Published on 1/26/2017 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $4.1 million buffer securities tied to index, ETF basket
By Wendy Van Sickle
Columbus, Ohio, Jan. 26 – Citigroup Global Markets Holdings Inc. priced $4.1 million of 0% buffer securities due July 26, 2018 linked to a basket containing the S&P 500 index (60% weight), the iShares MSCI EAFE exchange-traded fund (25% weight), the Russell 2000 index (10% weight) and the iShares MSCI Emerging Markets exchange-traded fund (5% weight), according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
If the basket return is positive, the payout at maturity will be par plus 1.5 times the return, subject to a 14.25% maximum return. Investors will receive par if the basket falls by up to the buffer amount of 10% and will lose 1% for every 1% that the basket declines beyond the buffer.
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: | Buffer securities
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| Basket components: | S&P 500 index (60% weight), iShares MSCI EAFE ETF (25% weight), Russell 2000 index (10% weight) and Shares MSCI Emerging Markets ETF (5% weight),
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| Amount: | $4.1 million
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| Maturity: | July 26, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final basket level is greater than initial level, par plus 1.5 times the return, capped at 14.25%; if final level is equal to or less than initial level by 10% or less, par; if final basket level is less than initial level by more than 10%, 1% loss for every 1% decline beyond 10%
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| Initial levels: | 2,265.20 for S&P, $59.54 for EAFE ETF, 1,347.836 for Russell, $39.36 for Emerging Markets ETF
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| Pricing date: | Jan. 23
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| Settlement date: | Jan. 26
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17324CEE2
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