Published on 9/2/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $5.44 million callable contingent coupon equity notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Sept. 2 – Citigroup Global Markets Holdings Inc. priced $5.44 million of callable contingent coupon equity-linked securities due March 3, 2026 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at annual rate of 6% if each underlier closes at or above its coupon barrier, 85% of its initial level, on the observation date for that period.
The notes will be callable at par plus any coupon due on any monthly call valuation date after one year.
The payout at maturity will be par plus the final coupon unless either underlier finishes below its 85% barrier, in which case investors will lose 1% for each 1% decline of the worst performing underlier beyond 15%.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Issue: | Callable contingent coupon equity-linked securities
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| Underliers: | S&P 500 index and Russell 2000 index
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| Amount: | $5,439,000
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| Maturity: | March 3, 2026
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| Coupon: | 6%, payable monthly if each underlier closes at or above coupon barrier on observation date
|
| Price: | Par
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| Call option: | At par plus any coupon due on any monthly call valuation date after one year
|
| Payout at maturity: | Par plus coupon if both indexes close above buffer level; otherwise 1% for each 1% decline of worse performing underlier beyond buffer
|
| Initial levels: | 3,478.73 for S&P and 1,560.193 for Russell
|
| Coupon barriers: | 2,956.921 for S&P and 1,326.164 for Russell, 85% of initial levels
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| Buffer values: | 2,956.921 for S&P and 1,326.164 for Russell, 85% of initial levels
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| Pricing date: | Aug. 26
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| Settlement date: | Aug. 31
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| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.495%
|
| Cusip: | 17328WCB2
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