Chicago, June 13 – Citigroup Global Markets Holdings Inc. priced $4.41 million of 0% dual directional buffer securities due Aug. 7, 2020 linked to an unequally weighted basket of the Euro Stoxx 50 index (50% weight), the MSCI EAFE index (30% weight) and the MSCI Emerging Markets index (20% weight), according to a 424B2 filing with the Securities and Exchange Commission.
If the final basket value is greater than its initial level, the payout at maturity will be par plus 125% of the basket return, subject to a maximum upside return of 11.05%.
If the final basket value falls but finishes above 90% of its initial level, the payout will be par plus the absolute value of the basket return.
Otherwise, investors will be exposed to any losses of the basket return beyond the 10% buffer.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Dual directional buffer securities
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| Underlying basket: | Euro Stoxx 50 index (50% weight), the MSCI EAFE index (30% weight) and the MSCI Emerging Markets index (20% weight)
|
| Amount: | $4,405,000
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| Maturity: | Aug. 7, 2020
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final basket level finishes above initial level, 1.25 times basket return, subject to maximum upside return of 11.05%; par plus absolute value of basket return for decline up to 10%; otherwise exposure to losses of basket return beyond 10% buffer
|
| Initial levels: | 2,803.27 for S&P, 1,834.96 for MSCI EAFE and 1,005.43 for MSCI EM
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| Buffer values: | 90% of initial levels
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| Pricing date: | June 4
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| Settlement date: | June 7
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17326YRR9
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