Published on 3/25/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.5 million callable contingent coupon notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, March 25 – Citigroup Global Markets Holdings Inc. priced $1.5 million of callable contingent coupon equity-linked securities due March 17, 2022, linked to the worst performing of the iShares MSCI EAFE ETF, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent quarterly coupon at an annualized rate of 10.4% if each asset closes at or above its coupon barrier level, 80% of its initial level, on the valuation date for that period.
The notes will be callable in whole at par plus any coupon due on any valuation date after six months.
If each asset finishes at or above its final barrier level, 60% of its initial level, the payout at maturity will be par plus the coupon, if any. Otherwise, investors will be fully exposed to the decline of the least-performing asset.
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: | Callable contingent coupon equity-linked securities
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| Underlying assets: | iShares MSCI EAFE ETF, S&P 500 and Russell 2000 index
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| Amount: | $1.5 million
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| Maturity: | March 17, 2022
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| Contingent coupon: | 10.4% per year, payable quarterly if each asset closes at or above coupon barrier on the valuation date for that period
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| Price: | Par
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| Payout at maturity: | If each asset finishes at or above final barrier, par plus any coupon; otherwise, full exposure to losses of least-performing asset
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| Call option: | In whole at par plus any coupon due on any valuation date after six months
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| Initial levels: | $52.91 for ETF, 2,711.02 for S&P, 1,210.135 for Russell
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| Coupon barriers: | $42.328 for ETF, 2,168.816 for S&P, 968.108 for Russell; 80% of initial levels
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| Final barriers: | $31.746 for ETF, 1,626.612 for S&P, 726.081 for Russell; 60% of initial levels
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| Pricing date: | March 13
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| Settlement date: | March 18
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.25%
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| Cusip: | 17328VG61
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