Published on 2/28/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.67 million autocallable securities on three indexes
By Sarah Lizee
Olympia, Wash., Feb. 28 – Citigroup Global Markets Holdings Inc. priced $2.67 million of 0% autocallable securities due March 2, 2026 tied to the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
Starting Feb. 22, 2021, if each index closes at or above of its call level on any annual valuation date, the notes will be called at par plus a premium of 10% a year. The call level for each index will be 95% of its initial level for the first three call dates and 100% of its initial level for the remaining dates.
If each index finishes at or above its initial level, the payout will be par plus 60%.
If the least performing index falls but not below the barrier level, 75% of the initial level, the payout will be par.
Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable securities
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| Underlying indexes: | S&P 500, Russell 2000, Dow Jones industrial average
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| Amount: | $2,668,000
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| Maturity: | March 2, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above its initial level, par plus 60%; if the least performing index falls but not below the barrier level, par; 1% for each 1% decline of the worst performing index from its initial level if it falls beyond barrier level
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| Call: | Starting Feb. 22, 2021, if each index closes at or above its initial level on any annual valuation date, the notes will be called at par plus a premium of 10% a year; call level for each index will be 95% of its initial level for the first three call dates and 100% of its initial level for the remaining dates
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| Initial levels: | 28,992.41 for Dow, 1,678.609 for Russell, 3,337.75 for S&P
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| Final barriers: | 21,744.308 for Dow, 1,258.957 for Russell, 2,503.313 for S&P; 75% of initial levels
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 28
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17327TX68
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