Published on 8/20/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.5 million contingent coupon autocalls on ETFs
By Wendy Van Sickle
Columbus, Ohio, Aug. 20 – Citigroup Global Markets Holdings Inc. priced $1.5 million of autocalable contingent coupon equity-linked notes due Aug. 22, 2022 linked to the least performing of the Consumer Staples Select Sector SPDR fund, Health Care Select Sector SPDR fund and Utilities Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.65% if each ETF closes at or above its 70% coupon barrier on the observation date for that period.
The notes will be called at par if each ETF closes at or above its initial level on any quarterly autocall date after six months.
The payout at maturity will be par unless any ETF closes below its 70% knock-in level, in which case investors will receive a number of shares of the least 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: | Consumer Staples Select Sector SPDR fund, Health Care Select Sector SPDR fund and Utilities Select Sector SPDR fund
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Amount: | $1.5 million
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Maturity: | Aug. 22, 2022
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Coupon: | 8.65% annualized, payable quarterly if each ETF 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 unless any ETF closes below its knock-in level, in which case investors will receive a number of shares of the least performing ETF equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent
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Call: | At par if each ETF closes at or above its initial level on any quarterly call date after six months
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Initial prices: | $64.16 for Staples, $106.80 for Health, $60.88 for Utilities
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Coupon barrier levels: | $44.912 for Staples, $74.76 for Health, $42.666 for Utilities; 70% of initial prices
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Knock-in levels: | $44.912 for Staples, $74.76 for Health, $42.666 for Utilities; 70% of initial prices
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Pricing date: | Aug. 17
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Settlement date: | Aug. 20
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.4%
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Cusip: | 17328WM47
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