Published on 3/12/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $14.31 million trigger callable contingent yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 12 – Citigroup Global Markets Holdings Inc. priced $14.31 million of trigger callable contingent yield notes due March 11, 2030 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at a rate of 7.36% per year if each index closes at or above its coupon barrier, 70% of its initial level, on the valuation date that quarter.
The notes are callable at par of $10 plus any coupon due on any quarterly coupon payment date.
If the notes are not called and each index finishes at or above its downside threshold, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the selling agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger callable contingent yield notes
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and MSCI Emerging Markets
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| Amount: | $14,305,00
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| Maturity: | March 11, 2030
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| Coupon: | 7.36% per year, payable quarterly if each index closes at or above its coupon barrier on valuation date that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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| Call option: | At par plus any coupon due on any quarterly coupon payment date
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| Initial levels: | 1,012.08 for MSCI Emerging Markets, 1,449.221 for Russell 2000 and 3,232.07 for Euro Stoxx 50
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| Coupon barriers: | 708.456 for MSCI Emerging Markets, 1,014.455 for Russell 2000 and 2,262.449 for Euro Stoxx 50, or 70% of initial levels
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| Downside thresholds: | 506.04 for MSCI Emerging Markets, 724.611 for Russell 2000 and 1,616.035 for Euro Stoxx 50, or 50% of initial levels
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| Pricing date: | March 6
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| Settlement date: | March 11
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| Underwriter: | Citigroup Global Markets Inc.
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| Selling agent: | UBS Financial Services Inc.
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| Fees: | 3.5%
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| Cusip: | 17327U871
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