Published on 3/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.15 million barrier digital plus notes linked to indexes
By Kiku Steinfeld
Chicago, March 9 – Citigroup Global Markets Holdings Inc. priced $1.15 million of 0% barrier digital plus securities due Feb. 27, 2026 linked to the least performing of the Russell 2000 index, the Nasdaq-100 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of the least-performing index is greater than or equal to 125% of its initial level, the payout at maturity will be par plus the 25% digital return plus 1.5705 times each 1% increase of the worst performer over the 125% upside barrier value.
If the worst performer finishes above its initial level but at less than the 125% upside barrier level, investors will receive par plus the 25% digital return.
If the final level of the least-performing index is less than its initial level but greater than or equal to its barrier value, 60% of its initial level, the payout will be par.
If the final level of the least-performing index is less than its barrier value, investors will be exposed to the decline of the least-performing index from its initial level.
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, Nasdaq-100 and Dow Jones industrial average
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| Amount: | $1,152,000.
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| Maturity: | Feb. 27, 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 to125% of initial level, par plus 25% digital return plus 1.5705% for each 1% increase over 125% upside barrier; if final level of worst performer is above initial level but below 125% upside barrier, par plus 25% digital return; if final level of least-performing index is less than initial level but greater than or equal to barrier value, par; if final level of least-performing index is less than barrier value, exposure to decline of least-performing index from initial level
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| Upside barrier levels: | 2,855.476 for Russell, 16,627.738 for Nasdaq and 39,952.325 for Dow, or 125% of initial levels
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| Initial levels: | 2,284.381 for Russell, 13,302.19 for Nasdaq and 31,961.86 for Dow
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| Barrier values: | 1,370.629 for Russell, 7,981.314 for Nasdaq and 19,177.116 for Dow, or 60% of initial levels
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| Pricing date: | Feb. 24
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| Settlement date: | March 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17328YT87
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