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Published on 12/28/2020 in the Prospect News Structured Products Daily.

New Issue: Citigroup sells $675,000 contingent coupon autocalls on ETFs

By Wendy Van Sickle

Columbus, Ohio, Dec. 30 – Citigroup Global Markets Holdings Inc. priced $675,000 of autocalable contingent coupon equity-linked notes due Dec. 26, 2022 linked to the least performing of the iShares Russell 2000 ETF and the SPDR S&P 500 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent semiannual coupon at an annual rate of 6% 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 semiannual autocall date.

The payout at maturity will be par unless any ETF closes below its 65% knock-in level, in which case investors will be fully exposed to the loss of the least performing ETF.

Citigroup Global Markets Inc. is the underwriter.

Issuer:Citigroup Global Markets Holdings Inc.
Guarantor:Citigroup Inc.
Issue:Autocallable contingent coupon equity-linked notes
Underlying ETFs:iShares Russell 2000 ETF and SPDR S&P 500 ETF trust
Amount:$675,000
Maturity:Dec. 26, 2022
Coupon:6% annualized, payable semiannually if each ETF closes at or above coupon barrier on observation date for that period
Price:Par
Payout at maturity:Par unless any ETF closes below its knock-in level, in which case full exposure to loss of least performing ETF
Call:At par if each ETF closes at or above its initial level on any semiannual call date
Initial prices:$193.98 for Russell, $370.17 for S&P
Coupon barrier levels:$135.786 for Russell, $259.119 for S&P; 70% of initial prices
Knock-in levels:$126.087 for Russell, $240.611 for S&P; 65% of initial prices
Pricing date:Dec. 17
Settlement date:Dec. 24
Underwriter:Citigroup Global Markets Inc.
Fees:1.6%
Cusip:17328NBV9

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