Published on 5/11/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $640,000 contingent coupon autocallables on Dow, Russell, S&P ETFs
By Wendy Van Sickle
Columbus, Ohio, May 11 – Citigroup Global Markets Holdings Inc. priced $640,000 of autocallable contingent coupon equity-linked securities due May 11, 2023 linked to the worst performing of the SPDR Dow Jones Industrial Average ETF trust, the iShares Russell 2000 exchange-traded fund and the SPDR S&P 500 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a semiannual contingent coupon at an annual rate of 9% if each ETF closes at or above its coupon barriers, 60% of their initial levels, on the valuation date for that period.
The notes will automatically be called at par plus the coupon if each ETF closes at or above its 80% call levels on any semiannual valuation date other than the final valuation date.
If the notes are not called and each ETF finishes at or above its 60% final barriers, investors will receive par plus the final coupon. Otherwise, the payout will be a number of shares of the least-performing ETF equal to $1,000 divided by its initial share price or, at the issuer’s option, the cash value.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying assets: | SPDR Dow Jones Industrial Average ETF trust, iShares Russell 2000 ETF and SPDR S&P 500 ETF trust
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| Amount: | $640,000
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| Maturity: | May 11, 2023
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| Coupon: | 9% per year, payable semiannually if each ETF closes at or above their coupon barrier on valuation date for that period
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| Price: | Par
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| Payout at maturity: | If each ETF finishes at or above their final barrier levels, par plus coupon; otherwise, number of shares of lesser-performing ETF equal to its equity ratio or, at issuer’s option, cash value
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| Call: | At par plus the coupon if each ETF closes at or above 80% call level on any semiannual valuation date
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| Initial levels: | $237.28 for SPDR Dow, $125.14 for iShares Russell and $282.79 for SPDR S&P
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| Coupon barrier values: | $142.368 for SPDR Dow, $75.084 for iShares Russell and $169.674 for SPDR S&P, 60% of initial levels
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| Final barrier values: | $142.368 for SPDR Dow, $75.084 for iShares Russell and $169.674 for SPDR S&P, 60% of initial levels
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| Equity ratios: | 4.21443 for SPDR Dow, 8.49329 for iShares Russell and 3.53619 for SPDR S&P
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| Strike date: | May 1
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| Pricing date: | May 4
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| Settlement date: | May 11
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.65%
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| Cusip: | 17324XYF1
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