Published on 3/19/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1 million autocallable securities on three indexes
By Wendy Van Sickle
Columbus, Ohio, March 19 – Citigroup Global Markets Holdings Inc. priced $1 million of 0% autocallable securities due March 14, 2025 tied to the S&P 500 index, the Russell 2000 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.
Starting March 10, 2021, if each index closes at or above of its initial level on any quarterly valuation date, the notes will be called at par plus a premium of 8.85% a year.
If each index finishes at or above its call level, the payout will be par plus 44.25%.
If the least performing index falls by more than the call 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 agent.
| 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: | S&P 500, Russell 2000, MSCI Emerging Markets
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| Amount: | $1 million
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| Maturity: | March 14, 2025
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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 call level, par plus 44.25%; if the least performing index falls by more than call level but not below the barrier level, par; 1% for each 1% decline of the worst performing index from its initial level if it falls beyond barrier level
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| Call: | Starting March 10, 2021, if each index closes at or above its initial level on any quarterly valuation date, the notes will be called at par plus a premium of 8.85% a year
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| Initial levels: | 1,350.898 for Russell, 2,882.23 for S&P, 964.55 for EAFE
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| Trigger values: | 945.629 for Russell, 2,017.561 for S&P, 675.185 for EAFE; 70% of initial levels
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| Final barriers: | 675.449 for Russell, 1,441.115 for S&P, 482.275 for EAFE; 50% of initial levels
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| Pricing date: | March 10
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| Settlement date: | March 13
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.25%
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| Cusip: | 17328VE30
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