Published on 3/24/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $4.06 million autocallable barrier securities on S&P, Russell
By Kiku Steinfeld
Chicago, March 24 – Citigroup Global Markets Holdings Inc. priced $4.06 million of 0% autocallable barrier securities due March 19, 2026 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
After one year, the notes will be called at par plus a call premium of 8.75% per year if each index closes at or above its initial level on any annual call date through March 17, 2025.
If the final level of each index return is positive or flat, the payout at maturity will be par plus the index return. The payout will be par if the final level of each index is less than its initial level but greater than or equal to the barrier level, 60% of the initial level. If either index finishes below the barrier level, investors will be fully exposed to the decline of the least performing index.
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 indexes: | Russell 2000 index and S&P 500 index
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| Amount: | $4,059,000
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| Maturity: | March 19, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index return is positive, par plus least performing index return; par if final level of least performing index is less than initial level but greater than or equal to barrier level; full exposure to decline if least performing index finishes below barrier level
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| Call: | After one year at par plus call premium of 8.75% per year if index closes at or above initial level on any annual call date through March 17, 2025
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| Initial index levels: | 2,319.518 for Russell, 3,962.71 for S&P
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| Trigger levels: | 1,391.711 for Russell, 2,377.626 for S&P, 60% of initial levels
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| Pricing date: | March 16
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| Settlement date: | March 19
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4.1%
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| Cusip: | 17328YV43
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