Published on 12/18/2019 in the Prospect News Structured Products Daily.
New Issue: Citi prices $5.23 million market-linked notes due 2023 tied to S&P, Stoxx, Russell
By Wendy Van Sickle
Columbus, Ohio, Dec. 18 – Citigroup Global Markets Holdings Inc. priced $5.23 million of 0% market-linked securities — autocallable with contingent coupon and contingent downside due Dec. 14, 2023 linked to the worst performing of the Euro Stoxx 50 index, 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 will pay a contingent quarterly coupon at an annual rate of 6% if each index closes at or above its 65% 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 65% 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 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, Euro Stoxx 50 index
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| Amount: | $5,233,000
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| Maturity: | Dec. 14, 2023
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| Coupon: | 0%
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| Price: | Par
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| Coupon: | 6% annualized, payable quarterly if each index closes at or above 65% 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 35%, 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 after six months
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| Initial levels: | 3,141.63 for S&P, 1,631.926 for Russell and 3,687.45 for Stoxx
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| Downside thresholds: | 2,042.0595 for S&P, 1,060.7519 for Russell and 2,396.8425 for Stoxx; 65% of initial levels Pricing date: | Dec. 11
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| Settlement date: | Dec. 16
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities
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| Fee: | 2.04%
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| Cusip: | 17327TYY6
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