Published on 2/28/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $500,000 contingent coupon autocallables linked to index, ETF
By Sarah Lizee
Olympia, Wash., Feb. 28 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due Aug. 26, 2027 linked to the least performing of the Nasdaq-100 index and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes pay a contingent coupon at the rate of 11.5% per year if the least-performing underlier closes at or above its coupon barrier value, 75% of its initial share price, on the valuation date for that period.
Beginning Feb. 22, 2021, the notes will be automatically called at par plus the coupon if the least-performing underlier closes at or above its initial level on any monthly call observation date.
The payout at maturity will be par unless the least-performing underlier finishes below its buffer value, 75% of its initial level, in which case investors will lose 1% for every 1% that the least-performing underlier declines beyond 25%.
The notes are guaranteed by Citigroup Inc.
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 contingent coupon equity-linked securities
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| Underliers: | Nasdaq-100 index, SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $500,000
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| Maturity: | Aug. 26, 2027
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| Coupon: | 11.5% per year, payable monthly if least-performing underlier closes at or above coupon barrier value on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless least-performing underlier finishes below buffer level, in which case 1% loss for every 1% that least-performing underlier declines beyond buffer
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| Call: | Beginning Feb. 22, 2021, automatically at par plus coupon if least-performing underlier closes at or above initial level on any monthly call observation date
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| Initial levels: | 9,446.688 for index, $18.80 for ETF
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| Coupon barriers: | 7,085.016 for index, $14.10 for ETF, 75% of initial levels
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| Buffer levels: | 7,085.016 for index, $14.10 for ETF, 75% of initial levels
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 26
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.5%
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| Cusip: | 17327TP34
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