Published on 2/9/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $613,000 dual directional buffer securities on basket of indexes
By Kiku Steinfeld
Chicago, Feb. 9 – Citigroup Global Markets Holdings Inc. priced $613,000 of 0% dual directional buffer securities due Feb. 5, 2025 linked to an equally weighted basket of indexes consisting of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus any gain of the basket, subject to a maximum return of 22%.
If the basket falls by up to 15%, the payout will be par plus the absolute value of the basket return.
Otherwise, investors will lose 1% for every 1% that the lesser-performing index declines beyond 15%.
The notes are 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: | Dual directional buffer securities
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Underlying basket: | S&P 500 and Russell 2000; equal weights
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Amount: | $613,000
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Maturity: | Feb. 5, 2025
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus any gain of the basket, subject to a maximum return of 22%; if basket falls by up to 15%, par plus absolute value of basket return; otherwise, 1% loss for every 1% decline beyond buffer
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Initial basket level: | 4,515.55 for S&P 500 and 2,028.453 for Russell 2000
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Buffer level: | 3,597.710 for S&P 500 and 1,930.885 for Russell 2000, or 85% of initial level
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Pricing date: | Jan. 31
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Settlement date: | Feb. 3
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 1.2%
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Cusip: | 17329UN72
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