By Marisa Wong
Madison, Wis., Aug. 28 - Citigroup Inc. priced $3.59 million of 0% trigger return optimization securities due Aug. 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 exchange-traded fund with a 70% weight and the iShares MSCI Emerging Markets ETF 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 38.61%.
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 ETF (70% weight) and iShares MSCI Emerging Markets ETF (30% weight)
|
| Amount: | $3,587,700
|
| Maturity: | Aug. 31, 2016
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus 1.5 times any basket gain, capped at 38.61%; par if basket finishes at or above 75% of initial level; otherwise, full exposure to any losses
|
| Initial prices: | $37.34 for Emerging Markets, $60.04 for EAFE
|
| Pricing date: | Aug. 27
|
| Settlement date: | Aug. 30
|
| Agents: | Citigroup Global Markets Inc. (lead) and UBS Financial Services Inc.
|
| Fees: | 2.5%
|
| Cusip: | 173095159
|
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