By Jennifer Chiou
New York, Feb. 20 - Citigroup Inc. priced $2.27 million of 0% geared buffer securities due Feb. 17, 2017 linked to the S&P 500 index with an 80% weight and the SPDR S&P MidCap 400 ETF trust with a 20% weight, according to a 424B2 filing with the Securities and Exchange Commission.
If the final basket level is greater than the initial basket level, the payout at maturity will be par plus the basket return, subject to a maximum return of 31%.
If the basket level declines by up to 15% and will lose 1.1765% for every 1% that it declines beyond 15%.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
|
| Issue: | Geared buffer securities
|
| Underlying assets: | S&P 500 index (80% weight) and SPDR S&P MidCap 400 ETF trust (20% weight)
|
| Amount: | $2.27 million
|
| Maturity: | Feb. 17, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus any basket return if return is positive, capped at 31%; par if basket declines by up to 15%; 1.1765% loss for every 1% that index declines beyond 15%
|
| Initial levels: | 1,183.63 for S&P 500, $245.20 for ETF
|
| Pricing date: | Feb. 14
|
| Settlement date: | Feb. 20
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 1.3%
|
| Cusip: | 1730T0H44
|
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