Published on 6/24/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.23 million autocallable securities on S&P, Nasdaq, Dow
By Kiku Steinfeld
Chicago, June 24 – Citigroup Global Markets Holdings Inc. priced $1.23 million of 0% autocallable securities due June 19, 2025 linked to the worst performing of the Dow Jones industrial average, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will be automatically called at par plus a 15.7% annual call premium if each index closes at or above its call level on an annual review date other than the final review date. The call level will be 102% of the initial level on the first review date and will step up by 200 basis points per year to 108% on the fourth review date.
The premium for the final valuation date is 78.5% and will be paid if each index closes at or above 110% of its initial level.
Otherwise, the payout at maturity will be par unless any underlying asset finishes below its 65% barrier level, in which case investors will lose 1% for every 1% that the worst performing index declines.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Autocallable securities
|
| Underlying assets: | Dow Jones industrial average, S&P 500 index, Nasdaq-100 index
|
| Amount: | $1,229,000
|
| Maturity: | June 19, 2025
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 78.5% if each index finishes at or above 110% of its initial level; par if least-performing index finishes below 110% of its initial level but at or above barrier level; otherwise, 1% loss for every 1% that least performing index declines
|
| Call: | At par plus 15.7% annual call premium if each index closes at or above its call level on an annual review date other than final review date; call level will be 102% of initial level on first review date and will step up by 200 basis points per year to 108% on fourth review date.
|
| Initial levels: | 3,124.74 for S&P, 9,949.366 for Nasdaq, 26,289.98 for Dow
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| Barrier levels: | 2,031.081 for S&P, 6,467.088 for Nasdaq, 17,088.487 for Dow; 65% of initial values
|
| Pricing date: | June 16
|
| Settlement date: | June 19
|
| Agent: | Citigroup Global Markets Inc.
|
| Fees: | 1.125%
|
| Cusip: | 17328VVB3
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