Published on 8/18/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.5 million contingent coupon autocalls on ETFs
By Wendy Van Sickle
Columbus, Ohio, Aug. 18 – Citigroup Global Markets Holdings Inc. priced $1.5 million of autocalable contingent coupon equity-linked notes due Aug. 14, 2026 linked to the least performing of the iShares China Large-Cap ETF, SPDR Dow Jones industrial average ETF Trust and Technology Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 12.5% if each ETF closes at or above its 70% coupon barrier on the observation date for that month.
The notes will be called at par if each ETF closes at or above its initial level on any autocall date after six months.
The payout at maturity will be par unless any ETF closes below its 70% knock-in level, in which case investors will receive a number of shares of the least performing ETF equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent.
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 notes
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| Underlying ETFs: | iShares China Large-Cap ETF, SPDR Dow Jones industrial average ETF Trust and Technology Select Sector SPDR fund
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| Amount: | $1.5 million
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| Maturity: | Aug. 14, 2026
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| Coupon: | 12.5% annualized, payable monthly if each ETF closes at or above coupon barrier on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless any ETF closes below its knock-in level, in which case investors will receive a number of shares of the least performing ETF equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent
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| Call: | At par if each ETF closes at or above its initial level on any monthly call date after six months
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| Initial prices: | $42.27 for China ETF, $277.19 for Dow ETF, $111.38 for tech fund
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| Coupon barrier levels: | $29.589 for China ETF, $194.033 for Dow ETF, $77.966 for tech fund; 70% of initial prices
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| Knock-in levels: | $29.589 for China ETF, $194.033 for Dow ETF, $77.966 for tech fund; 70% of initial prices
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| Pricing date: | Aug. 7
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| Settlement date: | Aug. 12
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.25%
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| Cusip: | 17328WJE9
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