Published on 10/29/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $24.45 million trigger callable contingent yield notes on three indexes
By Marisa Wong
Los Angeles, Oct. 29 – Citigroup Global Markets Holdings Inc. priced $24.45 million of trigger callable contingent yield notes with daily coupon observation due Aug. 1, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, 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 a rate of 11.35% per year if each index closes at or above its coupon barrier, 70% of its initial level, on each day that quarter.
The notes are callable at par of $10 plus any coupon due on any quarterly coupon payment date.
If the notes are not called and each index finishes at or above its downside threshold, 55% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the selling agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
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| Amount: | $24,445,000
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| Maturity: | Aug. 1, 2023
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| Coupon: | 11.35% per year, payable each quarter that each index closes at or above its coupon barrier on each day that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to decline of least-performing index below its initial level
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| Call option: | At par plus any coupon due on any quarterly coupon payment date
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| Initial levels: | 3,390.68 for S&P, 1,590.482 for Russell, 11,598.95 for Nasdaq
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| Coupon barriers: | 2,373.48 for S&P, 1,113.337 for Russell, 8,119.27 for Nasdaq; 70% of initial levels
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| Downside thresholds: | 1,864.87 for S&P, 874.765 for Russell, 6,379.42 for Nasdaq; 55% of initial levels
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| Pricing date: | Oct. 27
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| Settlement date: | Oct. 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Selling agent: | UBS Financial Services Inc.
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| Fees: | 1.25%
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| Cusip: | 17328L763
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