By Taylor Fox
New York, Dec. 24 – Citigroup Global Markets Holdings Inc. priced $2.01 million of 0% barrier securities due Dec. 12, 2023 linked to a performance-allocation basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index, the MSCI Emerging Markets index and the S&P 500 index.
The weights of the indexes will be determined on the valuation date with 50% assigned to the index with the highest return, 30% to the index with the second-highest return and 20% to the lowest performing index.
The notes are guaranteed by Citigroup Inc.
If the final level of the basket is positive, the payout at maturity will be par plus the return of the basket up to par plus 35%.
The payout will be par if the final level of the basket is less than its initial level but greater than or equal to the barrier level, 80% of the initial level.
If the basket finishes below the barrier level, investors will be fully exposed to the decline of basket return.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Barrier securities linked to a performance-allocation basket
|
| Underlying assets: | Euro Stoxx 50 index, the MSCI Emerging Markets index and the S&P 500 index (50% weight to best performer; 30% weight to second-best performer; 20% weight to worst performer)
|
| Amount: | $2,011,000
|
| Maturity: | Dec. 12, 2023
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket return is positive, par plus the basket return up to par plus 35%; par if final level of basket is less than initial level but greater than or equal to barrier level; full exposure to decline if basket finishes below barrier level
|
| Initial levels: | 3,691.96 for S&P, 3,530.08 for Stoxx and 1,253.39 for MSCI
|
| Final barrier level: | 80% of initial levels
|
| Pricing date: | Dec. 7
|
| Settlement date: | Dec. 10
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 0.25%
|
| Cusip: | 17328YAH7
|
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