Published on 1/18/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $10.93 million contingent income callable notes on Russell, Dow, S&P
By Taylor Fox
New York, Jan. 19 – Citigroup Global Markets Holdings Inc. priced $10.93 million of contingent income callable securities due June 28, 2023 linked to the worst performing of the Dow Jones industrial average, the S&P 500 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 6.25% if each index closes at or above its coupon barrier level, 65% 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, 65% 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.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Contingent income callable securities
|
| Underlying indexes: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
|
| Amount: | $10,925,000
|
| Maturity: | June 28, 2023
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| Coupon: | 6.25% per year, payable for each quarter that each index closes at or above coupon barrier on relevant valuation date
|
| Price: | Par
|
| 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
|
| Call option: | At par on any quarterly contingent coupon payment date
|
| Initial levels: | 2,007.104 for Russell, 3,690.01 for S&P, 30,129.83 for Dow
|
| Coupon barriers: | 1,304.618 for Russell, 2,398.507 for S&P, 19,584.39 for Dow; 65% of initial levels
|
| Downside thresholds: | 1,304.618 for Russell, 2,398.507 for S&P, 19,584.39 for Dow; 65% of initial levels
|
| Pricing date: | Dec. 23
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| Settlement date: | Dec. 29
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Dealer: | Morgan Stanley Wealth Management
|
| Fees: | 2%
|
| Cusip: | 17328YAZ7
|
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