Published on 8/21/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.4 million contingent coupon autocalls on S&P, Dow, Russell
By Wendy Van Sickle
Columbus, Ohio, Aug. 21 – Citigroup Global Markets Holdings Inc. priced $2.4 million of autocallable contingent coupon equity-linked securities due Aug. 22, 2030 linked to the least performing of the S&P 500 index, the Dow Jones industrial average 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 will pay a contingent quarterly coupon at an annual rate of 6% if each index closes at or above its 70% coupon barrier value on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly call review date after six months.
The payout at maturity will be par unless any index finishes below its 60% final barrier value, in which case investors will be exposed to the decline of the worst performing index.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Global Markets Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying indexes: | S&P 500 index, Dow Jones industrial average and Russell 2000 index
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| Amount: | $2.4 million
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| Maturity: | Aug. 22, 2030
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| Coupon: | 6% annualized, payable quarterly if each index closes at or above coupon barrier on valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above final barrier, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly call review date after six months
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| Initial levels: | 1,572.066 for Russell, 27,692.88 for Dow, 3,374.85 for S&P
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| Coupon barriers: | 1,100.446 for Russell, 19,385.016 for Dow, 2,362.395 for S&P, 70% of initial levels
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| Final barriers: | 943.24 for Russell, 16,615.728 for Dow, 2,024.91 for S&P, 60% of initial levels
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| Pricing date: | Aug. 19
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| Settlement date: | Aug. 24
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 3.35%
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| Cusip: | 17328WKD9
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