Published on 8/23/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.11 million two-month dual digital securities on S&P 500, 10-year CMS
By Marisa Wong
Los Angeles, Aug. 23 – Citigroup Global Markets Holdings Inc. priced $1.11 million of 0% dual digital securities due Oct. 20, 2021 linked to the S&P 500 index and the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The securities will be guaranteed by Citigroup Inc.
If the final value of the S&P 500 is less than its final barrier value – 95% of the initial value – and the final value of the 10-year CMS rate is greater than or equal to its final barrier value – the initial value plus 20 basis points – then the payout at maturity will be $13,051.34 per $1,000 security.
If either of those upper digital payout conditions is not satisfied, investors will receive a lower digital payout of $230.83 per $1,000 security. In other words, if the S&P 500 finishes at or above its final barrier or the 10-year CMS rate finishes below its final barrier, investors will lose 76.917% of their investment at maturity.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Dual digital securities
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| Underlyings: | S&P 500 index and 10-year Constant Maturity Swap rate
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| Amount: | $1,105,000
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| Maturity: | Oct. 20, 2021
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | If the final value of the S&P 500 is less than its final barrier and the final value of the 10-year CMS rate is greater than or equal to its final barrier, $13,051.34 per security; otherwise, $230.83 per security
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| Initial values: | 4,400.27 for S&P 500, 1.310% for CMS rate
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| Final barriers: | 4,180.257, 95% of initial value, for S&P 500; 1.510%, initial value plus 20 bps, for CMS rate
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| Pricing date: | Aug. 18
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| Settlement date: | Aug. 23
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17329L796
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