Published on 9/15/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1 million of geared autocallable buffer securities on index basket
By William Gullotti
Buffalo, N.Y., Sept. 15 – Citigroup Global Markets Holdings Inc. priced $1 million of 0% geared autocallable buffer securities due June 30, 2025 linked to an equally weighted index basket consisting of the S&P 500 index, the MSCI EAFE index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will be called at par plus 8.45% if the basket closes at or above its initial level on June 30, 2022.
The payout at maturity will be par plus 1.3 times any basket gain.
Investors will receive par if the basket falls by up to 15% and will lose 1.176471% for every 1% that the basket declines 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: | Geared autocallable buffer securities
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| Underlying indexes: | S&P 500 index, MSCI EAFE index, MSCI Emerging Markets index
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| Amount: | $1,000,000
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| Maturity: | June 30, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the final level of the basket is greater than or equal to its initial level, par plus 1.3 times the return of the basket; if the final level of the basket is less than its initial level but greater than or equal to its buffer level, par; otherwise, investors will lose 1.176471% for every 1% that the basket declines beyond 15%.
|
| Call: | Automatically at par plus 8.45% if the basket closes at or above its initial level on June 30, 2022
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| Initial levels: | 4,280.7 for S&P, 2,342.43 for EAFE, 1,379.59 for EM
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| Buffer level: | 85% of initial level
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| Pricing date: | June 25
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| Settlement date: | June 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0%
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| Cusip: | 17329FVC5
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