Published on 1/9/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.37 million callable contingent coupon notes on indexes
By Sarah Lizee
Olympia, Wash., Jan. 9 – Citigroup Global Markets Holdings Inc. priced $2.37 million of callable contingent coupon equity-linked securities due July 7, 2023 linked to the worst performing of the MSCI Emerging Markets index, the S&P 500 index and the Stoxx Europe 600 Banks 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 10.65% if each index closes at or above its coupon barrier level, 75% 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 valuation date other than the final one.
If each index finishes at or above its final barrier level, 65% of its initial level, the payout at maturity will be par plus the coupon. 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: | MSCI Emerging Markets index, S&P 500 index and Stoxx Europe 600 Banks index
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| Amount: | $2,373,000
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| Maturity: | July 7, 2023
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| Contingent coupon: | 10.65% 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 the 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 valuation date other than final one
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| Initial levels: | 1,118.42 for EM, 3,221.29 for S&P, 143.37 for Stoxx
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| Coupon barriers: | 838.815 for EM, 2,415.968 for S&P, 107.528 for Stoxx; 75% of initial levels
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| Final barriers: | 726.973 for EM, 2,093.839 for S&P, 93.191 for Stoxx; 65% of initial levels
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| Pricing date: | Dec. 30
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| Settlement date: | Jan. 3
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17327T6R2
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