Published on 10/5/2018 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $13.30 million trigger callable contingent yield notes on indexes
By Sarah Lizee
Olympia, Wash., Oct. 5 – Citigroup Global Markets Holdings Inc. priced $13.30 million of trigger callable contingent yield notes with daily coupon observation due April 6, 2022 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, 70% of its initial level, on each day that quarter. The contingent coupon rate is 9% 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.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Trigger callable contingent yield notes with daily coupon observation
|
| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
|
| Amount: | $13,296,500
|
| Maturity: | April 6, 2022
|
| Coupon: | 9% per year, payable quarterly if each index closes at or above its coupon barrier on each day that quarter
|
| Price: | Par of $10
|
| 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
|
| Call option: | At par on each quarterly observation date
|
| Initial levels: | 2,924.59 for S&P, 1,672.992 for Russell and 3,414.16 for Stoxx
|
| Coupon barriers: | 2,047.213 for S&P, 1,171.094 for Russell and 2,389.912 for Stoxx; 70% of initial levels
|
| Downside thresholds: | 1,754.754 for S&P, 1,003.795 for Russell and 2,048.496 for Stoxx; 60% of initial levels
|
| Pricing date: | Oct. 1
|
| Settlement date: | Oct. 4
|
| Agents: | UBS Financial Services Inc. and Citigroup Global Markets Inc.
|
| Fees: | 1%
|
| Cusip: | 17326X348
|
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