Published on 4/26/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $613,000 contingent coupon autocallables on indexes
By Kiku Steinfeld
Chicago, April 27 – Citigroup Global Markets Holdings Inc. priced $613,000 of autocallable contingent coupon equity linked securities due April 26, 2030 linked to the worst performing of the Dow Jones industrial average, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Global Markets Inc.
Each quarter, the notes will pay a contingent coupon at an annual rate of 11.25% if each underlying asset closes at or above its 70% coupon barrier on the observation date for that period.
The notes are called at par plus the contingent coupon if each asset closes at or above its initial level on any quarterly determination date.
The payout at maturity will be par plus the contingent coupon, if any, unless any underlying asset finishes below its 60% barrier level, in which case investors will be fully exposed to any losses of the worst performing asset.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Global Markets Inc.
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| Issue: | Autocallable contingent coupon equity linked securities
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| Underlying assets: | Dow Jones industrial average, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $613,000
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| Maturity: | April 26, 2030
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| Coupon: | 11.25% annualized, payable each quarter that each asset 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 plus any final contingent coupon, unless any index finishes below final barrier level, in which case 1% loss for each 1% decline of worst performing index
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| Call: | At par plus contingent coupon if each asset closes at or above its initial level on any quarterly determination date
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| Initial levels: | 23,475.82 for Dow, 1,201.523 for Russell, 2,834.90 for Stoxx
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| Coupon barriers: | 16,433.074 for Dow, 841.066 for Russell, 1,984.430 for Stoxx; 70% of initial levels
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| Final barrier levels: | 14,085.492 for Dow, 720.914 for Russell, 1,700.940 for Stoxx; 60% of initial levels
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| Pricing date: | April 22
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| Settlement date: | April 27
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.7%
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| Cusip: | 17328VJR2
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