Published on 4/28/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $6.6 million contingent income callable notes on indexes
By Wendy Van Sickle
Columbus, Ohio, April 28 – Citigroup Global Markets Holdings Inc. priced $6.6 million of contingent income callable securities due April 27, 2023 linked to the worst performing of the S&P 500 index, the Russell 2000 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.
Each quarter, the notes pay a contingent coupon at an annual rate of 16% if each index closes at or above its coupon barrier level, 65% of its initial index level, on each day during that quarter.
The notes are callable at par on any contingent coupon payment date beginning in January 2021 and ending in January 2023.
If each index finishes at or above its downside threshold level, 65% of its initial level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
Citigroup Global Markets Inc. is the agent with Morgan Stanley Wealth Management as dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
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| Amount: | $6.6 million
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| Maturity: | April 27, 2023
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| Coupon: | 16% per year, payable for each quarter that each index closes at or above coupon barrier on each day during that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus final contingent coupon, if any; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
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| Call option: | At par on any contingent coupon payment date beginning in January 2021 and ending in January 2023
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| Initial levels: | 1,214.065 for Russell, 2,797.8 for S&P, 23,515.26 for Dow
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| Coupon barriers: | 789.142 for Russell, 1,818.57 for S&P, 15,284.919 for Dow; 65% of initial levels
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| Downside thresholds: | 789.142 for Russell, 1,818.57 for S&P, 15,284.919 for Dow; 65% of initial levels
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| Pricing date: | April 23
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| Settlement date: | April 28
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| Agent: | Citigroup Global Markets Inc.
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 0.75%
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| Cusip: | 17328VSR2
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