Published on 8/11/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.48 million contingent coupon autocalls on ETFs
By Sarah Lizee
Olympia, Wash., Aug. 11 – Citigroup Global Markets Holdings Inc. priced $1.48 million of autocalable contingent coupon equity-linked notes due Aug. 2, 2024 linked to the least performing of the iShares Russell 2000 ETF 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 10.5% 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 call level on any quarterly autocall date. The call level for each asset will be 100% of its initial level on the first call date, stepping down by 2% on each quarterly call date.
The payout at maturity will be par unless either ETF closes below its 70% knock-in level, in which case investors will receive a number of shares of the lesser 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 Russell 2000 ETF and the SPDR S&P 500 ETF Trust
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| Amount: | $1,483,000
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| Maturity: | Aug. 2, 2024
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| Coupon: | 10.5% 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 either ETF closes below its knock-in level, in which case investors will receive a number of shares of the lesser performing ETF equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent
|
| Call: | At par if each ETF closes at or above its call level on any quarterly autocall date; call level for each asset will be 100% of its initial level on the first call date, stepping down by 2% on each quarterly call date
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| Initial prices: | $148.76 for Russell ETF, $323.96 for S&P ETF
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| Coupon barrier levels: | $104.132 for Russell ETF, $226.772 for S&P ETF; 70% of initial prices
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| Knock-in levels: | $104.132 for Russell ETF, $226.772 for S&P ETF; 70% of initial prices
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| Pricing date: | July 30
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| Settlement date: | Aug. 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17324XS43
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