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Published on 7/29/2020 in the Prospect News Structured Products Daily.

New Issue: Citigroup sells $265,000 autocallable securities on three indexes

By Wendy Van Sickle

Columbus, Ohio, July 29 – Citigroup Global Markets Holdings Inc. priced $265,000 of 0% autocallable securities due July 29, 2025 linked to the worst performing of the Nasdaq-100 index, the Dow Jones industrial average 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 will be called at par plus a premium of 11% a year if each asset closes at or above its initial level on any annual call valuation date.

If each index finishes at or above its trigger level, 70% of its initial level, the payout at maturity will be par.

Otherwise, investors will lose 1% for every 1% that the worst performing index declines.

Citigroup Global Markets Inc. is the agent.

Issuer:Citigroup Global Markets Holdings Inc.
Guarantor:Citigroup Inc.
Issue:Autocallable securities
Underlying assets:Nasdaq-100 index, Dow Jones industrial average, S&P 500 index
Amount:$265,000
Maturity:July 29, 2025
Coupon:0%
Price:Par
Payout at maturity:If each index finishes at or above trigger level, par; otherwise, 1% loss for every 1% that the worst performing index declines
Call:At par plus a premium of 11% per year if each asset closes at or above its initial value on any annual call valuation date
Initial levels:26,469.89 for Dow, 3,215.63 for S&P, 10,483.13 for Nasdaq
Trigger levels:18,528.923 for Dow, 2,250.941 for S&P, 7,338.191 for Nasdaq; 70% of initial values
Pricing date:July 24
Settlement date:July 29
Agent:Citigroup Global Markets Inc.
Fees:2%
Cusip:17328W4D7

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