Published on 3/19/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.69 million callable contingent coupon notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, March 19 – Citigroup Global Markets Holdings Inc. priced $1.69 million of callable contingent coupon equity-linked securities due March 13, 2025 linked to the worst performing of the S&P 500 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes pay a contingent monthly coupon at an annualized rate of 13.25% if each asset 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 monthly call valuation date after six months.
If each asset 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 asset.
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 assets: | S&P 500 index, Euro Stoxx 50 index and iShares MSCI Emerging Markets ETF
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| Amount: | $1,693,000
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| Maturity: | March 13, 2025
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| Contingent coupon: | 13.25% per year, payable monthly when each asset 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 asset finishes at or above final barrier, par plus any coupon; otherwise, full exposure to losses of least-performing asset
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| Call option: | In whole at par plus any coupon due on any monthly call valuation date after six months
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| Initial levels: | 2,4972.37 for S&P, 3,232.07 for Stoxx, $40.13 for ETF
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| Coupon barriers: | 2,080.659 for S&P, 2,262.449 for Stoxx, $28.091 for ETF; 70% of initial levels
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| Final barriers: | 1,783.422 for S&P, 1,939.242 for Stoxx, $24.078 for ETF; 60% of initial levels
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| Strike date: | March 6
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| Pricing date: | March 9
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| Settlement date: | March 12
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17328V4R8
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