Published on 7/8/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.1 million callable contingent coupon equity notes on S&P, Russell, Dow
By Wendy Van Sickle
Columbus, Ohio, July 8 – Citigroup Global Markets Holdings Inc. priced $3.1 million of callable contingent coupon equity-linked securities due June 29, 2023 linked to the least performing of the Dow Jones industrial average, 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 quarterly coupon at annual rate of 8.65% if each underlier closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be callable at par plus any coupon due on any quarterly call valuation date after six months.
The payout at maturity will be par plus the final coupon unless any underlier finishes below its 60.75% buffer, in which case investors will lose 1.646091% for each 1% decline of the worst performing underlier beyond 39.25%.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Issue: | Callable contingent coupon equity-linked securities
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| Underliers: | Dow Jones industrial average, S&P 500 index and Russell 2000 index
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| Amount: | $3.1 million
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| Maturity: | June 29, 2023
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| Coupon: | 8.65%, payable quarterly if each underlier closes at or above coupon barrier on observation date
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| Price: | Par
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| Call option: | At par plus any coupon due on any quarterly call valuation date after six months
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| Payout at maturity: | Par plus coupon if all indexes close above 60.75% buffer level; otherwise 1.646091% for each 1% decline of worst performing underlier beyond 39.25%
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| Initial levels: | 25,745.6 for Dow, 3,083.76 for S&P and 1,423.315 for Russell
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| Coupon barriers: | 18,021.92 for Dow, 2,158.632 for S&P and 989.321 for Russell, 70% of initial levels
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| Buffer values: | 15,640.452 for Dow, 1,873.384 for S&P and 858.589 for Russell, 60.75% of initial levels
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| Pricing date: | June 26
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| Settlement date: | July 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17328VZ52
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