Published on 5/4/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.51 million dual directional barrier securities on Russell, S&P
By William Gullotti
Buffalo, N.Y., May 4 – Citigroup Global Markets Holdings Inc. priced $1.51 million of 0% dual directional barrier securities due Oct. 31, 2023 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index’s final level is greater than its initial level, the payout at maturity will be par plus 125% of the least performing index’s return, subject to a maximum payout of par plus 30%.
If the least performing index’s final level is less than or equal to its initial level but greater than or equal to its final barrier level, 85% of its initial level, the payout will be par plus the absolute value of that index’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 indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $1,509,000
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| Maturity: | Oct. 31, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index’s final level is greater than or equal to initial level, par plus 125% of the least performing index’s return, subject to 30% cap; if the least performing index’s final level is less than initial level but greater than or equal to final barrier level, par plus the absolute value of that index’s return; otherwise, 1% loss for every 1% that the worst performer declines from initial level
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| Initial levels: | 4,175.2 for S&P, 1,890.475 for Russell
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| Final barrier levels: | 3,548.92 for S&P, 1,606.904 for Russell; 85% of initial index level
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| Pricing date: | April 26
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| Settlement date: | April 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.1%
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| Cusip: | 17330AZN5
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