Published on 3/23/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $3.2 million callable contingent coupon notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 23 – Citigroup Global Markets Holdings Inc. priced $3.2 million of callable contingent coupon equity-linked securities due March 16, 2027, linked to the worst performing of the Euro Stoxx 50 index, the Dow Jones industrial average 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 pay a contingent quarterly coupon at an annualized rate of 15.75% if each asset closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes will be callable in whole at par plus any coupon due on any valuation date.
If each asset finishes at or above its final barrier level, 60% of its initial level, the payout at maturity will be par plus the coupon, if any. Otherwise, investors will be fully exposed to the decline of the least-performing asset.
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 assets: | Euro Stoxx 50 index, Dow Jones industrial average and Russell 2000 index
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Amount: | $3.2 million
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Maturity: | March 16, 2027
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Contingent coupon: | 15.75% per year, payable quarterly if each asset 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 asset finishes at or above final barrier, par plus any coupon; otherwise, full exposure to losses of least-performing asset
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Call option: | In whole at par plus any coupon due on any valuation date
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Initial levels: | 2,910.02 for Stoxx, 25,018.16 for Dow, 1,350.898 for Russell
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Coupon barriers: | 2,037.014 for Stoxx, 17,512.712 for Dow, 945.629 for Russell; 70% of initial levels
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Final barriers: | 1,746.012 for Stoxx, 15,010.896 for Dow, 810.539 for Russell; 60% of initial levels
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Strike date: | March 10
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Pricing date: | March 11
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Settlement date: | March 16
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 3%
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Cusip: | 17328VDB3
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