Published on 9/16/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.87 million market-linked notes with contingent fixed return on indexes
By Taylor Fox
New York, Sept. 16 – Citigroup Global Markets Holdings Inc. priced $1.87 million of 0% market-linked securities with contingent fixed return and contingent downside due March 2, 2026 linked to the worst performing of the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
If the final value of the worst performer is greater than or equal to 90%, the payout at maturity will be par plus 41%.
Investors will receive par if the worst performing index falls more than 10% but not more than 30%, and will be fully exposed to the decline of the worst performing index if it falls by more than 30%.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Market-linked securities with contingent fixed return and contingent downside
|
| Underlying indexes: | Russell 2000 index, Nasdaq-100 index and Dow Jones industrial average
|
| Amount: | $1,871,000
|
| Maturity: | March 2, 2026
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the final value of the worst performer is greater than or equal to 90%, the payout at maturity will be par plus 41%; par if the worst performing index falls more than 10% and not more than 30%; full exposure to losses of worst performing index if it falls by more than 30%
|
| Initial index levels: | 2,200.172 for Russell, 31,402.01 for Dow, 12,828.31 for Nasdaq
|
| Threshold levels: | 1,980.155 for Russell, 28.261.809 for Dow, 11,545.479 for Nasdaq, 90% of initial levels
|
| Barrier levels: | 1,540.1204 for Russell, 21,981.407 for Dow, 8,979.817 for Nasdaq, 70% of initial levels
|
| Pricing date: | Feb. 25
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| Settlement date: | March 2
|
| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
|
| Fees: | 3.62%
|
| Cusip: | 17328YJE5
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