Published on 3/17/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $46.33 million trigger callable contingent yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 17 – Citigroup Global Markets Holdings Inc. priced $46.33 million of trigger callable contingent yield notes with daily coupon observation due June 16, 2022 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at a rate of 21.24% per year if each index closes at or above its coupon barrier, 65% of its initial level, on every day that quarter.
The notes are callable at par of $10 plus any coupon due on any quarterly coupon payment date.
If the notes are not called and each index finishes at or above its downside threshold, 55% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the selling agent.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Trigger callable contingent yield notes with daily coupon observation
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Underlying indexes: | Nasdaq-100, Russell 2000 and S&P 500
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Amount: | $46,331,000
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Maturity: | June 16, 2022
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Coupon: | 21.24% per year, payable quarterly if each index closes at or above its coupon barrier on every day that quarter
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Price: | Par of $10
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Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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Call option: | At par plus any coupon due on any quarterly coupon payment date
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Initial levels: | 2,480.64 for S&P, 1,122.93 for Russell 2000 and 7,263.653 for Nasdaq
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Coupon barriers: | 1,612.42 for S&P, 729.905 for Russell 2000 and 4,721.374 for Nasdaq, or 65% of initial levels
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Downside thresholds: | 1,364.35 for S&P, 617.612 for Russell 2000 and 3,995.009 for Nasdaq, or 55% of initial levels
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Pricing date: | March 13
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Settlement date: | March 18
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Underwriter: | Citigroup Global Markets Inc.
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Selling agent: | UBS Financial Services Inc.
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Fees: | 1.25%
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Cusip: | 17327U525
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