Published on 5/11/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.11 million callable contingent coupon notes on indexes
By Sarah Lizee
Olympia, Wash., May 11 – Citigroup Global Markets Holdings Inc. priced $1.11 million of callable contingent coupon notes due May 9, 2025 linked to the worst performing of the Nasdaq-100 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 Global Markets Inc.
The notes pay a contingent monthly coupon at an annualized rate of 9.5% 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 monthly valuation date starting May 6, 2021.
If each asset finishes at or above its final barrier level, 65% of its initial level, the payout at maturity will be par plus the coupon, if any. Otherwise, investors will be 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 Global Markets Inc.
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| Issue: | Callable contingent coupon notes
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| Underlying assets: | Nasdaq-100 index, Dow Jones industrial average and Russell 2000 index
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| Amount: | $1,107,000
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| Maturity: | May 9, 2025
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| Contingent coupon: | 9.5% 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: | If each asset finishes at or above final barrier, par plus any coupon; otherwise, exposure to losses of least-performing asset
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| Call option: | In whole at par plus any coupon due on any monthly valuation date starting May 6, 2021
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| Initial levels: | 23,664.64 for Dow, 1,263.008 for Russell, 8,984.858 for Nasdaq
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| Coupon barriers: | 16,565.248 for Dow, 884.106 for Russell, 6,289.401 for Nasdaq; 70% of initial levels
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| Final barriers: | 15,382.016 for Dow, 820.955 for Russell, 5,840.158 for Nasdaq; 65% of initial levels
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| Pricing date: | May 6
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| Settlement date: | May 11
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4.125%
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| Cusip: | 17328VQ94
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