Published on 3/11/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $52,000 contingent coupon autocallables linked to indexes, ETFs
By Sarah Lizee
Olympia, Wash., March 11 – Citigroup Global Markets Holdings Inc. priced $52,000 of autocallable contingent coupon equity-linked securities due June 3, 2021 linked to the least performing of the Euro Stoxx Banks index, the Russell 2000 index, the VanEck Vectors Gold Miners ETF and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes pay a contingent coupon at the rate of 11.15% per year if the least-performing underlier closes at or above its coupon barrier value, 65% of its initial share price, on the valuation date for that period.
Beginning in August, the notes will be automatically called at par plus the coupon if the least-performing underlier closes at or above its initial level on any monthly call observation date.
The payout at maturity will be par unless the least-performing underlier finishes below its initial level and any underlier ever closes below its knock-in value, 65% of its initial level, during the life of the notes, in which case investors will lose 1% for every 1% that the least-performing underlier declines from its initial level.
The notes are guaranteed by Citigroup Inc.
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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| Underliers: | Euro Stoxx Banks index, Russell 2000 index, VanEck Vectors Gold Miners ETF and iShares MSCI Emerging Markets ETF
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| Amount: | $52,000
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| Maturity: | June 3, 2021
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| Coupon: | 11.15% per year, payable monthly if least-performing underlier closes at or above coupon barrier value on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless least-performing underlier finishes below initial level and any underlier ever closes below knock-in level, in which case 1% loss for every 1% that least-performing underlier declines from initial level
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| Call: | Beginning in August, automatically at par plus coupon if least-performing underlier closes at or above initial level on any monthly call observation date
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| Initial levels: | 84.20 for Stoxx, 1,476.431 for Russell, $26.22 for gold ETF, $40.52 for EM ETF
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| Coupon barriers: | 54.730 for Stoxx, 959.680 for Russell, $17.043 for gold ETF, $26.338 for EM ETF, 65% of initial levels
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| Knock-in levels: | 54.730 for Stoxx, 959.680 for Russell, $17.043 for gold ETF, $26.338 for EM ETF, 65% of initial levels
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| Pricing date: | Feb. 28
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| Settlement date: | March 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17327T3F1
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