Published on 7/2/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $196,000 contingent coupon autocallable notes on Nasdaq, S&P
By Wendy Van Sickle
Columbus, Ohio, July 2 – Citigroup Global Markets Holdings Inc. priced $196,000 of autocallable contingent coupon equity-linked securities due March 30, 2021 tied to the worst performing of the Nasdaq-100 index and the S&P 500 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 8% per year, payable quarterly if each asset closes above its coupon barrier, 70% 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 initial level or no asset has ever closes below its 70% knock-in level any day during the life of the notes, 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: | Nasdaq-100 index, S&P 500 index
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| Amount: | $196,000
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| Maturity: | March 30, 2021
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| Coupon: | 8%, 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 initial level or no index has ever closed below its knock-in level any day during the life of the notes; 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: | 3,083.76 for S&P, 10,101.83 for Nasdaq
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| Coupon barrier levels: | 2,158.632 for S&P, 7,707.281 for Nasdaq, 70% of initial levels
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| Knock-in levels: | 2,158.632 for S&P, 7,707.281 for Nasdaq, 70% of initial levels
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| Pricing date: | June 25
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| Settlement date: | June 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328VWK2
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