Published on 10/23/2019 in the Prospect News Structured Products Daily.
New Issue: Citi prices $455,000 autocallable contingent coupon notes on four indexes
By Kiku Steinfeld
Chicago, Oct. 23 – Citigroup Global Markets Holdings Inc. priced $455,000 of autocallable contingent coupon equity-linked securities due Oct. 3, 2030 linked to the worst performing of the S&P 500 index, the Russell 2000 index, the Euro Stoxx Banks index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each quarter, the notes pay a contingent coupon at an annual rate of 9.35% if all underliers close at or above their coupon barriers, 55% of their initial levels, on the valuation date for that quarter.
The notes will automatically be called at par plus the coupon if all underliers close at or above their initial levels on any quarterly valuation date other than the final one.
The payout at maturity will be par plus the coupon if all underliers close at or above their 55% final barrier values.
Otherwise, investors will be fully exposed to the losses of the worst performing index.
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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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx Banks, Nasdaq-100
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| Amount: | $455,000
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| Maturity: | Oct. 3, 2030
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| Coupon: | 9.35% per year, payable quarterly if each underlier closes at or above its coupon barrier on the valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | If all underliers close at or above their 55% final barrier value, par plus the coupon; otherwise, full exposure to loss of least performing index
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| Call: | At par plus the coupon if all underliers close at or above their initial levels on any quarterly observation date beginning in January 2020 and ending in July 2030
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| Initial levels: | 2,961.79 for S&P, 1,520.476 for Russell, 87.15 for Stoxx and 7,681.579 for Nasdaq
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| Coupon barrier levels: | 1,628.985 for S&P, 836.262 for Russell, 47.933 for Stoxx and 4,224.868 for Nasdaq, 55% of initial levels
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| Final barrier values: | 1,628.985 for S&P, 836.262 for Russell, 47.933 for Stoxx and 4,224.868 for Nasdaq, 55% of initial levels
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| Pricing date: | Sept. 30
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| Settlement date: | Oct. 3
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17327TXX9
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