By Angela McDaniels
Tacoma, Wash., Dec. 10 – Citigroup Inc. priced $2 million of 0% buffer securities due June 26, 2018 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of the worst-performing index is greater than or equal to 105% of its initial level, the payout will be 107.5% of par plus 0.9038% for each 1% that the worst-performing index advances beyond 5%, subject to a maximum payout of 131% of par.
If the final level of the worst-performing index is greater than 90% but less than 105% of its initial level, the payout will be par plus 0.5% for every 1% that the worst-performing index’s final level exceeds 90% of its initial level.
If the final level of the worst-performing index is less than or equal to 90% but greater than or equal to 80% of its initial level, the payout will be par.
If the final level of the worst-performing index is less than 80% of its initial level, investors will lose 1% for every 1% that the worst-performing index declines beyond 20%.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
|
| Issue: | Buffer securities
|
| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2 million
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| Maturity: | June 26, 2018
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If final level of worst-performing index is greater than or equal to 105% of initial level, 107.5% of par plus 0.9038% for each 1% that worst-performing index advances beyond 5%, subject to maximum payout of 131% of par; if final level of worst-performing index is greater than 90% but less than 105% of initial level, par plus 0.5% for every 1% that worst-performing index’s final level exceeds 90% of initial level; if final level of worst-performing index is less than or equal to 90% but greater than or equal to 80% of initial level, par; if final level of worst-performing index is less than 80% of initial level, 1% loss for every 1% that worst-performing index declines beyond 20%
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| Initial levels: | 2,077.07 for S&P 500 and 1,164.296 for Russell 2000
|
| Pricing date: | Dec. 7
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| Settlement date: | Dec. 10
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17298C5D6
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