Published on 10/2/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.2 million autocallable securities on Dow, Nasdaq, S&P
By Wendy Van Sickle
Columbus, Ohio, Oct. 2 – Citigroup Global Markets Holdings Inc. priced $1.2 million of 0% autocallable securities due Sept. 30, 2025 linked to the worst 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 Global Markets Inc.
The notes are called at par plus a premium of 7.66% per year if each asset closes at or above its premium threshold on any annual call valuation date. The premium threshold starts at 95% of the initial level and drops by 5% each year.
The payout at maturity will be the 38.3% premium applicable to that valuation date if the worst performing index closes above 75% of its initial value.
The payout at maturity will be par if the worst performing index finishes above its 70% trigger level and below 75% of its initial value; otherwise investors will be exposed to losses 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 securities
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| Underlying assets: | Russell 2000 index, Nasdaq-100 index, S&P 500 index
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| Amount: | $1,202,000
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| Maturity: | Sept. 30, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 38.3% call premium if worst performing asset finishes above 75% of initial level; par if worst performing asset finishes below 75% of initial value but above 70% trigger level; otherwise exposure to losses of worst performing index
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| Call: | At par plus a premium of 7.66% per year if each asset closes at or above premium threshold on any annual call valuation date; premium threshold starts at 95% of initial level and drops by 5% a year
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| Initial values: | 1,474.908 for Russell, 11,151.13 for Nasdaq, 3,319.47 for S&P
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| Trigger values: | 1,032.436 for Dow, 7,805.791 for Nasdaq, 2,308.922 for S&P; 70% of initial values
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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: | 4.125%
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| Cusip: | 17328WGH5
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