By William Gullotti
Buffalo, N.Y., Feb. 23 – Citigroup Global Markets Holdings Inc. priced $25.14 million of 0% principal-at-risk securities due May 20, 2024 linked to a synthetic 5Y5Y SOFR CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The synthetic 5Y5Y SOFR CMS rate is equal to (a) two times the 10-year U.S. dollar SOFR ICE swap rate minus (b) the five-year U.S. dollar SOFR ICE swap rate.
At maturity, if the synthetic rate on the valuation date differs from the strike by more than the 0.25% buffer amount, investors will receive the maximum payment at maturity of $1,254.86 minus [$1,000 × the product of (a) (1/0.75%) times (b) (i) the difference, expressed as a positive number, between the synthetic rate on the valuation date and the strike minus (ii) 0.25%], subject to a minimum payment of $254.86 per $1,000 principal amount of notes.
If the synthetic 5Y5Y SOFR CMS rate on the valuation date is equal to the strike or differs from the strike by no more than the 0.25% buffer amount, investors will receive the maximum 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
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| Underlying rate: | Synthetic 5Y5Y SOFR CMS rate, which equals (a) two times the 10-year U.S. dollar SOFR ICE swap rate minus (b) the five-year U.S. dollar SOFR ICE swap rate
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| Amount: | $25.14 million
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| Maturity: | May 20, 2024
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If synthetic rate on valuation date differs from strike by more than 0.25% buffer amount, maximum payment at maturity of $1,254.86 minus [$1,000 × product of (a) (1/0.75%) times (b) (i) difference, expressed as a positive number, between synthetic rate on valuation date and strike minus (ii) 0.25%], subject to minimum payment of $254.86 per $1,000 principal amount of notes; if synthetic rate on valuation date is equal to strike or differs from strike by no more than 0.25% buffer amount, maximum payment
|
| Strike rate: | 3.83%
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| Buffer amount: | 0.25%
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| Maximum payment: | $1,254.86
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| Minimum payment: | $254.86
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| Pricing date: | Feb. 15
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| Settlement date: | Feb. 20
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0%
|
| Cusip: | 17291LF26
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