Published on 11/18/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $955,000 autocallable contingent coupon equity notes on funds
By Taylor Fox
New York, Nov. 18 – Citigroup Global Markets Holdings Inc. priced $955,000 of autocallable contingent coupon equity-linked securities due Nov. 6, 2023 linked to the worst performing of the iShares Russell 2000 ETF, the SPDR Dow Jones Industrial Average ETF Trust and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent semiannual coupon at an annual rate of 7% if each fund closes at or above the coupon barrier price, 70% of the initial price, on the valuation date for that quarter.
The notes will be automatically called at par plus the coupon if each fund closes at or above 90% of its initial price on any semiannual valuation date.
If the notes are not called and each fund finishes at or above final barrier price, 65% of its initial level, the payout at maturity will be par plus any coupon due. Otherwise, investors will be fully exposed to the downside of the worst performer, payable either in shares or cash at the option of the issuer.
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 funds: | iShares Russell 2000 ETF, the SPDR Dow Jones Industrial Average ETF Trust and the SPDR S&P 500 ETF Trust
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| Amount: | $955,000
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| Maturity: | Nov. 6, 2023
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| Coupon: | 7% annualized rate, payable semiannually if each fund closes at or above coupon barrier price on valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus any contingent coupon if each fund closes at or above final barrier; otherwise, investors will be fully exposed to the downside of the worst performer, payable either in shares or cash at issuer’s option
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| Call: | Automatically at par plus coupon if each fund closes at or above 90% of initial level on any semiannual valuation date
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| Initial levels: | $153.31 for iShares, $265.48 for Dow and $326.66 for S&P
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| Call levels: | $145.645 for iShares, $252.206 for Dow and $310.327 for S&P, 90% of initial levels
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| Coupon barrier levels: | $107.317 for iShares, $185.836 for Dow and $228.662 for S&P, 70% of initial levels
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| Final barrier levels: | $99.652 for iShares, $172.562 for Dow and $212.329 for S&P, 65% of initial levels
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| Pricing date: | Oct. 29
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| Settlement date: | Nov. 5
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.8%
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| Cusip: | 17324X5V8
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