Citigroup plans to price three offerings of green structured products

By Angela McDaniels

Tacoma, Wash., March 7 – Citigroup Global Markets Holdings Inc. announced plans to price three green structured products, according to 424B2 filings with the Securities and Exchange Commission.

Proceeds will be used to finance or refinance loans and/or investments made by Citigroup for assets or projects that meet its green bond eligibility criteria.

Eligible project categories include renewable energy, energy efficiency, water quality and conservation, sustainable transportation and green building.

Excluded are large-scale hydropower plants, nuclear power plants and fossil fuel projects.

For each offering, Citigroup Global Markets Inc. is the underwriter and UBS Financial Services Inc. is the agent.

The notes will be guaranteed by Citigroup Inc.

Trigger step notes

The company plans to price 0% trigger step securities due March 30, 2023 linked to the S&P 500 index.

If the index return is zero or positive, the payout at maturity will be par of $10 plus the greater of the step return and the index return. The step return is expected to be 30.8% to 35.8% and will be set at pricing. Investors will receive par if the index declines by 25% or less and will be fully exposed to the index’s decline from its initial level if it declines beyond 25%.

These notes (Cusip: 17326W449) will price March 26.

Market-linked notes

In addition, the company plans to price 0% market-linked notes due March 28, 2024 linked to an equally weighted basket consisting of the Euro Stoxx 50 index, the S&P 500 and the Topix index.

If the basket return is positive, the payout at maturity will be par plus 110% to 115% of the basket return. If the basket return is zero or negative, the payout will be par.

These notes (Cusip: 17326YF68) will price March 27.

Autocallable notes

Finally, the company plans to price trigger autocallable contingent yield notes due March 29, 2029 linked to the lesser performing of the S&P 500 and the MSCI Emerging Markets index.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter. The contingent coupon rate is expected to be 7% to 7.5% per year and will be set at pricing.

Beginning March 27, 2020, the notes will be automatically called at par of $10 if each index closes at or above its initial level on any quarterly observation date.

The payout at maturity will be par unless either index finishes below its downside threshold level, 50% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.

These notes (Cusip: 17326W365) will price March 27.

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