By Angela McDaniels
Tacoma, Wash., Oct. 8 – Citigroup Inc. priced $3.2 million of 0% buffered digital securities due March 31, 2020 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the worst-performing index finishes at or above its initial level, the payout at maturity will be par plus 55.7%.
If the worst-performing index falls by up to 10%, the payout will be 155.7% of par minus 5.57% for every 1% that the worst-performing index’s final level is below its initial level. The downside multiplier is set so that the payment at maturity would equal $1,000 if the final level of the worst-performing index were less than its initial index level by exactly the buffer amount.
If the worst-performing index falls by more than 10%, investors will lose 1% for each 1% decline beyond the 10% buffer.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
|
| Issue: | Buffered digital securities
|
| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $3.2 million
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| Maturity: | March 31, 2020
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If worst-performing index finishes at or above initial level, par plus 55.7%; if worst-performing index falls by up to 10%, 155.7% of par minus 5.57% for every 1% that worst-performing index’s final level is below initial level; if worst-performing index falls by more than 10%, par minus 1% for each 1% that worst-performing index declines beyond 10%
|
| Initial index levels: | 1,951.36 for S&P 500 and 1,114.120 for Russel 2000
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| Pricing date: | Oct. 2
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| Settlement date: | Oct. 7
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| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 1%
|
| Cusip: | 17298C3D8
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