Published on 5/26/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $2.32 million contingent coupon autocallable notes on indexes, ETF
By Kiku Steinfeld
Chicago, May 26 – Citigroup Global Markets Holdings Inc. priced $2.32 million of autocallable contingent coupon equity-linked securities due May 19, 2022 tied to the worst performing of the SPDR S&P MidCap ETF, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes carry a coupon of 15% per year, payable quarterly if each asset closes above its coupon barrier, 67.5% of its initial level, on the observation date for that period.
The notes will be automatically redeemed at par if the worst-performing asset closes at or above its initial level on any quarterly autocall date.
If the notes are not called and each asset closes at or above its 67.5% final barrier level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the loss of the least performing asset.
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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| Underlying assets: | SPDR S&P MidCap 400 ETF, S&P 500 index, Nasdaq-100 index
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| Amount: | $2,317,000
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| Maturity: | May 19, 2022
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| Coupon: | 15%, payable quarterly if assets close above coupon barrier on observation date
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| Price: | Par
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| Payout at maturity: | Par if each asset closes at or above barrier level; otherwise, full exposure to loss of least performing asset
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| Call: | At par if worst-performing asset closes at or above initial level on any quarterly autocall date
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| Initial index levels: | $288.02 for ETF, 2,863.70 for S&P, 9,152.639 for Nasdaq
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| Barrier levels: | $194.414 for ETF, 1,932.998 for S&P, 6,178.031 for Nasdaq, 67.5% of initial levels
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| Pricing date: | May 15
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| Settlement date: | May 21
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328VVY3
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