Chicago, July 26 – Citigroup Global Markets Holdings Inc. priced $11.68 million of 0% enhanced barrier digital securities due Aug. 5, 2022 linked to the 10-year Constant Maturity Swap rate (CMS10), according to a 424B2 filing with the Securities and Exchange Commission.
If the final swap rate is greater than or equal to the final barrier rate, 70% of the initial rate, the payout at maturity will be par plus 14%.
If the final rate is less than the final barrier rate, investors will lose 1% for every 1% that the rate declines from the initial rate.
The notes will be guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Enhanced barrier digital securities
|
| Underlying rate: | 10-year Constant Maturity Swap rate
|
| Amount: | $11,680,000
|
| Maturity: | Aug. 5, 2022
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final rate is greater than or equal to final barrier rate, par plus 14%; if final rate is less than final barrier value, 1% loss for every 1% that price declines from initial price
|
| Initial rate: | 1.199%
|
| Final barrier rate: | 0.8393%; 70% of initial rate
|
| Pricing date: | July 21
|
| Settlement date: | July 23
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Placement agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 17329QFH8
|
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