By Kiku Steinfeld
Chicago, Jan. 13 – Citigroup Global Markets Holdings Inc. priced $25,000 of 0% buffer securities with upside reset feature due Dec. 24, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The upside buffer value will be the initial underlying value unless a reset event has occurred, in which case the upside buffer value will be 85% of the initial underlying value. A reset event will occur if on any trading day until December 21, 2020, the underlier closes below 85% of the initial underlying value.
If the final underlying value is greater than the upside buffer value and no reset event has occurred, the payout at maturity will be par plus the return of the underlier, subject to the maximum return of par plus 40%.
If a reset event has occurred and the final underlying value is greater than the upside buffer value, the payout will be par plus the return of the underlier, subject to the maximum return of par plus 55%.
If the final underlying value is less than its initial value but greater than the 85% buffer level and no reset event has occurred, the payout will be par.
If the index has declined by more than 15% from its initial level, investors will be exposed to the losses of the index beyond the 15% buffer level.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Buffer securities with upside reset feature
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| Underlying index: | S&P 500 index
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| Amount: | $25,000
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| Maturity: | Dec. 24, 2024
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| Coupon: | 0%
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| Price: | Par
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| Reset event: | Occurs if on any trading day until December 21, 2020, the underlier closes below 85% of the initial underlying value
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| Upside buffer: | Initial underlying value unless a reset event has occurred, in which case 85% of the initial underlying value
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| Payout at maturity: | If final underlying value is greater than upside buffer value and no reset event has occurred, par plus return of underlier, capped at par plus 40%; if final underlying value is less than or equal to 85% of initial level and no reset event has occurred, par; if reset event has occurred and final underlying value is greater than reset upside buffer, par plus return of the underlier, capped at par plus 55%; if index closes below 85% of initial level, 1% loss per 1% decline beyond 15%
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| Initial level: | 3,205.37
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| Reset buffer level: | 2,724.565, 85% of initial level
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| Pricing date: | Dec. 19
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| Settlement date: | Dec. 24
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4.125%
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| Cusip: | 17327TSP2
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