Published on 9/4/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $8.51 million contingent income autocalls on Russell, S&P, Dow
By Wendy Van Sickle
Columbus, Ohio, Sept. 4 – Citigroup Global Markets Holdings Inc. priced $8.51 million of contingent income autocallable securities due Sept. 2, 2021 linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each quarter, the notes will pay a contingent coupon at the rate of 8.75% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the determination date for that quarter.
The notes will be automatically called at par if each index closes at or above its initial level on any quarterly call determination date.
The payout at maturity will be par unless any index finishes below its 70% downside threshold, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.
The agent is Citigroup Global Markets Inc. with Morgan Stanley & Co. LLC as a dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
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| Amount: | $8,511,000
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| Maturity: | Sept. 2, 2021
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| Coupon: | 8.75% per year, payable quarterly if each index closes at or above barrier level on determination date for that quarter
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| Price: | Par
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| Payout at maturity: | Par due unless any index finishes below its downside threshold, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level
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| Call: | Automatically at par if each index closes at or above its initial level on any quarterly call determination date
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| Initial index levels: | 3,508.01 for S&P, 1,578.343 for Russell, 28,653.87 for Dow
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| Coupon barrier levels: | 2,455.607 for S&P, 1,104.84 for Russell, 20,057.709 for Dow; 70% of initial levels
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| Downside thresholds: | 2,455.607 for S&P, 1,104.84 for Russell, 20,057.709 for Dow; 70% of initial levels
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| Pricing date: | Aug. 28
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| Settlement date: | Sept. 2
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| Agent: | Citigroup Global Markets Inc. with Morgan Stanley & Co. LLC as a dealer
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| Fees: | 1.25%
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| Cusip: | 17328WEE4
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