Published on 6/18/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $13.54 million callable contingent coupon notes on S&P, Russell, EAFE ETF
By Wendy Van Sickle
Columbus, Ohio, June 18 – Citigroup Global Markets Holdings Inc. priced $13.54 million of callable contingent coupon notes due June 20, 2024 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly coupon at an annualized rate of 13.2% if each asset closes at or above its coupon barrier, 80% of its initial level, on every day that period.
After six months, the notes will be callable at par quarterly.
If the notes are not called and the final level of each asset is greater than or equal to its 55% final barrier level, the payout at maturity will be par plus any contingent coupon due. Otherwise, investors will be fully exposed to the decline of the worse performing asset.
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: | S&P 500, Russell 2000 and iShares MSCI EAFE ETF
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| Amount: | $13,537,000
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| Maturity: | June 20, 2024
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| Coupon: | 13.2% per year, payable quarterly if all assets close at or above coupon barrier level on every day that period
|
| Price: | Par
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| Payout at maturity: | If final level of each asset is greater than or equal to barrier level, par plus any coupon; otherwise, full exposure to decline of lesser performing asset
|
| Call option: | At par plus any coupon on any quarterly potential redemption date after six months
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| Initial levels: | $61.44 for ETF, 1,452.26 for Russell and 3,124.74 for S&P
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| Coupon barrier levels: | $49.152 for ETF, 1,161.808 for Russell and 2,499.792 for S&P, 80% of initial levels
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| Barrier levels: | $33.792 for ETF, 798.743 for Russell and 1,718.607 for S&P, 55% of initial levels
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| Pricing date: | June 16
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| Settlement date: | June 19
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 17328VXT2
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