Published on 12/22/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $500,000 contingent coupon autocalls on ETFs
By Wendy Van Sickle
Columbus, Ohio, Dec. 22 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocalable contingent coupon equity-linked notes due Dec. 20, 2022 linked to the least performing of the iShares Russell 2000 Value ETF, the SPDR Dow Jones industrial average ETF trust and the SPDR S&P 500 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 7.5% if each ETF closes at or above its 75% coupon barrier on the observation date for that period.
The notes will be called at par if each ETF closes at or above its initial level on any quarterly autocall date.
The payout at maturity will be par unless any ETF closes below its 70% knock-in level, in which case investors will be fully exposed to the loss of the least performing ETF.
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 Russell 2000 Value ETF, SPDR Dow Jones industrial average ETF trust and SPDR S&P 500 ETF trust
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| Amount: | $500,000
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| Maturity: | Dec. 21, 2022
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| Coupon: | 7.5% annualized, payable monthly if each ETF closes at or above coupon barrier on observation date for that period
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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 full exposure to loss of least performing ETF
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| Call: | At par if each ETF closes at or above its initial level on any quarterly call date
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| Initial prices: | $130.89 for Russell, $302.15 for Dow, $370.17 for S&P
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| Coupon barrier levels: | $98.168 for Russell, $226.613 for Dow, $277.628 for S&P; 75% of initial prices
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| Knock-in levels: | $91.623 for Russell, $211.505 for Dow, $259.119for S&P; 70% of initial prices
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| Pricing date: | Dec. 16
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| Settlement date: | Dec. 21
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17328NAQ1
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