Published on 7/31/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $391,000 contingent coupon autocalls tied to Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, July 31 – Citigroup Global Markets Holdings Inc. priced $391,000 of autocallable contingent coupon equity-linked securities due July 27, 2023 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 6% per year if the laggard index closes at or above its coupon barrier value, 80% of its initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level on any quarterly valuation date after one year.
If the final level is greater than or equal to the 80% buffer level, the payout will be par. Otherwise, investors will be exposed to the decline of the laggard index beyond 20%.
The notes will be guaranteed by Citigroup Inc.
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 indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $391,000
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| Maturity: | July 27, 2023
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| Coupon: | 6% per year, payable each quarter if laggard index closes at or above coupon barrier value on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless final level of laggard index is less than barrier level, in which case exposure to loss of laggard index beyond 20%
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| Call: | Automatically at par plus coupon if laggard index closes at or above initial level on any quarterly valuation date after one year
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| Initial levels: | 1,467.555 for Russell, 3,215.63 for S&P
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| Coupon/final barriers: | 1,174.044 for Russell, 2,572.504 for S&P, 80% of initial levels
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| Pricing date: | July 24
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| Settlement date: | July 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.5%
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| Cusip: | 17328W5E4
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