Published on 12/29/2017 in the Prospect News Structured Products Daily.
New Issue: Citi prices $3.64 million 8.15% contingent coupon autocalls tied to indexes, fund
By Wendy Van Sickle
Columbus, Ohio, Dec. 29 – Citigroup Global Markets Holdings Inc. priced $3.64 million autocallable contingent coupon equity-linked securities due Dec. 30, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.15% if each underlying component closes at or above its 75% coupon barrier on the valuation date for that quarter.
The notes will be called at par plus the contingent coupon if each component closes at or above its initial level on any valuation date after one year.
The payout at maturity will be par plus the contingent coupon unless any component finishes below its 75% knock-in level, in which case investors will be fully exposed any losses of the worst 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 Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying assets: | S&P 500 index, Russell 2000 index and iShares MSCI EAFE exchange-traded fund
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| Amount: | $3,639,000
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| Maturity: | Dec. 30, 2024
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| Coupon: | 8.15% per year, payable quarterly if least-performing asset closes at or above coupon barrier on valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | If final level of least-performing asset is greater than or equal to knock-in level, par plus contingent coupon; otherwise, investors will be fully exposed any losses of the worst performing index or fund
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| Call: | Automatically at par plus contingent coupon if least-performing asset closes at or above initial level on any quarterly valuation date after one year
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| Initial levels: | 2,679.25 for S&P, 1,540.076 for Russell and $69.68 for ETF
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| Barrier/knock-in levels: | 2,009.438 for S&P, 1,155.057 for Russell and $52.26 for ETF; 75% of initial share prices
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 26
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17324CPX8
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