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Published on 10/4/2018 in the Prospect News Structured Products Daily.

New Issue: Citigroup prices $1.42 million contingent coupon autocalls on indexes

By Sarah Lizee

Olympia, Wash., Oct. 4 – Citigroup Global Markets Holdings Inc. priced $1.42 million of autocallable contingent coupon equity linked securities due Oct. 3, 2028 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate of 9.05% if each underlying asset closes at or above its 70% coupon barrier on the observation date.

The notes will be called at par if each asset closes at or above its initial level on any quarterly autocall date after one year.

The payout at maturity will be par unless any underlying finishes below its 70% barrier level, in which case investors will be fully exposed to any losses of the worst performing asset.

The notes are guaranteed by Citigroup Global Markets Inc.

Citigroup Global Markets Inc. is the agent.

Issuer:Citigroup Global Markets Holdings Inc.
Guarantor:Citigroup Global Markets Inc.
Issue:Autocallable contingent coupon equity linked securities
Underlying assets:Russell 2000 index, S&P 500 index and Euro Stoxx 50 index
Amount:$1,415,000
Maturity:Oct. 3, 2028
Coupon:9.05% annualized, payable monthly if each asset closes at or above 70% coupon barrier on observation date
Price:Par
Payout at maturity:If each index finishes above barrier level, par; otherwise, 1% loss for each 1% decline of worst performing asset
Call:At par if each asset closes at or above its initial level on any quarterly autocall date after one year
Initial levels:2,913.98 for S&P, 1,696.571 for Russell, 3,399.20 for Stoxx
Coupon barriers:2,039.786 for S&P, 1,187.600 for Russell, 2,379.440 for Stoxx, 70% of initial levels
Barriers:2,039.786 for S&P, 1,187.600 for Russell, 2,379.440 for Stoxx, 70% of initial levels
Pricing date:Sept. 28
Settlement date:Oct. 3
Agent:Citigroup Global Markets Inc.
Fees:0.25%
Cusip:17326YT63

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