Published on 10/25/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $4.94 million autocallable securities on Dow, Russell, S&P
By Taylor Fox
New York, Oct. 26 – Citigroup Global Markets Holdings Inc. priced $4.94 million of 0% autocallable securities due Sept. 29, 2026 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Global Markets Inc.
The notes will be called at par plus a premium of 11.9% per year if each asset closes at or above 95% of its initial level on any annual call valuation date.
The payout at maturity will be the 71.4% premium applicable to that valuation date if the worst performing index closes above 95% of its initial value.
If the worst performer finishes above 75% of its initial value and less than 95% of its initial value, the payout will be par.
Otherwise, investors will be exposed to the losses of the worst performer.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Global Markets Inc.
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| Issue: | Autocallable securities
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| Underlying assets: | Dow Jones industrial average, Russell 2000 index, S&P 500 index
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| Amount: | $4,943,000
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| Maturity: | Sept. 29, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 71.4% premium if worst performer finishes above 95% of initial level; par if worst performer finishes between 75% and 95% of initial level; otherwise, full exposure to losses of worst performer
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| Call: | At par plus a premium of 11.9% per year if each asset closes at or above 95% of its initial value on any annual call valuation date
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| Initial values: | 27,288.18 for Dow, 1,496.961 for Russell, 3,315.57 for S&P
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| Barrier values: | 25,923.771 for Dow, 1,422.113 for Russell, 3,149.792 for S&P; 95% of initial values
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| Final barrier values: | 20,466.135 for Dow, 1,122.721 for Russell, 2,486.678 for S&P; 75% of initial values
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| Pricing date: | Sept. 22
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| Settlement date: | Sept. 29
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17328W7M4
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