Published on 6/23/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $5.77 million contingent market-linked autocalls on S&P, Russell, Dow
By Wendy Van Sickle
Columbus, Ohio, June 23 – Citigroup Global Markets Holdings Inc. priced $5.77 million of market-linked securities due June 24, 2024 – autocallable with contingent coupon and contingent downside linked to the worst performing of 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 are guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 10% if each index closes at or above its 70% coupon threshold on the observation date for that quarter.
The notes will be called at par plus coupon if each index closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless any index finishes below its 70% barrier value, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC and Citigroup Global Markets Inc. are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
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| Amount: | $5,767,000
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| Maturity: | June 24, 2024
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| Coupon: | 10% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than downside threshold, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par plus coupon if each index closes at or above its initial level on any interest payment date
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| Initial levels: | 3,113.49 for S&P, 1,426.531 for Russell, 26,119.61 for Dow
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| Coupon thresholds: | 2,179.43 for S&P, 998.717 for Russell, 18,283.727 for Dow; 70% of initial levels
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| Downside thresholds: | 2,179.43 for S&P, 998.717 for Russell, 18,283.727 for Dow; 70% of initial levels
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| Pricing date: | June 17
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| Settlement date: | June 22
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| Agents: | Wells Fargo Securities, LLC and Citigroup Global Markets Inc.
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| Fees: | 2.05%
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| Cusip: | 17328VV49
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