Published on 12/10/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $4.02 million contingent income callable notes on Russell, Dow, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Dec. 10 – Citigroup Global Markets Holdings Inc. priced $4.02 million of contingent income callable securities due Aug. 30, 2022 linked to the worst performing of the Dow Jones industrial average, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each quarter, the notes pay a contingent coupon at an annual rate of 8.5% if each index closes at or above its coupon barrier level, 70% of its initial index level, on the relevant valuation date.
The notes are callable at par on any quarterly contingent coupon payment date.
If each index finishes at or above its downside threshold level, 70% of its initial level, the payout at maturity will be par plus the final contingent coupon.
If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
Citigroup Global Markets Inc. is the underwriter with Morgan Stanley Wealth Management as dealer.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Contingent income callable securities
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Underlying indexes: | Russell 2000 index, Nasdaq-100 index, Dow Jones industrial average
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Amount: | $4,023,000
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Maturity: | Aug. 30, 2022
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Coupon: | 8.5% per year, payable for each quarter that each index closes at or above coupon barrier on relevant valuation date
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Price: | Par
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Payout at maturity: | If each index finishes at or above downside threshold, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
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Call option: | At par on any quarterly contingent coupon payment date
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Initial levels: | 1,845.02 for Russell, 12,152.21 for Nasdaq, 29,872.47 for Dow
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Coupon barriers: | 1,291.517 for Russell, 8,506.547 for Nasdaq, 20,910.729 for Dow; 70% of initial levels
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Downside thresholds: | 1,291.517 for Russell, 8,506.547 for Nasdaq, 20,910.729 for Dow; 70% of initial levels
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Pricing date: | Nov. 25
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Settlement date: | Dec. 1
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Underwriter: | Citigroup Global Markets Inc.
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Dealer: | Morgan Stanley Wealth Management
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Fees: | 0.725%
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Cusip: | 17328Y4H4
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