Published on 12/5/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $620,000 autocallable contingent coupon equity notes on indexes, ETF
By Taylor Fox
New York, Dec. 7 – Citigroup Global Markets Holdings Inc. priced $620,000 of autocallable contingent coupon equity-linked securities due Sept. 5, 2025 linked to the worst performing of iShares MSCI EAFE ETF, the Nasdaq-100 index and the Russell 2000 index, 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 annual rate of 5% if each asset 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 asset closes at or above its initial price on any quarterly valuation date after one year.
If the notes are not called and each asset finishes at or above final barrier price, 60% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will be exposed to the downside of the worst performer.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable contingent coupon equity-linked securities
|
| Underlying assets: | iShares MSCI EAFE ETF, Nasdaq-100 index and Russell 2000 index
|
| Amount: | $620,000
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| Maturity: | Sept. 5, 2025
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| Coupon: | 5% annualized rate, payable quarterly if each asset closes at or above coupon barrier price on valuation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon if each asset closes at or above final barrier; otherwise, investors will be exposed to the downside of the worst performer
|
| Call: | Automatically at par plus coupon if each asset closes at or above initial level on any quarterly valuation date after one year
|
| Initial levels: | $70.15 for iShares, 12,268.32 for Nasdaq and 1,819.816 for Russell
|
| Coupon barrier levels: | $49.105 for iShares, 8,587.824 for Nasdaq and 1,273.871 for Russell, 70% of initial levels
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| Final barrier levels: | $42.09 for iShares, 7,360.992 for Nasdaq and 1,091.89 for Russell, 60% of initial levels
|
| Pricing date: | Nov. 30
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| Settlement date: | Dec. 3
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| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.75%
|
| Cusip: | 17328Y4X9
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