Published on 10/2/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $500,000 contingent coupon autocalls on S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Oct. 2 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due Sept. 30, 2021 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 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 9.5% 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.
The payout at maturity will be par unless any index finishes below its 70% final barrier level, 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, Russell 2000 index and Nasdaq-100 index
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| Amount: | $500,000
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| Maturity: | Sept. 30, 2021
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| Coupon: | 9.5% 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 level, 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
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| Initial levels: | 11,151.13 for Nasdaq, 1,474.908 for Russell, 3,298.46 for S&P
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| Coupon barriers: | 7,805.791 for Nasdaq, 1,032.436 for Russell, 2,308.922 for S&P, 70% of initial levels
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| Final barrier level levels: | 7,805.791 for Nasdaq, 1,032.436 for Russell, 2,308.922 for S&P, 70% of initial levels
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| Pricing date: | Sept. 25
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| Settlement date: | Sept. 30
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17328WPA0
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