Published on 3/16/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $4.98 million trigger callable contingent yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 16 – Citigroup Global Markets Holdings Inc. priced $4.98 million of trigger callable contingent yield notes due June 15, 2023 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at a rate of 10.75% per year if each index closes at or above its coupon barrier, 65% of its initial level, on every day that quarter.
The notes are callable at par of $10 plus any coupon due on any quarterly coupon payment date.
If the notes are not called and each index finishes at or above its downside threshold, 55% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the selling agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $4,975,000
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| Maturity: | June 15, 2023
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| Coupon: | 10.75% per year, payable quarterly if each index closes at or above its coupon barrier on every day that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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| Call option: | At par plus any coupon due on any quarterly coupon payment date
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| Initial levels: | 2,741.38 for S&P, 1,264.296 for Russell 2000 and 2,905.56 for Euro Stoxx 50
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| Coupon barriers: | 1,781.897 for S&P, 821.792 for Russell 2000 and 1,888.614 for Euro Stoxx 50, or 65% of initial levels
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| Downside thresholds: | 1,507.759 for S&P, 695.363 for Russell 2000 and 1,598.058 for Euro Stoxx 50, or 55% of initial levels
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| Pricing date: | March 11
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| Settlement date: | March 16
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| Underwriter: | Citigroup Global Markets Inc.
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| Selling agent: | UBS Financial Services Inc.
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| Fees: | 1.25%
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| Cusip: | 17327U368
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