Published on 2/28/2019 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $3.64 million floating-rate trigger callable contingent yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 28 – Citigroup Global Markets Holdings Inc. priced $3.64 million of floating-rate trigger callable contingent yield notes due Feb. 28, 20289 linked to the least performing of the Nasdaq-100 index, the MSCI Emerging Markets index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Global Markets Inc.
Each quarter, the notes pay a contingent coupon if each index’s closing level is at or above its coupon barrier, 50% of its initial level, on the observation date that quarter. The contingent coupon rate is Libor plus 395 basis points per year subject to a floor of zero.
After one year, the notes are callable at par of $10 on each quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its downside threshold, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
Citigroup Global Markets Inc. is the agent with UBS Financial Services Inc. acting as distributor.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Global Markets Inc.
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| Issue: | Trigger callable contingent yield notes
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| Underlying indexes: | Nasdaq-100, S&P 500 and MSCI Emerging Markets
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| Amount: | $3,642,500
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| Maturity: | Feb. 28, 2029
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| Coupon: | Libor plus 395 basis points per year, payable quarterly if each index closes at or above its downside threshold on observation date that quarter; floor of zero
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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; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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| Call option: | After one year at par on each quarterly observation date other than final one
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| Initial levels: | 2,793.9 for S&P, 7,123.216 for Nasdaq, 1,064.94 for Emerging Markets
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| Coupon barriers: | 1,396.95 for S&P, 3,561.608 for Nasdaq, 532.47 for Emerging Markets; 50% of initial levels
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| Downside thresholds: | 1,396.95 for S&P, 3,561.608 for Nasdaq, 532.47 for Emerging Markets; 50% of initial levels
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| Pricing date: | Feb. 26
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| Settlement date: | Feb. 28
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| Agent: | Citigroup Global Markets Inc.
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| Distributor: | UBS Financial Services Inc.
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| Fees: | 3.5%
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| Cusip: | 17326W886
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