Published on 10/15/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $682,000 contingent coupon autocalls on S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Oct. 15 – Citigroup Global Markets Holdings Inc. priced $682,000 of autocallable contingent coupon equity-linked securities due Oct. 5, 2023 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 monthly coupon at an annual rate of 7.55% if each index closes at or above its 70% coupon barrier value on the observation date for that month, plus any previously unpaid coupon.
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 plus any coupon unless any index finishes below its 60% final barrier level, in which case investors will be exposed to the decline of the worst performing index.
Citigroup Global Markets Inc. is the underwriter.
| 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: | $682,000
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| Maturity: | Oct. 5, 2023
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| Coupon: | 7.55% annualized, payable monthly if each index closes at or above coupon barrier on valuation date for that month, plus any previously unpaid coupon
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above final barrier level, par plus any coupon; 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: | 11,255.69 for Nasdaq, 1,539.297 for Russell, 3,348.44 for S&P
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| Coupon barriers: | 7,878.983 for Nasdaq, 1,077.508 for Russell, 2,343.908 for S&P, 70% of initial levels
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| Final barrier level levels: | 6,753.414 for Nasdaq, 923.578 for Russell, 2,009.64 for S&P, 60% of initial levels
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| Pricing date: | Oct. 2
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| Settlement date: | Oct. 7
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.85%
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| Cusip: | 17328WVT2
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