|
| Pricing date: | Feb. 25
|
| Settlement date: | March 2
|
| Agents: | Wells Fargo Securities, LLC and Citigroup Global Markets Inc.
|
| Fees: | 2.125%
|
| Cusip: | 17328YNG5
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