Published on 2/25/2019 in the Prospect News Structured Products Daily.
New Issue: Citi prices $9.68 million 9.7% contingent yield callables on indexes
By Susanna Moon
Chicago, Feb. 25 – Citigroup Global Markets Holdings Inc. priced $9.68 million of trigger callable contingent yield notes with daily coupon observation due Aug. 18, 2022 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 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 9.7% if each underlying index closes at or above its 65% coupon barrier on each trading day for that quarter.
The notes are callable at par on any determination date after six months.
The payout at maturity will be par unless any index finishes below its 65% threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Holdings Inc. and UBS Financial Services Inc. are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying assets: | Russell 2000 index, S&P 500 index and Nasdaq-100 index
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| Amount: | $9,675,000
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| Maturity: | Aug. 18, 2022
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| Coupon: | 9.7% annualized, payable quarterly if each index closes at or above its coupon barrier on each trading day for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call option: | At par on any interest payment date beginning May 15, 2019
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| Initial levels: | 1,545.105 for Russell, 2,745.73 for S&P and 7,022.419 for Nasdaq
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| Coupon barriers: | 1,081.574 for Russell, 1,922.011 for S&P and 4,915.693 for Nasdaq, 70% of initial levels
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| Downside thresholds: | 927.063 for Russell, 1,647.438 for S&P and 4,213.451 for Nasdaq, 60% of initial levels
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| Pricing date: | Feb. 14
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| Settlement date: | Feb. 21
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| Underwriter: | Citigroup Global Markets Holdings Inc. and UBS Financial Services Inc.
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| Fees: | 1.25%
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| Cusip: | 17326W332
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