By Angela McDaniels
Tacoma, Wash., Sept. 17 – Citigroup Inc. priced $2 million of 0% market-linked securities due Oct. 4, 2016 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of the worst-performing index is greater than or equal to its upside barrier level, the payout at maturity will be $360 per $1,000 principal amount of notes, or a loss of 64%. The upside barrier level is 117% of the index’s initial level.
If the final level of the worst-performing index is greater than or equal to its initial level but less than its upside barrier level, the payout will be par plus 17.25%.
If the final level of the worst-performing index is less than its initial index level by 20% or less, the payout will be 117.25% of par minus 0.8625% for every 1% that the worst-performing index’s final level is below its initial level.
If the final level of the worst-performing index is less than its initial level by more than 20%, investors will lose 1% for every 1% that it declines beyond 20%.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
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| Issue: | Market-linked securities
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2 million
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| Maturity: | Oct. 4, 2016
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final level of worst-performing index is greater than or equal to upside barrier level, payout will be 36% of par; if final level of worst-performing index is greater than or equal to initial level but less than upside barrier level, 117.25% of par; if final level of worst-performing index is less than initial index level by 20% or less, 117.25% of par minus 0.8625% for every 1% that worst-performing index’s final level is below initial level; otherwise, investors lose 1% for every 1% that worst-performing index declines beyond 20%
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| Initial index levels: | 1,978.09 for S&P 500 and 1,165.995 for Russell 2000
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| Upside barrier levels: | 2,314.37 for S&P 500 and 1,364.214 for Russell 2000; 117% of initial level
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| Pricing date: | Sept. 15
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| Settlement date: | Sept. 18
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17298C2J6
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