By Susanna Moon
Chicago, Feb. 10 – Citigroup Inc. priced $1 million of autocallable contingent coupon equity-linked securities due Feb. 10, 2016 linked to Texas Capital Bancshares, Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 12.25% if Texas Capital stock closes at or above the barrier level, 85% of the initial price, on the valuation date for that quarter.
The notes will be called at par plus the contingent coupon if Texas Capital shares close at or above the initial share price on any of the first three quarterly valuation dates.
If the notes are not called and the final share price is greater than or equal to the barrier price, the payout at maturity will be par plus the contingent coupon.
Otherwise, investors will receive a number of Texas Capital shares equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying stock: | Texas Capital Bancshares, Inc. (Symbol: TCBI)
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| Amount: | $1 million
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| Maturity: | Feb. 10, 2016
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| Coupon: | 12.25% annualized for each quarter that Texas Capital shares close at or above barrier level on valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par in cash unless shares finish below barrier level, in which case 21.49151 Texas Capital shares
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| Call: | At par plus contingent coupon if the stock closes at or above initial share price on first three quarterly valuation dates
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| Initial share price: | $46.53
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| Barrier level: | $39.551, 85% of initial share price
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| Pricing date: | Feb. 5
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| Settlement date: | Feb. 10
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.7%
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| Cusip: | 1730T04N6
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