By Sarah Lizee
Olympia, Wash., March 5 – Citigroup Global Markets Holdings Inc. priced $188,000 of 0% dual directional buffer securities due March 2, 2022 linked to the worse performing of the Financial Select Sector SPDR fund and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of the worst performing ETF is greater than its initial level, the payout at maturity will be par plus 125% of the return of the worst performing ETF, capped at par plus 27%.
If the final level of the worst performing ETF is equal to or less than its initial level by up to 20%, the payout will be par plus the absolute value of the return of the worst performing ETF.
Otherwise, investors will be exposed to any losses of the worst performing ETF beyond the buffer.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Dual directional buffer securities
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| Underlying ETFs: | Financial Select Sector SPDR fund and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $188,000
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| Maturity: | March 2, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the final level of the worst performing ETF is greater than its initial level, par plus 125% of the return of the worst performing ETF, capped at par plus 27%; if the final level of the worst performing ETF is equal to or less than its initial level by up to 20%, par plus the absolute value of the return of the worst performing ETF; otherwise, investors will be exposed to any losses of the worst performing ETF beyond the buffer
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| Initial levels: | $28.76 for financial ETF, $16.72 for oil ETF
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| Buffer values: | $23.008 for financial ETF, $13.376 for oil ETF, 80% of initial levels
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| Pricing date: | Feb. 25
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| Settlement date: | Feb. 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.75%
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| Cusip: | 17327TG67
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