Published on 6/8/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $138,000 autocallable contingent coupon notes on S&P, Russell, Dow
By Kiku Steinfeld
Chicago, June 8 – Citigroup Global Markets Holdings Inc. priced $138,000 of autocallable contingent coupon notes due June 2, 2023 linked to the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly coupon at an annualized rate of 11.5% if each index closes at or above its coupon barrier, 60% of its initial level, on the valuation date for that period.
The notes will be callable quarterly at par plus the coupon if each index finishes at or above its initial level on any valuation date other than the final one.
If the notes are not called and the final level of each index is greater than or equal to its 60% final barrier level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will be fully exposed to the decline of the worse performing index.
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 indexes: | S&P 500, Russell 2000 and the Dow Jones industrial average
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| Amount: | $138,000
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| Maturity: | June 2, 2023
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| Coupon: | 11.5% per year, payable quarterly if all indexes close at or above barrier level on valuation date for that period
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| Price: | Par
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| Payout at maturity: | If final level of each index is greater than or equal to barrier level, par plus final coupon; otherwise, full exposure to decline of lesser performing index
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| Call: | At par plus coupon if each index finishes at or above its initial level on any valuation date other than final one
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| Initial levels: | 25,400.64 for Dow, 1,400.673 for Russell and 3,029.73 for S&P
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| Barrier levels: | 15,240.384 for Dow, 840.404 for Russell and 1,817.838 for S&P, 60% of initial levels
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| Pricing date: | May 28
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| Settlement date: | June 2
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17328VRK8
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