Published on 9/10/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $3.2 million dual directional barrier digital plus notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Sept. 10 – Citigroup Global Markets Holdings Inc. priced $3.2 million of 0% dual directional barrier digital plus securities due Sept. 11, 2026 linked to the Russell 2000 index, the S&P 500 index and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
If the worst performing underlier finishes at or above its initial level, the payout at maturity will be par plus the greater of the digital return of 53% and the return of the least performing underlier.
If the worst performing underlier falls by up to 30%, the payout will be par plus the absolute value of the return of the worst performer.
Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
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: | Dual directional barrier digital plus securities
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| Underlying assets: | Russell 2000 index, S&P 500 index, iShares MSCI EAFE ETF
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| Amount: | $3.2 million
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| Maturity: | Sept. 11, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the worst performing underlier finishes at or above its initial level, par plus the greater of the digital return of 53% and the return of the least performing underlier; if the worst performing underlier falls by up to barrier level, par plus the absolute value of the return of the worst performer; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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| Initial levels: | $82.13 for ETF, 2,275.611 Russell, 4,520.03 for S&P
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| Barrier levels: | $65.704 for ETF, 1,820.489 for Russell, 3,616.024 for S&P; 70% of initial levels
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| Pricing date: | Sept. 7
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| Settlement date: | Sept. 10
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | None
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| Cusip: | 17329QB90
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