Published on 4/23/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $265,000 autocallable securities on S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, April 23 – Citigroup Global Markets Holdings Inc. priced $265,000 of 0% autocallable securities due April 24, 2024 tied to the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
If each index closes at or above its call level on any annual valuation date, the notes will be called at par plus a premium of 15% a year. The call level for each index will be 110% of its initial level on the first observation date and will step down by 5% a year.
If each index finishes at or above 95% of its initial level, the payout at maturity will be par plus 60%.
If the least performing index finishes below 95% of its initial level but not below the barrier level, 70% of the initial level, the payout will be par.
Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable securities
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| Underlying indexes: | S&P 500, Russell 2000, Nasdaq-100
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| Amount: | $265,000
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| Maturity: | April 24, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index’s final level is at least 95% of its initial level, par plus 60%; if the least performing index’s final level is less than 95% of its initial level but not below its barrier level, par; 1% loss for each 1% decline of the worst performing index from its initial level if it falls beyond barrier level
|
| Call: | If each index closes at or above its call level on any annual valuation date, the notes will be called at par plus a premium of 15% a year; call level for each index will be 110% of its initial level on April 19, 2021, 105% of its initial level on April 18, 2022, 100% of its initial level on April 17, 2023 and 95% of its initial level on April 17, 2024
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| Initial levels: | 2,874.56 for S&P, 1,229.098 for Russell, 8,832.414 for Nasdaq
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| Final barriers: | 2,012.192 for S&P, 860.369 for Russell, 6,182.69 for Nasdaq; 70% of initial levels
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| Pricing date: | April 17
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| Settlement date: | April 24
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0%
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| Cusip: | 17328VMH0
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