Published on 10/26/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $4.47 million callable contingent coupon equity notes on S&P, Russell, MSCI
By Taylor Fox
New York, Oct. 26 – Citigroup Global Markets Holdings Inc. priced $4.47 million of callable contingent coupon equity-linked securities due Sept 27, 2022 linked to the worst performing of the MSCI Emerging Markets index, the Russell 2000 index and the S&P 500 index, 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 9.91% if each asset closes at or above its coupon barrier level, 65% 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.
If the notes are not redeemed, the payout will be par plus any final coupon unless any index finishes below 65% of its initial level, in which case investors will be fully exposed to the loss of the least performing index.
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: | MSCI Emerging Markets index, S&P 500 index and Russell 2000 index
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| Amount: | $4,470,000
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| Maturity: | Sept. 27, 2022
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| Contingent coupon: | 9.91% per year, payable quarterly 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 index finishes below 65% of its initial level, in which case investors will be fully exposed to the loss of the least performing index
|
| Call option: | In whole at par plus any coupon due on any quarterly valuation date
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| Initial levels: | 3,315.57 for S&P, 1,082.87 for MSCI, 1,496.961 for Russell
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| Coupon barriers: | 2,155.121 for S&P, 703.866 for MSCI, 973.025 for Russell; 65% of initial levels
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| Final barriers: | 2,155.121 for S&P, 703.866 for MSCI, 973.025 for Russell; 65% of initial levels
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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: | 17328WWX2
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