Published on 2/22/2018 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $9.82 million contingent income callable notes linked to indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 22 – Citigroup Global Markets Holdings Inc. priced $9.82 million of contingent income callable securities due Aug. 20, 2020 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each quarter, the notes pay a contingent coupon at an annual rate of 7.5% if each index closes at or above its downside threshold level, 60% of its initial index level, on each day during that quarter.
The notes are callable at par on any quarterly determination date other than the final one.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
Citigroup Global Markets Inc. is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $9,815,000
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| Maturity: | Aug. 20, 2020
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| Coupon: | 7.5% per year, payable quarterly if each index closes at or above downside threshold level on each day during that quarter
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon, if any; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
|
| Call option: | At par on any quarterly determination date other than final one
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| Initial index levels: | 3,426.80 for Euro Stoxx 50, 2,732.22 for S&P 500 and 1,543.551 for Russell 2000
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| Downside thresholds: | 2,056.080 for Euro Stoxx 50, 1,639.332 for S&P 500 and 926.131 for Russell 2000; 60% of initial levels
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| Pricing date: | Feb. 16
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| Settlement date: | Feb. 22
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| Agent: | Citigroup Global Markets Inc.
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 2.25%
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| Cusip: | 17324CRY4
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