Citigroup Global Markets Holdings preliminary terms for 2-year RTY/SPX autocallable buffer notes
Citigroup Global Markets Holdings Inc. disclosed preliminary terms for 2-year autocallable buffer securities linked to the worst performer of the Russell 2000 and S&P 500 indices, guaranteed by Citigroup Inc.
Key takeaways
Issuer and guarantee: Citigroup Global Markets Holdings Inc. is the issuer and Citigroup Inc. is the guarantor; all payments are subject to the credit risk of both entities.
Principal and payoff: Stated principal is $1,000 per security, with a 200.00% upside participation rate and a 15.00% buffer based on a final buffer value equal to 85.00% of each underlying's initial value.
Autocall condition: If the worst performer closes at or above its initial value on November 12, 2027, the securities are automatically called for the principal plus a 12.80% per annum premium, with a hypothetical redemption payment of $1,128.00.
No-autocall condition: If the interim autocall condition is not met, no premium is paid and the maturity payment on November 15, 2028 depends on the worst performer's final value.
Downside structure: If the worst performer finishes below its 85.00% final buffer value, investors lose 1% of stated principal for every 1% depreciation beyond the 15.00% buffer; the table shows a hypothetical $150 payment at a -100.00% worst-underlying return.
Product characteristics: The securities pay no interest, have no rights to dividends on the underlyings, are not listed on an exchange, and are sensitive to volatility in the underlyings near the valuation dates.
Key metrics
Primary source
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