Published on 12/5/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.07 million contingent coupon autocalls on S&P, Russell, Dow
By Taylor Fox
New York, Dec. 7 – Citigroup Global Markets Holdings Inc. priced $3.07 million of market-linked securities – autocallable with contingent coupon and contingent downside – due Nov. 29, 2024 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.
The notes will pay a contingent quarterly coupon at an annual rate of 9% if each index closes at or above its 80% 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 after six months.
The payout at maturity will be par plus any coupon unless any index finishes below its 80% 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. Wells Fargo Securities, LLC is the dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Market-linked securities – autocallable with contingent coupon and contingent downside
|
| Underlying indexes: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
|
| Amount: | $3,073,000
|
| Maturity: | Nov. 29, 2024
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| Coupon: | 9% annualized, payable quarterly if each index closes at or above coupon barrier on valuation date for that quarter
|
| Price: | Par
|
| 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
|
| Call: | At par if each index closes at or above its initial level on any quarterly call review date after six months
|
| Initial levels: | 29,638.64 for Dow, 1,819.816 Russell, 3,621.63 for S&P
|
| Coupon barriers: | 23,710.912 for Dow, 1,455.8528 for Russell, 2,897.304 for S&P, 80% of initial levels
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| Final barrier level levels: | 23,710.912 for Dow, 1,455.8528 for Russell, 2,897.304 for S&P, 80% of initial levels
|
| Pricing date: | Nov. 30
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| Settlement date: | Dec. 3
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Dealer: | Wells Fargo Securities, LLC
|
| Fees: | 2.175%
|
| Cusip: | 17328WPK8
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