Published on 11/2/2017 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.17 million 8.25% contingent coupon autocalls on indexes
By Susanna Moon
Chicago, Nov. 2 – Citigroup Global Markets Holdings Inc. priced $1.17 million of autocallable contingent coupon equity-linked securities due May 1, 2019 linked to the least 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 will pay a contingent quarterly coupon at an annual rate of 8.25% if each index closes at or above its 70% coupon barrier on the valuation date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any valuation date.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its initial level and ever closes below its 70% knock-in level during the life of the notes, in which case investors will be fully exposed any losses of the worst performing index.
The notes will be guaranteed by Citigroup Inc.
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: | Autocallable contingent coupon equity-linked securities
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $1,168,000
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| Maturity: | May 1, 2019
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| Coupon: | 8.25% per year, payable quarterly if each index closes at or above 70% coupon barrier on valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above initial level or never closes below 70% knock-in level, par; otherwise, full exposure to any losses of worst performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly valuation date from January through July 2019
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| Initial levels: | 2,560.40 for S&P, 1,497.459 for Russell and 3,637.20 for Stoxx
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| Barrier levels: | 1,792.28 for S&P, 1,048.221for Russell and 2,546.04 for Stoxx; 70% of initial levels
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| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17324CMW3
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