Published on 7/6/2015 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $2.95 million autocallable securities on three indexes
By Toni Weeks
San Luis Obispo, Calif., July 6 – Citigroup Inc. priced $2.95 million of 0% autocallable securities due July 12, 2018 linked to the S&P 500 index, the Euro Stoxx 50 index and the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 9.5% if each underlying index closes at or above its trigger level on any of three annual observation dates. The trigger level is 90% of the initial level.
If the notes are not called and the worst-performing index finishes at or above the 90% premium threshold level, the payout at maturity will be par plus the redemption premium.
If the worst-performing index finishes below the 90% level but at or above the 70% trigger level, the payout will be par.
If the worst-performing index finishes below the 70% trigger level, investors will receive par plus the return of the worst-performing index, with full exposure to any losses.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
|
| Issue: | Autocallable securities
|
| Underlying indexes: | S&P 500, Euro Stoxx 50, Nikkei 225
|
| Amount: | $2.95 million
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| Maturity: | July 12, 2018
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If worst-performing index finishes at or above 90% premium threshold level, par plus 9.5%; if worst-performing index finishes below the 90% level but at or above the 70% trigger level, par; if worst-performing index finishes below trigger level, par plus return of worst-performing index, with full exposure to any losses
|
| Call: | At par plus 9.5% per year if each underlying index closes at or above 90% of its initial level on any of three annual observation dates
|
| Initial index levels: | 2,077.42 for S&P 500, 3,496.28 for Euro Stoxx, 20,329.32 for Nikkei
|
| Premium threshold levels: | 90% of initial levels
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| Trigger levels: | 1,454.194 for S&P 500, 2,447.396 for Euro Stoxx, 14,230.524 for Nikkei, 70% of initial levels
|
| Pricing date: | July 1
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| Settlement date: | July 7
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 1.5%
|
| Cusip: | 17298CCK2
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