Chicago, March 22 – Citigroup Global Markets Holdings Inc. priced $1 million of 0% barrier securities due Feb. 1, 2024 linked to a performance allocation basket comprised of the iShares MSCI EAFE ETF, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The basket will be weighted according to the performance of each underlying. The underlying with the highest return will be given a 50% weight. The underlying with the second highest return will be given a 30% weight and the lowest performing will be given a weight of 20%.
The notes are guaranteed by Citigroup Inc.
The payout at maturity will be par plus the return of the basket, capped at par plus 30%.
If the basket declines, but not more than 20%, the payout at maturity will be par.
Otherwise, investors will be fully exposed to the decline of the basket.
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: | Barrier securities linked to a performance-allocation basket
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Underlying basket: | iShares MSCI EAFE ETF, Euro Stoxx 50 and the iShares MSCI Emerging Markets ETF; weight assigned by performance, 50%, 30% and 20% accordingly
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Amount: | $1 million
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Maturity: | Feb. 1, 2024
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus return of basket if positive, subject to maximum return of par plus 30%; par if basket declines, but not more than 20%; otherwise, full exposure to losses of basket
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Initial levels: | $72.39 for MSCI EAFE, 3,481.44 for Stoxx, $53.31 for MSCI EM
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Pricing date: | Jan. 29
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Settlement date: | Feb. 3
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 0.25%
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Cusip: | 17328YMJ0
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