Published on 10/9/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.76 million contingent coupon autocalls on S&P, Russell, Stoxx
By Kiku Steinfeld
Chicago, Oct. 9 – Citigroup Global Markets Holdings Inc. priced $1.76 million autocallable contingent coupon equity-linked securities due Oct. 4, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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% if each index closes at or above the 75% threshold 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 review date after six months.
The payout at maturity will be par unless any index falls below the 75% threshold, in which case investors will be fully exposed to any decline of the worst performing index.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Global Markets Inc.
|
| Issue: | Autocallable contingent coupon equity-linked securities
|
| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $1.76 million
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| Maturity: | Oct. 4, 2023
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| Coupon: | 9% annualized, payable quarterly if each index closes at or above 75% coupon barrier on valuation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index closes above 75% trigger, par; otherwise, 1% loss for each 1% decline of worse performing index
|
| Call: | At par if each index closes at or above its initial level on any quarterly review date after six months
|
| Initial levels: | 3,335.47 for S&P, 1,504.727 for Russell, 3,214.30 for Stoxx
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| Coupon barriers: | 2,501.603 for S&P, 1,128.545 for Russell, 2,410.725 for Stoxx, 75% of initial levels
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| Downside threshold levels: | 2,501.603 for S&P, 1,128.545 for Russell, 2,410.725 for Stoxx, 75% of initial levels
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| Pricing date: | Sept. 29
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| Settlement date: | Oct. 2
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2%
|
| Cusip: | 17328WT65
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