Published on 5/14/2019 in the Prospect News Structured Products Daily.
New Issue: Citi sells $500,000 enhanced barrier digital plus notes on Russell, S&P
By Sarah Lizee
Olympia, Wash., May 14 – Citigroup Global Markets Holdings Inc. priced $500,000 of 0% barrier digital plus securities due May 14, 2024 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
If the final level of each index is greater than the upper threshold level, 128% of its initial level, the payout at maturity will be par plus 28% and the excess appreciation amount, which is the return of the worse performing index minus the digital return, multiplied by the upper participation rate, 102%.
If each index finishes below the upper threshold level but above the downside barrier value, 70% of the initial level, the payout will be par plus 28%.
If any index falls by more than 30%, the payout will be par plus the return of the worst performing index with full exposure to losses.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Barrier digital plus securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $500,000
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| Maturity: | May 14, 2024
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the final level of each index is greater than the upper threshold level, par plus 28% and 102% of the return of the worse performing index minus the digital return; if each index finishes below the upper threshold level but above the downside barrier value, par plus 28%; otherwise, par plus the return of the worst performing index with full exposure to losses
|
| Initial levels: | 2,870.72 for S&P, 1,570.057 for Russell
|
| Upper threshold levels: | 3,674.522 for S&P, 2,009.673 for Russell; 128% of initial levels
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| Barrier levels: | 2,009.504 for S&P, 1,099.040 for Russell; 70% of initial levels
|
| Pricing date: | May 9
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| Settlement date: | May 14
|
| Agent: | Citigroup Global Markets Inc.
|
| Fees: | 1.125%
|
| Cusip: | 17326Y5X0
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