Published on 2/6/2017 in the Prospect News Structured Products Daily.
New Issue: Citi prices $2.31 million dual directional barrier notes on two indexes
By Marisa Wong
Morgantown, W.Va., Feb. 6 – Citigroup Global Markets Holdings Inc. priced $2.31 million of 0% dual directional barrier securities due Jan. 29, 2021 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The payout at maturity will be par plus 130% of any gain of the worse performing index.
If the worse performing index falls by up to 30%, the payout will be par plus the absolute value of the return of the worse performing index.
Otherwise, investors will be fully exposed to the decline of the lesser performing index.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Dual directional barrier securities
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $2,305,000
|
| Maturity: | Jan. 29, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 1.3 times any gain of worse performing index; if worse performer falls by up to 30%, par plus absolute value of return of worse performer; otherwise, full exposure to loss of lesser performing index
|
| Initial levels: | 2,296.68 for S&P, 1,375.595 for Russell
|
| Barrier levels: | 1,607.676 for S&P, 962.917 for Russell, 70% of initial levels
|
| Pricing date: | Jan. 26
|
| Settlement date: | Jan. 31
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 4%
|
| Cusip: | 17324CDU7
|
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