Published on 8/21/2019 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.09 million contingent market-linked autocalls on indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 21 – Citigroup Global Markets Holdings Inc. priced $2.09 million of market-linked securities due Aug. 21, 2023 – autocallable with contingent coupon and contingent downside linked to the least 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.
The notes will pay a contingent quarterly coupon at an annual rate of 7.5% if each index closes at or above its 70% coupon threshold on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 70% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $2.09 million
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| Maturity: | Aug. 21, 2023
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| Coupon: | 7.5% annualized, payable quarterly if each index closes at or above 70% coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 30%, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any interest payment date beginning in February 2020
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| Initial levels: | 2,888.68 for S&P, 1,493.64 for Russell and 3,329.08 for Stoxx
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| Downside thresholds: | 2,022.076 for S&P, 1,045.548 for Russell and 2,330.356 for Stoxx; 70% of initial levels
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| Pricing date: | Aug. 16
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| Settlement date: | Aug. 21
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 2.175%
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| Cusip: | 17327TPB6
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