By William Gullotti
Buffalo, N.Y., March 14 – Citigroup Global Markets Holdings Inc. priced $10 million of contingent income autocallable securities due Feb. 2, 2024 linked to the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 11.2% if the ETF closes at or above the 87% downside threshold on the corresponding determination date. Previously unpaid coupons, if any, will be automatically included whenever a coupon is paid.
The notes will be called at par plus the contingent coupon if the ETF closes at or above its initial level on any monthly determination date.
The payout at maturity will be par plus the final coupon unless the ETF finishes below its 87% downside threshold, in which case investors will lose 1.14943% for every 1% decline beyond 13%.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter. Morgan Stanley Wealth Management is a selected dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying fund: | SPDR S&P 500 ETF Trust
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| Amount: | $10 million
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| Maturity: | Feb. 2, 2024
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| Coupon: | 11.2% annualized, payable monthly if ETF closes at or above downside threshold level on the corresponding determination date; coupon payment events will automatically include any previously unpaid coupons
|
| Price: | Par
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| Payout at maturity: | If ETF finishes above downside threshold, par plus final coupon; otherwise, investors will lose 1.14943% for every 1% decline beyond 13%
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| Call: | At par plus contingent coupon if ETF closes at or above initial level on any monthly determination date
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| Initial share price: | $405.68
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| Downside threshold: | $352.942; 87% of initial level
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| Strike date: | Jan. 27
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| Pricing date: | Jan. 30
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| Settlement date: | Feb. 2
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| Underwriter: | Citigroup Global Markets Inc. with Morgan Stanley Wealth Management as dealer
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| Fees: | 0.1%
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| Cusip: | 17331CCX3
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