Published on 12/26/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.37 million autocallable contingent coupon equity notes on four funds
By Taylor Fox
New York, Dec. 30 – Citigroup Global Markets Holdings Inc. priced $1.37 million of autocallable contingent coupon equity-linked securities due Dec. 11, 2023 linked to the worst performing of the Invesco QQQ Trust, Series 1, the iShares Russell 2000 ETF, the SPDR Euro Stoxx 50 ETF 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 9.5% if each fund closes at or above the coupon barrier price, 75% of the initial price, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each fund closes at or above its initial price on any semiannual valuation date.
If the notes are not called and each fund finishes at or above final barrier price, 75% of its initial level, the payout at maturity will be par. Otherwise, investors will be exposed to the downside of the worst performer, payable either in cash or shares at the issuer’s option.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable contingent coupon equity-linked securities
|
| Underlying funds: | Invesco QQQ Trust, Series 1, iShares Russell 2000 ETF, SPDR Euro Stoxx 50 ETF and SPDR S&P 500 ETF Trust
|
| Amount: | $1,365,000
|
| Maturity: | Dec. 11, 2023
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| Coupon: | 9.5% annualized rate, payable semiannually if each fund closes at or above coupon barrier price on valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par if each fund 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 fund closes at or above initial level on any semiannual valuation date
|
| Initial levels: | $303.85 for Invesco, $182.89 for Russell, $41.37 for Euro Stoxx and $366.79 for S&P
|
| Coupon barrier levels: | $227.888 for Invesco, $137.168 for Russell, $31.028 for Euro Stoxx and $275.093 for S&P, 75% of initial levels
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| Final barrier levels: | $227.888 for Invesco, $137.168 for Russell, $31.028 for Euro Stoxx and $275.093 for S&P, 75% of initial levels
|
| Pricing date: | Dec. 3
|
| Settlement date: | Dec. 10
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| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 1.5%
|
| Cusip: | 17328NAS7
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