By Marisa Wong
Los Angeles, April 29 – Citigroup Global Markets Holdings Inc. priced €20,628,000 of 0% principal-at-risk securities due July 29, 2024 linked to a synthetic 5Y5Y EUR CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The synthetic 5Y5Y EUR CMS rate is equal to (a) two times the 10-year euro ICE swap rate minus (b) the five-year euro ICE swap rate.
At maturity, if the synthetic rate on the valuation date is greater than or equal to the barrier rate, the payout will be €1,101.03 per €1,000 principal amount. The barrier rate is the strike of 2.847% minus 0.25%.
If the synthetic rate on the valuation date is less than the barrier rate, the payout will be €1,101.03 minus the product of (a) €1,000 times (b) the product of (i) the ratio 1 divided by 0.75% times (ii) the difference of the barrier rate minus the synthetic rate on the valuation date, subject to a minimum payment of €101.03 per €1,000 principal amount of notes.
If the synthetic rate on the valuation date is less than the barrier rate, then the greater that difference, the lower the payment at maturity, subject to the minimum payment.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Principal-at-risk securities
|
| Underlying rate: | Synthetic 5Y5Y EUR CMS rate, which equals (a) two times the 10-year euro ICE swap rate minus (b) the five-year euro ICE swap rate
|
| Amount: | €20,628,000
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| Maturity: | July 29, 2024
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| Coupon: | 0%
|
| Price: | Par of €1,000
|
| Payout at maturity: | If synthetic rate on July 25 is greater than or equal to barrier rate, maximum payment; if synthetic rate on July 25 is less than barrier rate, €1,101.03 minus product of (a) €1,000 times (b) product of (i) ratio 1 divided by 0.75% times (ii) difference of barrier rate minus synthetic rate on July 25, subject to a minimum payment
|
| Barrier rate: | Strike minus 0.25%
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| Strike: | 2.847%
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| Maximum payment: | €1,101.03
|
| Minimum payment: | €101.03
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| Pricing date: | April 25
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| Settlement date: | April 29
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 0%
|
| Cusip: | 5C23RQ9M8
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