Published on 3/17/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $2.86 million buffered notes linked to index basket
By Kiku Steinfeld
Chicago, March 17 – Citigroup Global Markets Holdings Inc. priced $2.86 million of 0% buffered notes due June 21, 2023 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The basket includes 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 a 11% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, capped at $1,271.50 per each $1,000 principal amount of notes. Investors will receive par if the basket declines by 15% or less and will lose 1.1765% for every 1% that the basket may decline beyond 15%.
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 notes
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| Underlying indexes: | Euro Stoxx 50 (36% weight), Topix (29% weight), FTSE 100 (16% weight), Swiss Market (11% weight) and S&P/ASX 200 (8% weight)
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| Amount: | $2.86 million
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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 basket return is positive, par plus 150% of basket return, capped at $1,271.50 per each $1,000 principal amount of notes; par if basket declines by 15% or less; 1.1765% loss for every 1% that basket declines beyond 15%
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| Initial levels: | 3,707.72 for Stoxx, 1,894.85 for Topix, 6,613.75 for FTSE, 10,817.15 for Swiss, 6,762.272 for S&P/ASX
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| Buffer level: | 85% of initial basket level
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| Pricing date: | March 2
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| Settlement date: | March 9
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17328YVL5
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