By Marisa Wong
Madison, Wis., May 30 - Citigroup Inc. priced $4.5 million of 0% trigger return optimization securities due May 31, 2016 linked to a basket of two funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the iShares MSCI EAFE index fund with a 70% weight and the iShares MSCI Emerging Markets index fund with a 30% weight.
The payout at maturity will be par of $10 plus 1.5 times any gain in the basket, up to a maximum return of 35.92%.
If the basket finishes at or above the trigger level - 75% of the initial level - the payout will be par.
Otherwise, investors will be fully exposed to any losses.
Citigroup Global Markets Inc. is the lead agent, with UBS Financial Services Inc. also as agent.
| Issuer: | Citigroup Inc.
|
| Issue: | Trigger return optimization securities
|
| Underlying ETFs: | iShares MSCI EAFE index fund (70% weight) and iShares MSCI Emerging Markets index fund (30% weight)
|
| Amount: | $4,504,260
|
| Maturity: | May 31, 2016
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus 1.5 times any basket gain, capped at 35.92%; par if basket finishes at or above 75% of initial level; otherwise, full exposure to any losses
|
| Initial prices: | $42.50 for Emerging Markets, $61.61 for EAFE
|
| Pricing date: | May 28
|
| Settlement date: | May 31
|
| Agents: | Citigroup Global Markets Inc. (lead) and UBS Financial Services Inc.
|
| Fees: | 2.5%
|
| Cusip: | 173095555
|
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