Published on 2/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.81 million barrier digital plus notes linked to indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 9 – Citigroup Global Markets Holdings Inc. priced $1.81 million of 0% barrier digital plus securities due Jan. 30, 2026 linked to the least performing of the Russell 2000 index, the Nasdaq-100 index and the Dow Jones industrial average, according to a 424B8 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 25% plus 1.62 times the return of the least-performing index beyond 25%.
If the least performing index finishes between 100% and 125% of its initial level, the payout will be par plus 25%.
If the final level of the least-performing index is less than its initial level but greater than or equal to its downside 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 downside 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: | $1,809,000
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| Maturity: | Jan. 30, 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 125% of initial level, par plus 25% plus 1.62 times the return of the least-performing index beyond 25%; if least performing index finishes between 100% and 125% of initial level, par plus 25%; 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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| Initial levels: | 2,108.696 for Russell, 13,112.65 for Nasdaq and 30,303.17 for Dow
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| Upside barrier values: | 2,635.870 for Russell, 16,390.813 for Nasdaq, 37,878.963 for Dow
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| Downside barrier values: | 1,265.218 for Russell, 7,867.59 for Nasdaq and 18,181.902 for Dow, or 60% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Feb. 1
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.125%
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| Cusip: | 17328YK52
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