Published on 2/24/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.12 million contingent coupon autocallables linked to index, ETFs
By Wendy Van Sickle
Columbus, Ohio, Feb. 24 – Citigroup Global Markets Holdings Inc. priced $1.12 million of autocallable contingent coupon equity-linked securities due Feb. 23, 2024 linked to the least performing of the Russell 2000 index, the SPDR S&P Oil & Gas Exploration & Production ETF and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at the rate of 7% per year if the least-performing underlier closes at or above its coupon barrier value, 55% of its initial share price, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if the least-performing underlier closes at or above its initial level on any quarterly call observation date.
The payout at maturity will be par unless any underlier finishes below 55% of its initial level, in which case investors will lose 1% for every 1% that the least-performing underlier declines.
The notes are guaranteed by Citigroup Inc.
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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| Underliers: | Russell 2000 index, SPDR S&P Oil & Gas Exploration & Production ETF and iShares MSCI EAFE ETF
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| Amount: | $1,116,000
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| Maturity: | Feb. 23, 2024
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| Coupon: | 7% per year, payable quarterly if least-performing underlier closes at or above coupon barrier value on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless the any underlier finishes below knock-in level, in which case investors will lose 1% for every 1% that the least-performing underlier declines
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| Call: | Automatically at par plus the coupon if the least-performing underlier closes at or above its initial level on any quarterly call observation date
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| Initial levels: | $19.13 for oil and gas ETF, $68.99 for EAFE ETF, 1,692.573 for index
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| Coupon barriers: | $10.522 for oil and gas ETF, $37.945 for EAFE ETF, 930.915 for index, 55% of initial levels
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| Knock-in levels: | $10.522 for oil and gas ETF, $37.945 for EAFE ETF, 930.915 for index, 55% of initial levels
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| Pricing date: | Feb. 19
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| Settlement date: | Feb. 24
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.75%
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| Cusip: | 17327T6Z4
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