Published on 10/26/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.44 million callable contingent coupon equity notes on S&P, Russell, Nasdaq
By Taylor Fox
New York, Oct. 26 – Citigroup Global Markets Holdings Inc. priced $1.44 million of callable contingent coupon equity-linked securities due Sept. 28, 2023 linked to the worst performing of the Nasdaq-100 index, 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.
The notes will pay a contingent quarterly coupon at annual rate of 9.45% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be callable at par plus any coupon due on any quarterly call valuation date after six months.
The payout at maturity will be par plus the final coupon unless any index finishes below its 65% barrier, in which case investors will lose 1% for each 1% decline of the worst performing index from its initial level.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable contingent coupon equity-linked securities
|
| Indexes: | Nasdaq-100 index, S&P 500 index and Russell 2000 index
|
| Amount: | $1,437,000
|
| Maturity: | Sept. 28, 2023
|
| Coupon: | 9.45% annualized rate, payable quarterly if each index closes at or above coupon barrier on observation date
|
| Price: | Par
|
| Call option: | At par plus any coupon due on any quarterly call valuation date after six months
|
| Payout at maturity: | Par plus coupon if all indexes finish above barrier levels; otherwise, 1% loss for each 1% decline of worse performing index from initial level
|
| Initial levels: | 10,833.33 for Nasdaq, 3,236.92 for S&P and 1,451.458 for Russell
|
| Coupon barriers: | 7,583.331 for Nasdaq, 2,265.844 for S&P and 1,016.021 for Russell, 70% of initial levels
|
| Barrier values: | 7,041.665 for Nasdaq, 2,103.998 for S&P and 943.448 for Russell, 65% of initial levels
|
| Pricing date: | Sept. 23
|
| Settlement date: | Sept. 28
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 0.95%
|
| Cusip: | 17328WW20
|
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