Published on 12/9/2019 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $500,000 contingent coupon autocallables linked to indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Dec. 9 – Citigroup Global Markets Holdings Inc. priced $500,000 of autocallable contingent coupon equity-linked securities due Nov. 29, 2029 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the iShares China Large-Cap ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at the rate of 8.75% per year if the least-performing asset closes at or above its coupon barrier value, 60% of its initial level, on the valuation date for that quarter.
Beginning in May 2020, the notes will be automatically called at par if the least-performing asset closes at or above its initial level on any quarterly potential autocall date.
The payout at maturity will be par unless the least-performing asset finishes below its final barrier value, 60% of its initial level, in which case investors will lose 1% for every 1% that the least-performing asset 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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| Underlying assets: | Nasdaq-100, Russell 2000 and iShares China Large-Cap ETF
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| Amount: | $500,000
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| Maturity: | Nov. 29, 2029
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| Coupon: | 8.75% per year, payable quarterly if least-performing asset closes at or above coupon barrier value on valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless least-performing asset finishes below final barrier value, in which case 1% loss for every 1% that least-performing asset declines from initial level
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| Call: | Beginning in May 2020, notes will be automatically called at par if least-performing asset closes at or above initial level on any quarterly potential autocall date
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| Initial levels: | 8,385.745 for Nasdaq-100, 1,624.231 for Russell 2000 and $42.01 for ETF
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| Coupon barriers: | 5,023.157 for Nasdaq-100, 973.142 for Russell 2000 and $25.206 for ETF, or 60% of initial levels
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| Final barriers: | 5,023.157 for Nasdaq-100, 973.142 for Russell 2000 and $25.206 for ETF, or 60% of initial levels
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| Pricing date: | Nov. 26
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| Settlement date: | Dec. 2
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.7%
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| Cusip: | 17327TPF7
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