Published on 11/14/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.09 million autocallable securities with contingent coupon on indexes
By Taylor Fox
New York, Nov. 16 – Citigroup Global Markets Holdings Inc. priced $2.09 million of autocallable securities with contingent coupon and contingent downside due Oct. 21, 2024 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.
Each quarter, the notes pay a contingent coupon at the rate of 9.25% per year if each index closes at or above its coupon trigger, 75% of its initial level, on the observation date for that quarter.
Beginning April 2021, the notes will be called at par if each index closes at or above its initial level on any quarterly call observation date.
The payout at maturity will be par unless any index finishes below its 75% barrier level, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Issue: | Autocallable securities with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500, Russell 2000 and Nasdaq-100 index
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| Amount: | $2,086,000
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| Maturity: | Oct. 21, 2024
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| Coupon: | 9.25% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below barrier level, in which case 1% loss for every 1% that least-performing index declines from initial level
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| Call: | Beginning April 2021, automatically at par if each index closes at or above initial level on any quarterly call observation date
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| Initial levels: | 3,483.81 for S&P, 1,633.808 for Russell and 11,852.17 for Nasdaq
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| Coupon triggers: | 2,612.8575 for S&P, 1,225.356 for Russell and 8,889.1275 for Nasdaq, or 75% of initial levels
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| Barrier levels: | 2,612.8575 for S&P, 1,225.356 for Russell and 8,889.1275 for Nasdaq, or 75% of initial levels
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| Pricing date: | Oct. 16
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| Settlement date: | Oct. 21
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.175%
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| Cusip: | 17328WW61
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