Published on 3/10/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $829,000 buffered equity index basket-linked notes
By Kiku Steinfeld
Chicago, March 10 – Citigroup Global Markets Holdings Inc. priced $829,000 of 0% buffered equity index basket-linked notes due June 21, 2023 linked to an unequally weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 29% weight, the FTSE 100 index with a 16% weight, the Swiss Market index with an 11% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout will be par plus 130% of the basket return, subject to a maximum settlement amount of $1,222.30 per $1,000 principal amount of notes.
The payout will be par if the basket falls by up to 10%. Otherwise, investors will lose 1.1111% for every 1% decline of the basket beyond 10%.
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: | Buffered equity index basket-linked notes
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Underlying basket: | Euro Stoxx 50 (36% weight), Topix (29% weight), FTSE 100 (16% weight), Swiss Market (11% weight), S&P/ASX 200 (8% weight)
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Amount: | $829,000
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Maturity: | June 21, 2023
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the basket return is positive, par plus 130% of the return, capped at par plus 22.23%; par if basket falls by up to 10%; 1.1111% loss for every 1% decline of the basket beyond 10%
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Initial index levels: | 4,191.67 for Stoxx, 2,118.87 for Topix, 7,034.06 for FTSE, 12,097.28 for Swiss Market, 7,437.299 for S&P/ASX
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Buffer level: | 90% of initial level
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Pricing date: | Sept. 14
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Settlement date: | Sept. 21
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Agent: | Citigroup Global Markets Inc.
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Fees: | 0%
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Cusip: | 17329QW63
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