Published on 8/21/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.01 million callable contingent coupon notes on ETF, indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 21 – Citigroup Global Markets Holdings Inc. priced $1.01 million of callable contingent coupon notes due Aug. 22, 2030 linked to the Russell 2000 index, the Euro Stoxx 50 index and the SPDR S&P Regional Banking ETF, 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 an annualized rate of 11.3% if each asset closes at or above its coupon barrier, 70% of its initial level, on the review date for that period.
The notes will be callable at par quarterly.
If the notes are not called and the final level of each asset is greater than or equal to its 60% final barrier level, the payout at maturity will be par plus any contingent coupon due. Otherwise, investors will be fully exposed to the decline of the worst performing asset.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable contingent coupon equity-linked securities
|
| Underlying assets: | Russell 2000 index, Euro Stoxx 50 index, SPDR S&P Regional Banking ETF
|
| Amount: | $1,009,000
|
| Maturity: | Aug. 22, 2030
|
| Coupon: | Contingent quarterly coupon at an annualized rate of 11.3% if each asset closes at or above its coupon barrier on the review date for that period
|
| Price: | Par
|
| Payout at maturity: | If final level of each asset is greater than or equal to barrier level, par plus any coupon; otherwise, full exposure to decline of lesser performing asset
|
| Call option: | Callable at par quarterly
|
| Initial levels: | $38.69 for ETF, 3,289.64 for Stoxx, 1,569.773 for Russell
|
| Coupon barrier levels: | $27.083 for ETF, 2,302.748 for Stoxx, 1,098.841 for Russell, 70% of initial levels
|
| Barrier levels: | $23.214 for ETF, 1,973.784 for Stoxx, 941.864 for Russell, 60% of initial levels
|
| Pricing date: | Aug. 18
|
| Settlement date: | Aug. 21
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.75%
|
| Cusip: | 17328WGJ1
|
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