Published on 4/10/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $958,000 barrier digital plus notes on S&P, Russell, Nasdaq
By Kiku Steinfeld
Chicago, April 11 – Citigroup Global Markets Holdings Inc. priced $958,000 of 0% barrier digital plus securities due Sept. 29, 2026 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final value of the worst performing index is greater than or equal to its upside barrier value, 140.3% of its initial level, the payout at maturity will be the par plus 40.3% plus 1.25 times that index’s upside barrier return. The upside barrier return is (i) the final value of the least performing index minus its upside barrier value, divided by (ii) its initial value.
If the final value of the worst performing index is less than its 140.3% upside barrier but greater than or equal to its initial level, the payout will be par plus 40.3%
If the worse performer’s final value is less than its initial underlying value but greater than or equal to its downside barrier value, 70% of the initial value, the payout will be par.
If the worse performer’s final value is less than 70% of its initial level, investors will be fully exposed to its losses.
The notes will be guaranteed by Citigroup Inc.
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: | Barrier digital plus securities
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| Underlying indexes: | Russell 2000 index, Nasdaq-100 index and S&P 500 index
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| Amount: | $958,000
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| Maturity: | Sept. 29, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final level of least-performing index is greater than or equal to upside barrier, par plus 40.3% plus1.25 times its upside barrier return; if final level of least-performing index is less than upside barrier value but greater than or equal to initial level, par plus 40.3%; if worse performer’s final value is less than its initial value but greater than or equal to its downside barrier value, par; otherwise, full exposure to losses of the worst performer
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| Initial levels: | 4,455.48 for S&P, 2,248.075 for Russell, 15,329.68 for Nasdaq
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| Downside barriers: | 2,760.338 for S&P, 1,646.952 for Russell, 21,507.541 for Nasdaq; 70% of initial levels
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| Upside barriers: | 6,251.038 for S&P, 3,154.049 for Russell, 21,507.541 for Nasdaq; 140.3% of initial levels
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| Upside barrier return: | Final value of the least performing index minus its upside barrier value, divided by the initial value
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| Pricing date: | Sept. 24, 2021
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| Settlement date: | Sept. 29, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17329QNF3
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