Published on 12/28/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4 million fixed-to-contingent coupon notes linked to indexes
By Tali Rackner
Norfolk, Va., Dec. 28 – Citigroup Global Markets Holdings Inc. priced $4 million of callable fixed-to-contingent coupon equity-linked securities due Dec. 30, 2031 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The coupon rate will be 10% for the first year, payable quarterly. After that, a contingent coupon at an annualized rate of 10% will be paid quarterly if each index closes at or above its 75% coupon barrier on the observation date for that quarter.
The notes are callable on any coupon payment date beginning on Dec. 28, 2017.
If each index finishes at or above its 75% coupon barrier level, the payout at maturity will be par plus the contingent coupon.
The payout at maturity will be par if the worst-performing index finishes below 75% but above its 50% final barrier level. Otherwise, investors will be fully exposed to the decline of the worst-performing index.
Citigroup Global Markets Inc. and Incapital LLC are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Callable fixed-to-contingent coupon equity-linked securities
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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $4 million
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| Maturity: | Dec. 30, 2031
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| Contingent coupon: | 10% for the first year, payable quarterly; after that, the notes will pay contingent coupon at rate of 10% per year if each index closes at or above coupon barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If final level of each index is greater than or equal to its coupon barrier level, par plus the contingent coupon; if worst-performing index finishes below coupon barrier but above final barrier level, par; otherwise, full exposure to decline of worst-performing index
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| Call option: | At par on any coupon payment date beginning Dec. 28, 2017
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| Initial index levels: | 2,260.96 for S&P, 1,362.659 for Russell and 3,269.51 for Euro Stoxx
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| Coupon barriers: | 1,695.72 for S&P, 1,021.994 for Russell and 2,452.13 for Euro Stoxx; 75% of initial levels
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| Final barrier levels: | 1,130.48 for S&P, 681.330 for Russell and 1,634.76 for Euro Stoxx; 50% of initial levels
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| Pricing date: | Dec. 22
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| Settlement date: | Dec. 28
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| Agents: | Citigroup Global Markets Inc. and Incapital LLC
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| Fees: | 3.75%
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| Cusip: | 17324CDE3
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