Published on 3/5/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1 million contingent coupon autocallables on four ETFs
Chicago, March 5 – Citigroup Global Markets Holdings Inc. priced $1 million of autocallable contingent coupon equity-linked securities due March 5, 2025 linked to the worst performing of the Invesco QQQ Trust, Series 1, the iShares Russell 2000 ETF, the SPDR Euro Stoxx 50 ETF and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a semiannual contingent coupon at the rate of 7% per year if the least-performing ETF closes at or above its coupon barrier value, 60% of its initial share price, on the relevant valuation date.
Starting in August 2020, the notes will be automatically called at par if the least-performing ETF closes at or above its initial share price on any valuation date.
The payout at maturity will be par unless the least-performing ETF finishes below its final barrier value, 60% of its initial share price, in which case investors will lose 1% for every 1% that the least-performing ETF declines from its initial price, payable either in shares or cash.
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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| Underlying ETFs: | the Invesco QQQ Trust, Series 1, the iShares Russell 2000 ETF, the SPDR Euro Stoxx 50 ETF and the SPDR S&P 500 ETF Trust
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| Amount: | $1,000,000
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| Maturity: | March 5, 2025
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| Coupon: | 7% per year, payable semiannually if least-performing ETF 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 least-performing ETF finishes below final buffer value, in which case 1% loss for every 1% that least-performing ETF declines from initial level, payable in shares or cash
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| Call: | Automatically at par if least-performing ETF closes at or above initial share price on any semiannual valuation date from August 2020
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| Initial share prices: | $215.37 for Invesco, $156.31 for Russell, $37.31 for Stoxx, $312.65 for S&P
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| Coupon barriers: | $129.222 for Invesco, $93.786 for Russell, $22.386 for Stoxx, $187.590 for S&P, or 60% of initial share prices
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| Barrier values: | $129.222 for Invesco, $93.786 for Russell, $22.386 for Stoxx, $187.590 for S&P, or 60% of initial share prices
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| Equity ratios: | 4.64317 for Invesco, 6.39754 for Russell, 26.80247 for Stoxx, 3.19846 for S&P
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| Pricing date: | Feb. 25
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| Settlement date: | March 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17324XYB0
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