Published on 2/26/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.76 million geared buffer notes on iShares Russell, SPDR MidCap ETFs
By Marisa Wong
Los Angeles, Feb. 26 – Citigroup Global Markets Holdings Inc. priced $2.76 million of 0% geared buffer securities due Feb. 25, 2022 linked to the worst performing of the iShares Russell 2000 exchange-traded fund and the SPDR S&P MidCap 400 ETF trust, according to a 424B8 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
If each ETF finishes above its initial value, the payout at maturity will be par plus 1.25 times the gain in the worst performing ETF, capped at par plus 13%.
If the worst performing ETF finishes flat or falls by up to 15%, the payout will be par.
Otherwise, investors will receive a number of shares of the worst performing ETF equal to $1,000 divided by that ETF’s final buffer value or, at the issuer’s option, the cash value of those shares. The final buffer value is 85% of the initial value.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Geared buffer securities
|
| Underlying ETFs: | iShares Russell 2000 ETF and SPDR S&P MidCap 400 ETF trust
|
| Amount: | $2,756,000
|
| Maturity: | Feb. 25, 2022
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each ETF finishes above its initial value, par plus 1.25 times the gain in the worst performing ETF, capped at par plus 13%; if the worst performing ETF finishes flat or falls by up to 15%, par; otherwise, a number of shares of the worst performing ETF equal to the equity ratio or, at the issuer’s option, the cash value of those shares
|
| Initial values: | $227.26 for iShares Russell, $463.58 for SPDR S&P MidCap
|
| Buffer values: | $193.171 for iShares Russell, $394.043 for SPDR S&P MidCap, 85% of initial values
|
| Equity ratio: | 5.17676 for iShares Russell, 2.53779 for SPDR S&P MidCap
|
| Pricing date: | Feb. 12
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| Settlement date: | Feb. 18
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 1%
|
| Cusip: | 17328NCH9
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