By Angela McDaniels
Tacoma, Wash., Jan. 29 – Citigroup Inc. priced $2 million of 0% market-linked securities due Sept. 4, 2019 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
For each $1,000 principal amount of notes, the payout at maturity will be the indexed principal amount plus the cumulative interim risk amount. The indexed principal amount is capped at $1,105 per note.
The payment may be less than par if either the indexed principal amount is less than par or the cumulative interim risk amount is negative.
Indexed principal amount
If the final index return is greater than 4%, the indexed principal amount will be par plus 52.5% of the amount by which the final index return exceeds 4%.
If the final index return is less than or equal to 4% but greater than or equal to negative 10%, the indexed principal amount will be par.
If the final index return is less than negative 10%, the indexed principal amount will be par minus 1% for every 1% that the index declines beyond 10%.
Cumulative interim risk amount
The cumulative interim risk amount is the sum of the four interim risk amounts, unless a barrier event occurs, in which case the cumulative interim risk amount will equal the sum of the negative interim risk amount, if any.
A barrier event will occur if the index finishes at or below 550.
If the index closes at or above 106.03% of the initial index level on Feb. 26, 2016, the interim risk amount for that date will be negative $16.50. If not, it will be $75.00.
If the index closes at or above 91.33% of the initial index level on April 28, 2016, the interim risk amount for that date will be negative $29.00. If not, it will be $137.50.
If the index closes at or above 98.78% of the initial index level on May 25, 2016, the interim risk amount for that date will be negative $142.50. If not, it will be $310.00.
If the index closes at or above 110.4% of the initial index level on Dec. 28, 2016, the interim risk amount for that date will be negative $101.00. If not, it will be $180.00.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Inc.
|
| Issue: | Market-linked securities
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| Underlying index: | Russell 2000
|
| Amount: | $2 million
|
| Maturity: | Sept. 4, 2019
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Indexed principal amount, which cannot exceed $1,105, | plus cumulative interim risk amount
|
| Indexed principal amount: | If final index return is greater than 4%, par plus 52.5% of amount by which final index return exceeds 4%; if final index return is less than or equal to 4% but greater than or equal to negative 10%, par; if final index return is less than negative 10%, par minus 1% for every 1% that index declines beyond 10%
|
| Cumulative interim risk amount: | Sum of four interim risk amounts, unless index finishes below 550, in which case sum of negative interim risk amount, if any
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| Interim risk amount 1: | If index closes at or above 1,063.23, 106.03% of initial index level, on Feb. 26, 2016, negative $16.50; if not, $75.00
|
| Interim risk amount 2: | If index closes at or above 915.79, 91.33% of initial index level, on April 28, 2016, negative $29.00; if not, $137.50
|
| Interim risk amount 3: | If index closes at or above 990.54, 98.78% of initial index level, on May 25, 2016, negative $142.50; if not, $310.00
|
| Interim risk amount 4: | If index closes at or above 1,107.06, 110.4% of initial index level, on Dec. 28, 2016, negative $101.00; if not, $180.00
|
| Initial index level: | 1,002.747
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| Pricing date: | Jan. 27
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| Settlement date: | Feb. 1
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| Lead agent: | Citigroup Global Markets Inc.
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| Fees: | 1.8%
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| Cusip: | 17298C6W3
|
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