Published on 2/14/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $4.79 million market-linked notes on best of two baskets
By William Gullotti
Buffalo, N.Y., Feb. 14 – Citigroup Global Markets Holdings Inc. priced $4.79 million of 0% market-linked securities due Feb. 8, 2027 linked to the best performing of two baskets, one focusing on equities and one focusing on bonds, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup, Inc.
Each basket is composed of the same equity indexes, bond exchange-traded funds and commodities, but the weightings of the components within each basket differ. The equity-focused basket gives a 65% weight to the indexes and a 17.5% weight each to the ETFs and the commodities. The bond-focused basket gives a 65% weight to the ETFs and a 17.5% weight each to the indexes and the commodities.
The underlying components are the S&P 500 index, the Euro Stoxx 50 index, the Nikkei 225 index, the MSCI Emerging Markets index, the iShares 20+ Year Treasury Bond ETF, the iShares Core U.S. Aggregate Bond ETF, the iShares iBoxx $ High Yield Corporate Bond ETF, the iShares J.P. Morgan USD Emerging Markets Bond ETF, gold futures and Nymex light sweet crude oil futures.
The payout at maturity will be par plus 1.35 times any gain in the best-performing basket.
Investors will be exposed to any decline in the best-performing basket.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup, Inc.
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| Issue: | Market-linked securities
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| Equity-focused basket: | S&P 500 index (39% weight), Euro Stoxx 50 index (9.75% weight), Nikkei 225 index (6.5% weight), MSCI Emerging Markets index (9.75% weight), iShares 20+ Year Treasury Bond ETF (8.75% weight), iShares Core U.S. Aggregate Bond ETF (3.5% weight), iShares iBoxx $ High Yield Corporate Bond ETF (3.5% weight), iShares J.P. Morgan USD Emerging Markets Bond ETF (1.75% weight), gold futures (8.75% weight) and crude oil futures (8.75% weight)
|
| Bond-focused basket: | S&P 500 index (10.5% weight), Euro Stoxx 50 index (2.625% weight), Nikkei 225 index (1.75% weight), MSCI Emerging Markets index (2.625% weight), iShares 20+ Year Treasury Bond ETF (32.5% weight), iShares Core U.S. Aggregate Bond ETF (13% weight), iShares iBoxx $ High Yield Corporate Bond ETF (13% weight), iShares J.P. Morgan USD Emerging Markets Bond ETF (6.5% weight), gold futures (8.75% weight) and crude oil futures (8.75% weight)
|
| Amount: | $4,785,000
|
| Maturity: | Feb. 8, 2027
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 1.35 times any gain of best-performing basket; exposure to any decline of best-performing basket
|
| Initial values: | 4,500.53 for S&P, 4,086.58 for Stoxx, 27,439.99 for Nikkei, 1,221.64 for MSCI EM; $139.01 for Treasury ETF, $110.57 for Core ETF, $83.77 for High Yield ETF, $104.35 for EM ETF; $1,806.60 for gold, $92.31 for crude oil
|
| Pricing date: | Feb. 4
|
| Settlement date: | Feb. 9
|
| Agent: | Citigroup Global Markets Inc.
|
| Fees: | None
|
| Cusip: | 17330AH21
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