Published on 3/13/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $4.72 million contingent coupon autocallables linked to indexes, ETFs
By Sarah Lizee
Olympia, Wash., March 13 – Citigroup Global Markets Holdings Inc. priced $4.72 million of autocallable contingent coupon equity-linked securities due June 9, 2021 linked to the least performing of the Euro Stoxx Banks index, the S&P 500 index, the VanEck Vectors Gold Miners ETF and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes pay a contingent coupon at the rate of 18% per year if the least-performing underlier closes at or above its coupon barrier value, 68% of its initial share price, on each day during that month.
Beginning in September, the notes will be automatically called at par plus the coupon if the least-performing underlier closes at or above its initial level on any monthly call observation date.
The payout at maturity will be par unless the least-performing underlier finishes below its initial level and any underlier ever closes below its knock-in value, 68% of its initial level, during the life of the notes, in which case investors will lose 1% for every 1% that the least-performing underlier declines from its initial level.
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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| Underliers: | Euro Stoxx Banks index, S&P 500 index, VanEck Vectors Gold Miners ETF and iShares MSCI Emerging Markets ETF
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| Amount: | $4,715,000
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| Maturity: | June 9, 2021
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| Coupon: | 18% per year, payable monthly if least-performing underlier closes at or above coupon barrier value on each day during that month
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| Price: | Par
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| Payout at maturity: | Par unless least-performing underlier finishes below initial level and any underlier ever closes below knock-in level, in which case 1% loss for every 1% that least-performing underlier declines from initial level
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| Call: | Beginning in September, automatically at par plus coupon if least-performing underlier closes at or above initial level on any monthly call observation date
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| Initial levels: | 80.89 for Stoxx, $41.85 for EM ETF, 3,130.12 for S&P, $29.13 for gold ETF
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| Coupon barriers: | 55.005 for Stoxx, $28.458 for EM ETF, 2,128.482 for S&P, $19.808 for gold ETF, 68% of initial levels
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| Knock-in levels: | 55.005 for Stoxx, $28.458 for EM ETF, 2,128.482 for S&P, $19.808 for gold ETF, 68% of initial levels
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| Pricing date: | March 4
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| Settlement date: | March 9
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.25%
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| Cusip: | 17328VBT6
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