By Sarah Lizee
Olympia, Wash., Dec. 23 – Citigroup Global Markets Holdings Inc. priced $16.72 million securities due Feb. 1, 2021 linked to the Citi Commodities F3 vs F0 – 4X Leveraged index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The underlying index includes four times leverage, reset monthly, with respect to the spread between (a) the aggregate performance of the three-month forward versions of the single-commodity sub-indexes for each of the commodities included in the Bloomberg Commodity index (the “BCOMF3 sub-indices”) and (b) the aggregate performance of the standard (i.e., non-forward) versions of the same single-commodity sub-indexes (the “BCOMF0 sub-indices”).
In turn, the supplemental return amount includes three times leverage with respect to the cumulative performance of the underlying index from the initial valuation date to the commodity business day on which the supplemental return amount is determined.
As a result of the four times leverage embedded in the underlying index, any underperformance of the BCOMF3 sub-indices relative to the BCOMF0 sub-indices over any given month will cause a percentage decline in the value of the underlying index that is four times greater than that underperformance.
As a result of the three times leverage embedded in the calculation of the supplemental return amount, any percentage decline in the value of the underlying index over the term of the securities will result in a loss on a security holder’s investment that is three times that percentage decline.
This three times leverage with respect to the cumulative performance of the underlying index, on top of the underlying index’s four times leverage, reset monthly, with respect to the spread between the BCOMF3 sub-indices and the BCOMF0 sub-indices, results in very significant overall leverage with respect to the performance of that spread.
The securities will bear interest at one-month Libor minus 16 basis points, subject to a minimum of zero. Interest will be paid at maturity.
The payout at maturity will be par plus the supplemental return amount.
On any day during the life of the notes, the supplemental return amount will equal (a) $1,000 times (b) 3 times (c) (i) the index return from the initial valuation date to the current day, minus (ii) 0.8% per year.
The notes are putable, subject to a minimum redemption of 100 securities.
If the underlying index closes at or below 85% of the starting value on any day, the notes will be called.
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: | Securities
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| Underlying index: | Citi Commodities F3 vs F0 – 4X Leveraged index
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| Amount: | $16,723,000
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| Maturity: | Feb. 1, 2021
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| Coupon: | One-month Libor minus 16 bps, floor of zero; payable at maturity
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| Price: | Par of $1,000
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| Payout at maturity: | Par plus the supplemental return amount
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| Supplemental return amount: | On any day during the life of the notes, (a) $1,000 times (b) 3 times (c) (i) the index return from the initial valuation date to the current day, minus (ii) 0.8% per year
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| Call: | If the underlying index closes at or below 85% of the starting value
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| Put option: | Subject to a minimum redemption of 100 securities
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| Initial index level: | 135.64
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| Pricing date: | Dec. 4
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| Settlement date: | Dec. 11
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17327TT71
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