Published on 3/16/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $4 million contingent coupon autocalls on indexes
By Wendy Van Sickle
Columbus, Ohio, March 16 – Citigroup Global Markets Holdings Inc. priced $4 million of autocallable contingent coupon equity-linked securities due March 14, 2025 linked to the least performing of the MSCI Emerging Markets index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup, Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 8.75% if each index closes at or above the 70% coupon barrier on the review date that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly review date after one year.
The payout at maturity will be par unless either index falls below the 70% threshold, in which case investors will be fully exposed to any decline of the worse performing index.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Global Markets Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying indexes: | MSCI Emerging Markets index and S&P 500 index
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| Amount: | $4 million
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| Maturity: | March 14, 2025
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| Coupon: | 8.75% annualized, payable quarterly if each index closes at or above coupon barrier on the review date that quarter
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| Price: | Par
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| Payout at maturity: | If each index closes above trigger, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly review date after one year
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| Initial levels: | 946.62 for Emerging Markets, 2,741.38 for S&P
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| Coupon barriers: | 662.634 for Emerging Markets, 1,918.966 for S&P, 70% of initial levels
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| Trigger levels: | 662.634 for Emerging Markets, 1,918.966 for S&P, 70% of initial levels
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| Pricing date: | March 11
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| Settlement date: | March 16
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 2.5%
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| Cusip: | 17328V4K3
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