Published on 5/21/2019 in the Prospect News Structured Products Daily.
New Issue: Citi prices $5.52 million autocallable contingent coupon notes on indexes
Chicago, May 21 – Citigroup Global Markets Holdings Inc. priced $5.52 million of autocallable contingent coupon equity-linked securities due May 3, 2024 linked to the worst performing of the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each month, the notes pay a contingent coupon at an annual rate of 7.5% if all underlyings close at or above their coupon barriers, 70% of their initial levels, on the valuation date for that month.
Beginning in April 2020 and ending in January 2024, the notes will automatically be called at par plus the coupon if all underlyings close at or above their initial levels on any quarterly valuation date.
If the notes are not called and all three underlyings finish at or above their 70% coupon barrier levels, investors will receive par plus the final coupon.
If the worst performing index finishes above its 60% final barrier value but below the 70% coupon barrier value, the payout will be par.
Otherwise, investors will be exposed to the losses of the worst performing underlying.
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 assets: | Dow Jones industrial average, Russell 2000 and the Nasdaq-100
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| Amount: | $5,522,000
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| Maturity: | May 3, 2024
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| Coupon: | 7.5% per year, payable monthly if each underlying close at or above its coupon barrier on the valuation date for that month
|
| Price: | Par
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| Payout at maturity: | If all underlyings finish above their coupon barrier levels, par plus coupon; if worst performing finishes above 60% final barrier value and below 70% coupon value, par; otherwise, full exposure to the losses of the worst performing underlying
|
| Call: | At par plus the coupon if all underlyings close above their initial levels on a quarterly observation date beginning in April 2020 and ending in January 2024
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| Initial levels: | 26,592.91 for Dow, 1,591.211 for Russell 2000 and 7,781.456 for Nasdaq
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| Coupon barrier levels: | 18,615.037 for Dow, 1,113.848 for Russell 2000 and 5,447.019 for Nasdaq, 70% of initial levels
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| Final barrier levels: | 15,955.746 for Dow, 954.727 for Russell 2000 and 4,668.874 for Nasdaq, 60% of initial levels
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| Pricing date: | April 30
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| Settlement date: | May 3
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17326YS31
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