Published on 5/27/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $360,000 callable contingent coupon notes on S&P, Dow
By Sarah Lizee
Olympia, Wash., May 27 – Citigroup Global Markets Holdings Inc. priced $360,000 of callable contingent coupon equity-linked securities due May 29, 2024 linked to the worst performing of 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.
The notes pay a contingent semiannual coupon at an annualized rate of 9% if each index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
After one year, the notes will be callable in whole at par plus any coupon due on any semiannual valuation date other than the final one.
If the notes are not called and each index finishes at or above its final barrier level, 70% of its initial level, the payout at maturity will be par plus the final coupon. 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: | Callable contingent coupon equity-linked securities
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| Underlying indexes: | S&P 500 index and Dow Jones industrial average
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| Amount: | $360,000
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| Maturity: | May 29, 2024
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| Contingent coupon: | 9% per year, payable semiannually if each index closes at or above coupon barrier on the valuation date for that period
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above final barrier, par plus final coupon; otherwise, full exposure to losses of least-performing index
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| Call option: | After one year, notes will be callable in whole at par plus any coupon due on any semiannual valuation date other than the final one
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| Initial levels: | 24,465.16 for Dow, 2,955.45 for S&P
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| Coupon barriers/final barriers: | 17,125.612 for Dow, 2,068.815 for S&P; 70% of initial levels
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| Pricing date: | May 22
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| Settlement date: | May 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17328VJD3
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