Published on 2/13/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $3.09 million callable contingent coupon notes on indexes
By Sarah Lizee
Olympia, Wash., Feb. 13 – Citigroup Global Markets Holdings Inc. priced $3.09 million of callable contingent coupon equity-linked securities due Feb. 7, 2025 linked to the worst performing of the Euro Stoxx 50 index, the MSCI Emerging Markets index and the S&P MidCap 400 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent quarterly coupon at an annualized rate of 9.25% if each index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes will be callable in whole at par plus any coupon due on any quarterly call valuation date after six months.
If each index finishes at or above its final barrier level, 60% of its initial level, the payout at maturity will be par plus the coupon, if any. Otherwise, investors will be fully exposed to the decline of the least-performing index.
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: | Callable contingent coupon equity-linked securities
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| Underlying indexes: | Euro Stoxx 50 index, MSCI Emerging Markets index and S&P MidCap 400 index,
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| Amount: | $3,091,000
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| Maturity: | Feb. 7, 2025
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| Contingent coupon: | 9.25% per year, payable quarterly when each index closes at or above coupon barrier on the valuation date for that period
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above final barrier, par plus any coupon; otherwise, full exposure to losses of least-performing index
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| Call option: | In whole at par plus any coupon due on any quarterly call valuation date after six months
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| Initial levels: | 3,736.36 for Stoxx, 1,097.51 for EM, 2,046.66 for MidCap
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| Coupon barriers: | 2,615.452 for Stoxx, 768.257 for EM, 1,432.662 for MidCap; 70% of initial levels
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| Final barriers: | 2,241.816 for Stoxx, 658.506 for EM, 1,227.996 for MidCap; 60% of initial levels
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| Pricing date: | Jan. 29
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| Settlement date: | Feb. 3
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17327TH82
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