Published on 7/1/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $26.41 million contingent income callable notes on indexes
By Wendy Van Sickle
Columbus, Ohio, July 1 – Citigroup Global Markets Holdings Inc. priced $26.41 million of contingent income callable securities due June 30, 2022 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, 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 10.25% if each index closes at or above its coupon barrier level, 65% of its initial index level, on each day that quarter.
The notes are callable at par on any contingent coupon payment date.
If each index finishes at or above its downside threshold level, 65% of its initial level, the payout at maturity will be par plus the final contingent coupons. 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: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
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Amount: | $26,412,000
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Maturity: | June 30, 2022
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Coupon: | 10.25% per year, payable for each quarter that each index closes at or above coupon barrier on each day that quarter
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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 contingent coupon payment date
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Initial levels: | 1,378.78 for Russell, 3,009.95 for S&P, 25,015.55 for Dow
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Coupon barriers: | 896.207 for Russell, 1,955.883 for 16,260.108 for Dow; 65% of initial levels
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Downside thresholds: | 896.207 for Russell, 1,955.883 for 16,260.108 for Dow; 65% of initial levels Pricing date: | June 26
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Settlement date: | July 1
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Underwriter: | Citigroup Global Markets Inc.
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Dealer: | Morgan Stanley Wealth Management
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Fees: | 2%
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Cusip: | 17328VZE3
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