New Issue: Citigroup prices $2.56 million barrier notes linked to iShares China Large-Cap fund

By Susanna Moon

Chicago, May 1 - Citigroup Inc. priced $2.56 million of 0% barrier securities due May 3, 2018 linked to the iShares China Large-Cap exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 110% of any fund gain.

Investors will receive par if the fund falls by up to 35% and will be fully exposed to any losses if the fund finishes below the 65% barrier level.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Inc.
Issue:	Barrier securities
Underlying fund:	iShares China Large-Cap ETF
Amount:	$2,557,000
Maturity:	May 3, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 110% of any fund gain; par if fund falls by up to 35%; otherwise, full exposure to any losses
Initial level:	$35.07
Barrier level:	$22.796, 65% of initial level
Pricing date:	April 29
Settlement date:	May 2
Agent:	Citigroup Global Markets Inc.
Fees:	2.5%
Cusip:	1730T0N96

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