Published on 3/25/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.33 million autocallables linked to indexes, EAFE ETF
By Taylor Fox
New York, March 25 – Citigroup Global Markets Holdings Inc. priced $2.33 million of 0% autocallable securities due March 19, 2026 linked to the S&P 500 index, Russell 2000 index and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Beginning March 16, 2022, the notes will be called at par plus a premium of 9.3% per year if each asset closes at or above its initial level on any quarterly valuation date.
If the final level of the worst performer is greater than or equal to its initial level, the payout at maturity will be par plus 46.5%. If the final level of the worst performer is less than its initial level but greater than or equal to its 70% barrier level, the payout will be par. If the final level of the worst performer is less than its barrier level, investors will lose 1% for each 1% decline of the worst performer.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable securities
|
| Underlying assets: | S&P 500 index, Russell 2000 index, iShares MSCI EAFE ETF
|
| Amount: | $2,329,000
|
| Maturity: | March 19, 2026
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level of worst performer is greater than or equal to initial level, par plus 46.5%; if final level of worst performer is less than initial level but greater than or equal to barrier level, par; otherwise, 1% loss for each 1% decline of worst performer
|
| Call: | Automatically at par plus 9.3% per year if each asset closes at or above initial level on any quarterly potential autocall date beginning March 16, 2022
|
| Initial levels: | $76.34 for ETF, 2,360.168 for Russell, 3,968.94 for S&P
|
| Barrier levels: | $53.438 for ETF, 1,652.118 for Russell, 2,778.258 for S&P, 70% of initial levels
|
| Pricing date: | March 15
|
| Settlement date: | March 18
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.5%
|
| Cusip: | 17328YYG3
|
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