By Sarah Lizee
Olympia, Wash., July 20 – Citigroup Global Markets Holdings Inc. priced $6 million of 0% bearish autocallable securities due July 27, 2021 linked to the SPDR S&P Regional Banking ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will be called automatically at par plus a premium on any quarterly valuation date after six months if the ETF closes at or below 90% of its initial level on the related review date. The premium will be 16.75% on Jan. 15, 2021, 25.125% on April 15, 2021 and 33.5% on July 22, 2021.
If the notes are not called and the final level of the ETF is less than or equal to 90% of its initial level, the payout at maturity will be par plus the premium applicable to the final valuation date.
If the ETF finishes above 90% of its initial level but is less than or equal to the trigger value, 110% of the initial level, the payout will be par.
Otherwise, investors will lose 1% for every 1% increase of the ETF.
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: | Bearish autocallable securities
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| Underlying ETF: | SPDR S&P Regional Banking ETF
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| Amount: | $6 million
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| Maturity: | July 27, 2021
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| Coupon: | 0%
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| Price: | Par
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| Call: | Automatically at par plus a premium on any quarterly valuation date after six months if the ETF closes at or below 90% of its initial level on the related review date; premium will be 16.75% on Jan. 15, 2021, 25.125% on April 15, 2021 and 33.5% on July 22, 2021
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| Payout at maturity: | If the notes are not called and the final level of the ETF is less than or equal to 90% of its initial level, par plus the premium applicable to the final valuation date; if the ETF finishes above 90% of its initial level but is less than or equal to the trigger value, 110% of the initial level, par; otherwise, investors will lose 1% for every 1% increase of the ETF
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| Initial ETF level: | $37.74
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| Premium threshold: | $33.966; 90% of initial level
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| Trigger level: | $41.514; 110% of initial level
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| Pricing date: | July 15
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| Settlement date: | July 20
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17328W3D8
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