Published on 1/9/2018 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.5 million contingent coupon autocalls on indexes
By Wendy Van Sickle
Columbus, Ohio, Jan. 9 – Citigroup Global Markets Holdings Inc. priced $1.5 million of autocallable contingent coupon equity-linked securities due July 2, 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 will pay a contingent quarterly coupon at an annual rate of 3.55% if each index closes at or above its 60% 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 starting in October 2018.
The payout at maturity will be par plus the contingent coupon, if any, unless any index finishes below its 50% final barrier level, 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: | $1.5 million
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| Maturity: | July 2, 2021
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| Coupon: | 3.55% per year, payable quarterly if each index closes at or above 60% coupon barrier on valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if any, unless any index finishes below final barrier; 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 beginning in October 2018
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| Initial levels: | 2,673.61 for S&P, 1,535.511 for Russell and 3,503.96 for Stoxx
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| Coupon barriers: | 1,604.166 for S&P, 921.307 for Russell and 2,102.376 for Stoxx; 60% of initial
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| Final barriers: | 1,366.805 for S&P, 767.756 for Russell and 1,751.98 for Stoxx; 50% of initial levels
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| Pricing date: | Dec. 29
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| Settlement date: | Jan. 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.9%
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| Cusip: | 17324CQF6
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