By Wendy Van Sickle
Columbus, Ohio, Jan. 19 – Citigroup Global Markets Holdings Inc. priced $20 million of 0% principal-at-risk securities due April 12, 2024 linked to the 10-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Interest will be paid monthly at an annualized rate of 13.25%.
If the value of the 10-year U.S. dollar ICE swap rate minus the two-year U.S. dollar ICE swap rate on April 10, 2024 is less than or equal to negative 0.174%, at maturity investors will receive $1,164.20 per $1,000 note.
Otherwise, investors will receive $1,164.20 minus [$1,000 × the product of (a) (1/0.5%) times (b) (the SOFR CMS spread on the valuation date minus negative 0.174%)], subject to the minimum payment of $164.20 per $1,000 principal amount.
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: | Principal-at-risk securities
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| Underlying rates: | 10-year U.S. dollar SOFR ICE swap rate and two-year U.S. dollar SOFR ICE swap rate
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| Amount: | $20 million
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| Maturity: | April 12, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If value of 10-year U.S. dollar ICE swap rate minus two-year U.S. dollar ICE swap rate on April 10, 2024 is less than or equal to negative 0.174%, at maturity investors will receive $1,164.20 per $1,000 note; otherwise, $1,164.20 minus [$1,000 × product of (a) (1/0.5%) times (b) (SOFR CMS spread on valuation date minus negative 0.174%)], subject to minimum payment of $164.20 per $1,000 principal amount
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| Pricing date: | Jan. 16
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| Settlement date: | Jan. 18
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0%
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| Cusip: | 17291TVS4
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