Published on 3/5/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $163,000 contingent coupon autocallables on three ETFs
By Sarah Lizee
Olympia, Wash., March 5 – Citigroup Global Markets Holdings Inc. priced $163,000 of autocallable contingent coupon equity-linked securities due Feb. 28, 2025 linked to the worst performing of the Consumer Discretionary Select Sector SPDR fund, the Energy Select Sector SPDR fund and the Utilities Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a monthly contingent coupon at the rate of 7.4% per year if the least-performing ETF closes at or above its coupon barrier value, 70% of its initial share price, on the relevant valuation date.
Starting in August, the notes will be automatically called at par if the least-performing ETF closes at or above its initial share price on any valuation date.
The payout at maturity will be par unless the least-performing ETF finishes below its final barrier value, 60% of its initial share price, in which case investors will lose 1% for every 1% that the least-performing ETF declines from its initial price.
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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| Underlying ETFs: | Consumer Discretionary Select Sector SPDR fund, the Energy Select Sector SPDR fund and the Utilities Select Sector SPDR fund
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| Amount: | $163,000
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| Maturity: | Feb. 28, 2025
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| Coupon: | 7.4% per year, payable monthly if least-performing ETF 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 ETF finishes below final buffer value, in which case 1% loss for every 1% that least-performing ETF declines from initial level
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| Call: | Automatically at par if least-performing ETF closes at or above initial share price on any semiannual valuation date from August
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| Initial share prices: | $122.46 for Consumer, $49.36 for Energy, $68.05 for Utilities
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| Coupon barriers: | $85.722 for Consumer, $34.552 for Energy, $47.635 for Utilities, or 70% of initial share prices
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| Barrier values: | $73.476 for Consumer, $29.616 for Energy, $40.830 for Utilities, or 60% of initial share prices
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| Pricing date: | Feb. 25
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| Settlement date: | Feb. 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.3%
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| Cusip: | 17327TW28
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