Published on 5/15/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $895,000 autocallable securities on indexes
By Sarah Lizee
Olympia, Wash., May 15 – Citigroup Global Markets Holdings Inc. priced $895,000 of 0% autocallable securities due May 20, 2024 tied to the Russell 2000 index, the S&P 500 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
If each index closes at or above of its call level on any annual valuation date, the notes will be called at par plus a premium of 22% a year. The call level for each index will be 100% of its initial level.
If each index finishes at or above its initial level, the payout at maturity will be par plus 88%.
If the least performing index finishes below its initial level but not below the barrier level, 70% of the initial level, the payout will be par.
Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level.
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 securities
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| Underlying indexes: | Russell 2000 index, S&P 500 index and MSCI Emerging Markets index
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| Amount: | $895,000
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| Maturity: | May 20, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above its initial level, par plus 88%; if the least performing index finishes below its initial level but not below the barrier level, par; otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level
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| Call: | If each index closes at or above its call level on any annual valuation date, the notes will be called at par plus a premium of 22% a year; call level for each index will be 100% of its initial level
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| Initial levels: | 2,820 for S&P, 1,233.251 for Russell, 909.20 for MSCI EM
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| Final barriers: | 1,974 for S&P, 863.276 for Russell, 636.44 for MSCI EM; 70% of initial levels
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| Pricing date: | May 13
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| Settlement date: | May 20
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17328VUZ1
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