Published on 3/27/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $11.23 million barrier securities on linked to three indexes
By Wendy Van Sickle
Columbus, Ohio, March 27 – Citigroup Global Markets Holdings Inc. priced $11.23 million of 0% barrier securities due Sept. 28, 2023 linked to an equally weighted basket of the S&P MidCap 400 index, the Nasdaq-100 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 payout at maturity will be equal to the sum of the basket return amount and indexed principal amount.
If the final basket level is greater than its initial level, the basket return amount will be par plus 2 times the basket return up to a maximum of par plus 50%. Otherwise, the basket return will be zero.
if the final value of the worst performing index is greater than or equal to the barrier level, 70% of the initial level, the indexed principal amount will be par. If the worst performing index finishes below the barrier level, the indexed principal amount will be par minus the loss of the worst performing index.
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: | Barrier securities
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| Underlying indexes: | Nasdaq-100 index, S&P MicCap 400 index and S&P 500 index
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| Underlying basket: | Nasdaq-100 index, S&P MicCap 400 index and S&P 500 index, each with a 33.33% weight
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| Amount: | $11,231,000
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| Maturity: | Sept. 28, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Sum of the basket return amount and indexed principal amount
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| Basket return: | Par plus 2 times any gain, up to par plus 50%; if final basket level is less than or equal to initial level, zero
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| Indexed principal amount: | If final value of worst performing index is greater than or equal to barrier level, par; otherwise, par minus loss of worst performing index
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| Initial index levels: | 7,006.917 for Nasdaq, 1,218.55 for S&P MidCap 400, 2,237.4 for S&P 500
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| Barrier levels: | 4,904.842 for Nasdaq, 852.985 for S&P MidCap 400, 1,556.18 for S&P 500; 70% of initial levels
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| Strike date: | March 23
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| Pricing date: | March 24
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| Settlement date: | March 27
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.4%
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| Cusip: | 17328VAC4
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