By Toni Weeks
San Luis Obispo, Calif., Feb. 20 – Citigroup Inc. priced $67 million of securities due April 1, 2016 linked to the Citi Commodity Spread Index–Bloomberg Commodity Index 3 Month Forward Sub-Indices versus Bloomberg Commodity Index Sub-Indices, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying index, which was launched on Feb. 12, tracks the difference between the aggregate performance of the three-month forward versions of the single-commodity sub-indexes for each of the commodities included in the Bloomberg Commodity index and (ii) the aggregate performance of the standard, non-forward versions of the same single-commodity sub-indexes.
The notes will accrue interest at a rate equal to one-month Libor minus 18 basis points, payable monthly. If the interest rate for any month is determined to be less than 0%, which will occur if Libor is less than or equal to 0.18%, the negative coupon amount will be carried forward and deducted from any payment received at maturity or upon redemption.
The notes are putable at par plus a supplemental return amount on any commodity business day prior to the final valuation date. Holders must put back at least 25,000 securities.
If on any commodity business day prior to the final valuation date the closing value of the index is less than or equal to 85% of the initial value, the notes will be automatically called at par plus a supplemental return amount.
The payout at maturity will be par plus the supplemental return amount.
The supplemental return amount may be negative, zero or positive and is equal to par plus (a)(i) 300% of (ii) the index return minus an annual fee of 22 bps, less (b) any negative coupon amount.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
|
| Issue: | Securities
|
| Underlying index: | Citi Commodity Spread Index–Bloomberg Commodity Index 3 Month Forward Sub-Indices versus Bloomberg Commodity Index Sub-Indices
|
| Amount: | $67 million
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| Maturity: | April 1, 2016
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| Coupon: | One-month Libor minus 18 bps, payable monthly; any negative coupon amount carried forward to final payout at maturity or upon redemption
|
| Price: | Par of $1,000
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| Payout at maturity: | Par plus supplemental return amount
|
| Supplemental return amount: | (a)(i) 300% of (ii) the index return minus 22 bps, less (b) any negative coupon amount
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| Put option: | On any commodity business day at par plus supplemental return amount
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| Call: | At par plus supplemental return amount if index on any commodity business day is less than or equal to 85% of initial level
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| Initial index level: | 100.21
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| Pricing date: | Feb. 17
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| Settlement date: | Feb. 24
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 1730T05B1
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