Published on 10/26/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $777,000 autocallable contingent coupon notes on Gold ETF, Nasdaq
By Taylor Fox
New York, Oct. 26 – Citigroup Global Markets Holdings Inc. priced $777,000 of autocallable contingent coupon equity-linked securities due Sept. 29, 2022 linked to the lesser performing of the VanEck Vectors Gold Miners ETF and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each month, the notes pay a contingent coupon at the rate of 12.75% per year if each asset closes at or above its barrier level, 80% of its initial level, on the observation date for that quarter.
The notes will be automatically called at par if each asset closes at or above its initial level on any autocall valuation date. The valuation dates are March 24, 2021, June 24, 2021, Sept. 24, 2021, Dec. 27, 2021, March 24, 2022 and June 24, 2022.
The payout at maturity will be par unless any asset finishes below its barrier level, 85% of its initial level, in which case investors will lose 1% for every 1% decline of the least performing asset beyond the 15% buffer.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable contingent coupon equity-linked securities
|
| Underlying assets: | VanEck Vectors Gold Miners ETF and Nasdaq-100
|
| Amount: | $777,000
|
| Maturity: | Sept. 29, 2022
|
| Coupon: | 12.75% per year, payable monthly if lesser-performing asset closes at or above barrier on valuation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any asset finishes below its barrier level, in which case 1% loss for every 1% decline of the least performing asset beyond 15% buffer
|
| Call: | Automatically called at par if lesser-performing asset closes at or above initial level on any autocall valuation date; valuation dates are March 24, 2021, June 24, 2021, Sept. 24, 2021, Dec. 27, 2021, March 24, 2022 and June 24, 2022
|
| Initial levels: | $38.69 for VanEck, 10,896.47 for Nasdaq
|
| Coupon barriers: | $30.952 for VanEck, 8,717.176 for Nasdaq; 80% of initial levels
|
| Buffer levels: | $32.887 for VanEck, 9,262.00 for Nasdaq; 85% of initial levels
|
| Pricing date: | Sept. 24
|
| Settlement date: | Sept. 29
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 2.5%
|
| Cusip: | 17328WNT1
|
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