By Susanna Moon
Chicago, Jan. 28 Citigroup Inc. priced $2 million of 0% market-linked notes due June 28, 2019 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index gains by more than 4%, the payout at maturity will be par plus 30% of the return, up to a cap of $1,060 per $1,000 principal amount.
If the index gains by up to 4% or falls by no more than 10%, the payout will be par.
Investors will be exposed to any losses beyond 10%.
Also, if a barrier event occurs when the index finishes below the 550 barrier level the near-term risk amount will equal the sum of the negative interim risk amounts, if any, the filing noted.
The interim risk amount for each interim valuation date will depend on whether the index closing level on that interim valuation date is greater than or less than the interim strike level, the filing said.
If the interim risk amount is negative on both interim valuation dates, then the near-term risk amount will be negative and the payment at maturity will be less than par.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
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| Issue: | Market-linked notes
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| Underlying index: | Euro Stoxx 50 index
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| Amount: | $2 million
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| Maturity: | June 28, 2019
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | Par plus near-term risk amount; if the index gains by more than 4%, par plus 30% of the return, up to a cap of $1,060 per $1,000 principal amount; if index gains by up to 4% or falls by no more than 10%, par; exposure to any losses beyond 10%; if index finishes below barrier level, the near-term risk amount will be the sum of any negative interim risk amounts
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| Initial index level: | 997.373
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| Barrier level: | 550
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| Pricing date: | Jan. 25
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| Settlement date: | Jan. 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.6%
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| Cusip: | 17298C6Q6
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