Published on 1/27/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.75 million dual directional barrier securities on Stoxx, EAFE ETF
By William Gullotti
Buffalo, N.Y., Jan. 27 – Citigroup Global Markets Holdings Inc. priced $1.75 million of 0% dual directional barrier securities due Sept. 1, 2026 linked to the iShares MSCI EAFE ETF and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlier’s final level is greater than its initial level, the payout at maturity will be par plus 180% of the least performing underlier’s return.
If the least performing underlier’s final level is less than or equal to its initial level but greater than or equal to its final barrier level, 70% of its initial level, the payout will be par plus 50% of the absolute value of that underlier’s return.
Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Dual directional barrier securities
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| Underlying assets: | iShares MSCI EAFE ETF, Euro Stoxx 50 index
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| Amount: | $1,748,000
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| Maturity: | Sept. 1, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each underlier’s final level is greater than or equal to initial level, par plus 180% of the least performing underlier’s return; if the least performing underlier’s final level is less than initial level but greater than or equal to final barrier level, par plus 50% of absolute value of that underlier’s return; otherwise, 1% loss for every 1% that the worst performer declines from initial level
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| Initial levels: | $80.70 for ETF, 4,190.98 for Stoxx
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| Final barrier levels: | $56.49 for ETF, 2,933.686 for Stoxx; 70% of initial index level
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| Pricing date: | Aug. 27
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| Settlement date: | Sept. 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17329QDP2
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