Published on 11/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.19 million of market-linked securities on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Nov. 9 – Citigroup Global Markets Holdings Inc. priced $1.19 million of 0% market-linked securities with leveraged upside participation and contingent downside due Feb. 3, 2028 linked to the least performing of the S&P 500 index, the Euro Stoxx 50 index and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
If all assets finish above their initial levels, the payout at maturity will be par plus 2.6 times the return of the worst-performing asset.
If any asset finishes below its initial level but the worst performer finishes above 70% of its initial level, the payout will be par.
Otherwise, investors will have full downside exposure to the return of the worst performer.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. and Wells Fargo Securities, LLC are the agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market-linked securities – leveraged upside participation and contingent downside
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| Underlying indexes: | S&P 500 index, Euro Stoxx 50 index, iShares MSCI EAFE ETF
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| Amount: | $1,189,000
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| Maturity: | Feb. 3, 2028
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 2.6 times return of worst performer if all finish above initial levels; par if worst performer declines by up to 30%; otherwise, full exposure to decline of worst performer from its initial level
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| Initial levels: | 4,419.15 for S&P, 2,225.308 for Stoxx, $79.90 for ETF
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| Threshold levels: | 3,093.405 for S&P, 2,881.739 for Stoxx, $55.93 for ETF; 70% of initial levels
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Agents: | Citigroup Global Markets Inc. and Wells Fargo Securities, LLC
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| Fees: | 3.92%
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| Cusip: | 17329QX88
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