Published on 5/24/2019 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million contingent coupon autocallables on ETF, indexes
By Marisa Wong
Morgantown, W.Va., May 24 – Citigroup Global Markets Holdings Inc. priced $1 million of autocallable contingent coupon equity linked securities due Aug. 4, 2020 linked to the worst performing of the S&P 500 index, Russell 2000 index, MSCI Emerging Markets index and VanEck Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each month, the notes will pay a contingent coupon at an annual rate of 11.45% if each underlying asset closes at or above its 65% coupon barrier on the observation date for that month.
The notes will be called at par if each underlying asset closes at or above its initial level on any monthly observation date beginning in October 2019 and ending in June 2020.
The payout at maturity will be par unless any underlying asset finishes below its initial level and any underlying asset closes below its 65% knock-in level on any day during the life of the notes, in which case investors will be fully exposed to the decline in the worst performing asset.
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 assets: | S&P 500 index, Russell 2000 index, MSCI Emerging Markets index and VanEck Vectors Gold Miners ETF
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| Amount: | $1 million
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| Maturity: | Aug. 4, 2020
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| Coupon: | 11.45% annualized, payable each month that each index closes at or above coupon barrier on observation date for that month
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless any underlying asset finishes below its initial level and any underlying asset closes below its knock-in level on any day during the life of the notes, in which case full exposure to the decline in the worst performing asset
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| Call: | At par if each index closes at or above initial level on any monthly observation date beginning in October 2019 and ending in June 2020
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| Initial levels: | 2,945.83 for S&P, 1,591.211 for Russell, 1,079.24 for MSCI EM, $20.89 for Gold Miners ETF
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| Coupon barriers: | 1,914.790 for S&P, 1,034.287 for Russell, 701.506 for MSCI EM, $13.579 for Gold Miners ETF; 65% of initial levels
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| Knock-in levels: | 1,914.790 for S&P, 1,034.287 for Russell, 701.506 for MSCI EM, $13.579 for Gold Miners ETF; 65% of initial levels
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| Pricing date: | April 30
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| Settlement date: | May 3
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.25%
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| Cusip: | 17326YSR8
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