Published on 6/13/2019 in the Prospect News Structured Products Daily.
New Issue: Citi prices $5.73 million autocallable contingent coupon notes on indexes
Chicago, June 13 – Citigroup Global Markets Holdings Inc. priced $5.73 million of autocallable contingent coupon equity-linked securities due Aug. 6, 2020 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 6.75% if all underlyings close at or above their coupon barriers, 75% of their initial levels, on the valuation date for that month.
Beginning in August and ending in July 2020, the notes will automatically be called at par plus the coupon if all underlyings close at or above their initial levels on any monthly valuation date.
The payout at maturity will be par if all three underliers close above their initial levels or no underlier ever closes below its 65% knock-in level during the life of the notes.
Otherwise, investors will be fully exposed to the losses 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: | Autocallable contingent coupon equity-linked securities
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| Underlying assets: | S&P 500, Russell 2000 and the Euro Stoxx 50
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| Amount: | $5,734,000
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| Maturity: | Aug. 6, 2020
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| Coupon: | 6.75% 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 three indexes close above their initial level or no index has closed below its 65% knock-in level during the life of the notes, par; otherwise, full exposure to loss of least performing index
|
| Call: | At par plus the coupon if all underlyings close above their initial levels on a monthly observation date beginning in August and ending in July 2020
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| Initial levels: | 2,945.64 for S&P, 1,614.022 for Russell 2000 and 3,502.48 for Stoxx
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| Coupon barrier levels: | 2,209.230 for S&P, 1,210.517 for Russell 2000 and 2,626.860 for Stoxx, 75% of initial levels
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| Knock-in levels: | 1,914.666 for S&P, 1,049.114 for Russell 2000 and 2,276.612 for Stoxx, 65% of initial levels
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| Pricing date: | May 3
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| Settlement date: | May 8
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.225%
|
| Cusip: | 17326YHN9
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