By Angela McDaniels
Tacoma, Wash., March 28 - Citigroup Inc. priced $2.08 million of 0% contingent absolute return autocallable optimization securities due April 8, 2015 linked to the American Depositary Shares representing the class A ordinary shares of Baidu Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus an annualized call premium of 15.3% if Baidu ADSs close at or above the initial ADS price on any quarterly observation date.
If the notes are not called and the final ADS price is greater than or equal to the trigger price, 70% of the initial ADS price, the payout at maturity will be par plus the absolute value of the ADS return. Otherwise, investors will be fully exposed to the ADS decline.
Citigroup Global Markets Inc. is the underwriter, and UBS Financial Services Inc. is the agent.
| Issuer: | Citigroup Inc.
|
| Issue: | Contingent absolute return autocallable optimization securities
|
| Underlying stock: | Baidu Inc. (Symbol: BIDU)
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| Amount: | $2.08 million
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| Maturity: | April 8, 2015
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| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | If final ADS price is greater than or equal to trigger price, par plus absolute value of ADS return; otherwise, full exposure to ADS decline
|
| Call: | At par plus 15.3% per year if Baidu ADSs close at or above initial ADS price on any quarterly observation date
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| Initial ADS price: $151.00
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| Trigger price: | $105.70, 70% of initial ADS price
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| Pricing date: | March 27
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| Settlement date: | March 31
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| Underwriter: | Citigroup Global Markets Inc.
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| Agent: | UBS Financial Services Inc.
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| Fees: | 1.5%
|
| Cusip: | 17321F110
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