Published on 12/12/2018 in the Prospect News Structured Products Daily.
New Issue: Citi sells $16.09 million trigger callable contingent yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 12 – Citigroup Global Markets Holdings Inc. priced $16.09 million of trigger callable contingent yield notes with daily coupon observation due Dec. 10, 2021 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 are guaranteed by Citigroup Inc.
Each quarter, the notes pay a contingent coupon if each index closes at or above its coupon barrier, 65% of its initial level, on each day that quarter. The contingent coupon rate is 11% per year.
The notes are callable at par of $10 on each quarterly observation date.
If the notes are not called and each index finishes at or above its 60% downside threshold, the payout at maturity will be par plus the contingent coupon.
Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
UBS Financial Services Inc. and Citigroup Global Markets Inc. are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $16.09 million
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| Maturity: | Dec. 10, 2021
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| Coupon: | 11% per year, payable quarterly if each index closes at or above its coupon barrier on each day that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus contingent coupon; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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| Call option: | At par on each quarterly observation date
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| Initial levels: | 2,695.95 for S&P, 1,477.412 for Russell and 3,045.94 for Stoxx
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| Coupon barriers: | 1,752.368 for S&P, 930.318 for Russell and 1,979.861 for Stoxx; 65% of initial levels
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| Downside thresholds: | 1,617.57 for S&P, 886.447 for Russell and 1,924.452 for Stoxx; 60% of initial levels
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| Pricing date: | Dec. 7
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| Settlement date: | Dec. 12
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| Agents: | UBS Financial Services Inc. and Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17326X389
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