Chicago, Feb. 14 – Citigroup Global Markets Holdings Inc. priced $1.71 million of autocallable contingent coupon equity-linked securities due July 25, 2022 linked to the worst performing of the Invesco QQQ Trust, Series 1 and the SPDR S&P 500 ETF 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 monthly coupon at an annual rate of 6.35% if each ETF closes at or above the coupon barrier level, 75% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each ETF closes at or above its initial level on any monthly valuation date after six months.
If the notes have not been called, the payout at maturity will be par if both ETFs close above their initial levels. Alternatively, investors will receive par if neither ETF closes below its 75% knock-in level during the life of the notes.
Otherwise, investors will be fully exposed to the losses of the worst performing ETF, payable either in shares or cash at the issuer’s option.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable contingent coupon equity-linked securities
|
| Underlying funds: | SPDR S&P 500 ETF Trust, Invesco QQQ Trust, Series 1
|
| Amount: | $1,711,000
|
| Maturity: | July 25, 2022
|
| Coupon: | 6.35% annualized rate, payable monthly if each ETF closes at or above coupon barrier level, on valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par if both ETFs close above initial levels; par if neither ETF closes below knock-in level on any day during the life of the notes; otherwise, full exposure to losses of worst performer, payable in cash or shares at the option of the issuer
|
| Call: | Automatically at par plus coupon if each ETF closes at or above initial level on any monthly valuation date after six months
|
| Initial levels: | $336.41 for QQQ, $412.17 for S&P
|
| Coupon barrier levels: | $252.308 for QQQ, $309.128 for S&P; 75% of initial levels
|
| Knock-in levels: | $252.308 for QQQ, $309.128 for S&P; 75% of initial levels
|
| Equity ratios: | 2.97256 for QQQ, 2.42618 for S&P
|
| Pricing date: | April 20, 2021
|
| Settlement date: | April 23, 2021
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 2.25%
|
| Cusip: | 17328NND6
|
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