Published on 3/23/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $750,000 dual directional barrier digital notes on S&P, Nasdaq
By Kiku Steinfeld
Chicago, March 23 – Citigroup Global Markets Holdings Inc. priced $750,000 of 0% dual directional barrier digital securities due March 13, 2026 linked to the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
If the worst performing index finishes at or above its initial level, the payout at maturity will be par plus 110% of the return of the least performing index.
If the worst performing index falls by up to 33%, the payout will be par plus the absolute value of the return of the worst performing index.
Otherwise, investors will be fully exposed to the decline of the least performing index.
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 digital securities
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| Underlying indexes: | S&P 500 index and Nasdaq-100 index
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| Amount: | $750,000
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| Maturity: | March 13, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the worst performing index finishes at or above its initial level, par plus 110% of return of the least performing index; if the worst performing index falls by up to barrier level, par plus the absolute value of the return of the worst performing index; otherwise, full exposure to decline of the least performing index
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| Initial levels: | 3,898.81 for S&P, 12,752.07 for Nasdaq
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| Barrier levels: | 2,612.203 for S&P, 8,543.887 for Nasdaq, 67% of initial levels
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| Pricing date: | March 10
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| Settlement date: | March 15
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.75%
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| Cusip: | 17328YZN7
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