By Susanna Moon
Chicago, Jan. 5 – Citigroup Inc. priced $2 million of 0% buffer securities due March 31, 2020 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes at or above 95% of its initial level, the payout at maturity will be par plus the maximum return of 36%.
If each index finishes between 77% and 95% of its initial level, the payout at maturity will be par plus 2 times the amount by which the return of the worse performing index exceeds 77% of its initial level, capped at 36%.
Otherwise, investors will lose 1.2987% for each 1% decline of the worse performing index beyond the buffer.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
|
| Issue: | Buffer securities
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2 million
|
| Maturity: | March 31, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above 95% threshold level, par plus the maximum return of 36%; if each index finishes between 77% and 95% of its initial level, par plus 2 times the amount by which the return of the worse performing index exceeds 77% of its initial level, capped at 36%; otherwise, 1.2987% loss per 1% drop of worse performing index beyond the buffer
|
| Initial levels: | 2,063.36 S&P and 1,149.643 for Russell
|
| Trigger levels: | 77% of initial levels
|
| Pricing date: | Dec. 30
|
| Settlement date: | Jan. 5
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 1.7%
|
| Cusip: | 17298C5X2
|
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