Published on 8/30/2018 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.26 million 6.7% contingent coupon autocalls on index, fund
By Susanna Moon
Chicago, Aug. 30 – Citigroup Global Markets Holdings Inc. priced $1.26 million of autocallable contingent coupon equity linked securities due Nov. 29, 2019 linked to the worse performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 6.7% if each underlying asset closes at or above its 70% coupon barrier on each trading day for that quarter.
The notes are called at par if each asset closes at or above its initial level on any determination date after six months.
The payout at maturity will be par unless either underlying asset ever closes below its 70% trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index or fund.
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 Global Markets Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying assets: | Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF
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| Amount: | $1,262,000
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| Maturity: | Nov. 29, 2019
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| Coupon: | 6.7% annualized, payable quarterly if each asset closes at or above 70% coupon barrier on each trading day for that quarter
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| Price: | Par
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| Payout at maturity: | If each asset never closes below barrier, par; otherwise, 1% loss for each 1% decline of worst performing index or fund
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| Call: | At par plus contingent coupon if each asset closes at or above initial level on any quarterly review date
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| Initial levels: | $43.37 for fund, 3,427.44 for Stoxx
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| Trigger levels: | $30.359 for fund, 2,399.208 for Stoxx, 70% of initial levels
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| Pricing date: | Aug. 24
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| Settlement date: | Aug. 29
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 2.225%
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| Cusip: | 17326YRC2
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