Published on 12/17/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.44 million contingent coupon autocalls on ETFs
By Kiku Steinfeld
Chicago, Dec. 17 – Citigroup Global Markets Holdings Inc. priced $2.44 million of autocallable contingent coupon equity-linked notes due Dec. 18, 2023 linked to the least performing of the Invesco QQQ Trust, series 1, 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 7% 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 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: | Invesco QQQ Trust, series 1, iShares Russell 2000 ETF and SPDR S&P 500 ETF Trust
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| Amount: | $2.44 million
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| Maturity: | Dec. 18, 2023
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| Coupon: | 7% annualized, payable semiannually 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 semiannual call date
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| Initial prices: | $308.29 for QQQ, $190.80 for Russell ETF, $370.17 for S&P ETF
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| Coupon barrier levels: | $215.803 for QQQ, $133.560 for Russell ETF, $259.119 for S&P ETF; 70% of initial prices
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| Knock-in levels: | $200.389 for QQQ, $124.020 for Russell ETF, $240.611 for S&P ETF; 65% of initial prices
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| Equity ratios: | 3.24370 for QQQ, 5.24109 for Russell ETF, 2.70146 for S&P ETF
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| Pricing date: | Dec. 9
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| Settlement date: | Dec. 16
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17328NAC2
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