Published on 3/30/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $776,000 autocallable securities on Stoxx, S&P
By Sarah Lizee
Olympia, Wash., March 30 – Citigroup Global Markets Holdings Inc. priced $776,000 of 0% autocallable securities due March 27, 2024 linked to the worst performing of the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will be called at par plus a premium of 16.15% per year if each asset closes at or above its initial level on any annual call valuation date.
The premium for the final valuation date is 64.6% and will be paid if each index closes above its initial level.
Otherwise, the payout at maturity will be par unless either underlying asset finishes below its 70% barrier level, in which case investors will lose 1% for every 1% that the worst performing index declines.
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 assets: | S&P 500 index, Euro Stoxx 50 index
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| Amount: | $776,000
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| Maturity: | March 27, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 64.6% if each index finishes above initial level; par if lesser-performing underlying asset falls by up to barrier level; otherwise, 1% loss for every 1% that lesser performing index declines
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| Call: | At par plus a premium of 16.15% per year if each asset closes at or above its initial value on any annual call valuation date
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| Initial levels: | 2,304.92 for S&P, 2,548.50 for Stoxx
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| Barrier levels: | 1,613.444 for S&P, 1,783.95 for Stoxx; 70% of initial values
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| Pricing date: | March 20
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| Settlement date: | March 27
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 2%
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| Cusip: | 22551NRY4
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