Published on 5/11/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $506,000 dual directional barrier digital plus notes on three indexes
By Sarah Lizee
Olympia, Wash., May 11 – Citigroup Global Markets Holdings Inc. priced $506,000 of 0% dual directional barrier digital plus securities due May 9, 2025 linked to the Nasdaq-100 index, the S&P 500 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.
If the worst performing index finishes at or above its initial level, the payout at maturity will be par plus the greater of the digital return amount of 49% and the return of the least performing index.
If the worst performing index falls by up to 30%, the payout will be par plus the absolute value of the return of the worst performing index.
Otherwise, investors will be fully exposed to the decline of the least performing index.
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: | Dual directional barrier digital plus securities
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| Underlying indexes: | Nasdaq-100 index, S&P 500 index and Dow Jones industrial average
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| Amount: | $506,000
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| Maturity: | May 9, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the worst performing index finishes at or above its initial level, par plus the greater of the digital return amount of 49% and the return of the least performing index; if the worst performing index falls by up to barrier level, par plus the absolute value of the return of the worst performing index; otherwise, full exposure to decline of the least performing index
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| Initial levels: | 2,848.42 for S&P, 23,664.64 for Dow, 8,984.858 for Nasdaq
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| Barrier levels: | 1,993.894 for S&P, 16,565.248 for Dow, 6,289.401 for Nasdaq, 70% of initial levels
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| Pricing date: | May 6
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| Settlement date: | May 11
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.25%
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| Cusip: | 17328VQL7
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