Published on 10/25/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.34 million callable contingent coupon equity notes on ETFs
By Taylor Fox
New York, Oct. 26 – Citigroup Global Markets Holdings Inc. priced $1.34 million of callable contingent coupon equity-linked securities due Sept 27, 2022 linked to the worst performing of the Financial Select Sector SPDR fund, the Materials Select Sector SPDR fund and the Utilities Select Sector SPDR fund, 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 12.17% 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 quarterly valuation date after six months.
If the notes are not redeemed, the payout will be par plus any final coupon unless any fund finishes below 70% of its initial level, in which case investors will be fully exposed to the loss of the least performing fund, payable either in shares or cash.
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: | Financial Select Sector SPDR fund, the Materials Select Sector SPDR fund and the Utilities Select Sector SPDR fund
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| Amount: | $1,336,000
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| Maturity: | Sept. 27, 2022
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| Contingent coupon: | 12.17% per year, payable monthly 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: | Par plus any coupon unless any fund finishes below 70% of its initial level, in which case investors will be fully exposed to the loss of the least performing fund, payable either in shares or cash
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| Call option: | In whole at par plus any coupon due on any quarterly valuation date after six months
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| Initial levels: | $23.73 for Financial, $63.33 for Materials, $58.02 for Utilities
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| Coupon barriers: | $16.611 for Financial, $44.331 for Materials, $40.614 for Utilities; 70% of initial levels
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| Final barriers: | $16.611 for Financial, $44.331 for Materials, $40.614 for Utilities; 70% of initial levels
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| Equity ratios: | 42.14075 for Financial, 15.79030 for Materials, 17.23544 for Utilities
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| Pricing date: | Sept. 22
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| Settlement date: | Sept. 25
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.5%
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| Cusip: | 17324X4J6
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