By Susanna Moon
Chicago, Jan. 5 – Citigroup Inc. priced $3.71 million of 0% trigger jump securities due Jan. 4, 2019 linked to a basket of one index and two exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 50% weight, the iShares MSCI Emerging Markets ETF with a 25% weight and iShares MSCI EAFE ETF with a 25% weight.
If the basket finishes above its initial level, the payout at maturity will be par plus the contingent fixed return of 30.25%.
Investors will receive par if the basket falls by up to 15% and will be fully exposed to any losses if the basket finishes below the 85% trigger level.
Citigroup Global Markets Inc. is the agent. Morgan Stanley Wealth Management is a dealer.
| Issuer: | Citigroup Inc.
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| Issue: | Trigger jump securities
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| Underlying basket: | S&P 500 index (50% weight), the iShares MSCI Emerging Markets ETF (25% weight) and iShares MSCI EAFE ETF (25% weight)
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| Amount: | $3,706,000
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| Maturity: | Jan. 4, 2019
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If basket gains, par plus 30.25%; par if basket falls by 15% or less; full exposure to any losses if basket finishes below trigger level
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| Initial levels: | 2,063.36 for S&P, $32.29 for MSCI EM and $59.52 for MSCI EAFE
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| Trigger level: | 85% of initial level
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| Pricing date: | Dec. 30
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| Settlement date: | Jan. 5
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| Underwriter: | Citigroup Global Markets Inc.
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.5%
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| Cusip: | 17323P371
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