Published on 8/6/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.81 million autocallable contingent coupon equity notes on four stocks
By Kiku Steinfeld
Chicago, Aug. 6 – Citigroup Global Markets Holdings Inc. priced $1.81 million of autocallable contingent coupon equity-linked securities due Aug. 2, 2023 linked to the stocks of Amazon.com, Inc., Apple Inc., Walt Disney Co. and Goldman Sachs Group, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 15% if each stock closes at or above the barrier price, 60% of the initial price, on the determination date for that period.
The notes will be automatically called at par plus the contingent coupon if each stock closes at or above its initial share price on any quarterly call observation date.
If the notes are not called and each stock finishes at or above barrier price, 60% of its initial level, the payout at maturity will be par plus the contingent coupon.
If the notes are not called and the worst performing stock finishes below 60% of its initial level, investors will receive a fixed number of underlying shares of the worst performing underlying or the cash value of those shares, thereby fully participating in the losses of the worst performing stock.
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 securities
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| Underlying stocks: | Amazon.com., Apple Inc., Walt Disney Co. and Goldman Sachs Group, Inc.
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| Amount: | $1,809,000
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| Maturity: | Aug. 2, 2023
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| Coupon: 15% annualized rate if each stock closes at or above the barrier price, 60% of the initial price, on the determination date for that period
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each stock closes at or above 60% of initial level; otherwise, a number of shares equal to the principal amount divided by the initial underlying value of the worst performing stock or the cash value of those shares
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| Call: | Automatically at par plus contingent coupon if each stock closes at or above initial level on any quarterly call observation date
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| Initial share prices: | $3,033.53 for Amazon, $380.16 for Apple, $202.58 for Goldman and $115.61 for Disney
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| Coupon barrier prices: | $1,820.118 for Amazon, $228.096 for Apple, $121.548 for Goldman and $69.366 for Disney; 60% of initial levels
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| Final barrier prices: | $1,820.118 for Amazon, $228.096 for Apple, $121.548 for Goldman and $69.366 for Disney; 60% of initial levels
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| Equity ratios: | 0.32965 for Amazon, 2.63047 for Apple, 4.93632 for Goldman and 8.64977 for Disney
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| Pricing date: | July 29
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| Settlement date: | July 31
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.25%
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| Cusip: | 17324XS84
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