By Wendy Van Sickle
Columbus, Ohio, May 23 – Citigroup Global Markets Holdings Inc. priced $1.42 million of 0% dual directional barrier securities due May 21, 2021 linked to the least performing of the PowerShares QQQ Trust, Series 1 and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus2.64 times any gain of the worse performing asset, capped at 33%.
If the worse performing asset falls by up to 30%, the payout will be par plus the absolute value of the return of the worse performing asset.
Otherwise, investors will be fully exposed to the decline of the lesser performing asset.
The notes will be guaranteed by Citigroup Inc.
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: | Dual directional barrier securities
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| Underlying assets: | Russell 2000 index and PowerShares QQQ Trust, Series 1
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| Amount: | $1.42 million
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| Maturity: | May 21, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 2.64 times any gain of worse performing asset, capped at 33%; if worse performer falls by up to 30%, par plus absolute value of return of worse performer; otherwise, full exposure to any losses of worst performing asset
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| Initial levels: | $167.46 for ETF and 1,626.629 for Russell
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| Barrier levels: | $117.222 for ETF and 1,138.64 for Russell; 70% of initial levels
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| Pricing date: | May 18
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| Settlement date: | May 23
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.95%
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| Cusip: | 17324CUZ7
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