Published on 6/26/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.43 million contingent coupon autocallable notes on indexes
By Wendy Van Sickle
Columbus, Ohio, June 26 – Citigroup Global Markets Holdings Inc. priced $1.43 million of autocallable contingent coupon equity-linked securities due June 24, 2021 tied to the worst performing of the Dow Jones industrial average, 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 carry a coupon of 16.15% per year, payable monthly 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 60% 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: | Dow Jones industrial average, Nasdaq-100 index, Russell 2000 index
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| Amount: | $1,426,000
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| Maturity: | June 24, 2021
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| Coupon: | 16.15%, 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
|
| 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: | 25,871.46 for Dow, 1,418.634 for Russell, 10,008.64 for Nasdaq
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| Coupon barrier levels: | 18,110.022 for Dow, 992.044 for Russell, 7,006.048 for Nasdaq, 70% of initial levels
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| Knock-in levels: | 15,522.876 for Dow, 851.18 for Russell, 6,005.184 for Nasdaq, 60% of initial levels
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| Pricing date: | June 19
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| Settlement date: | June 24
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.72%
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| Cusip: | 17328VP87
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