By Kiku Steinfeld
Chicago, June 8 – Citigroup Global Markets Holdings Inc. priced $1.45 million of 0% enhanced barrier digital plus securities due May 24, 2022 linked to the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the final 10-year CMS rate is greater than or equal to the barrier value, 70% of the initial CMS rate, the payout at maturity will be par plus a digital return of 7.45%.
If the final 10-year CMS rate is less than the final barrier value, investors will be fully exposed to the decline of the CMS rate from its initial level. The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter. J.P. Morgan Securities LLC is the placement agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Enhanced barrier digital plus securities
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| Underlying rate: | 10-year Constant Maturity Swap rate
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| Amount: | $1.45 million
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| Maturity: | May 24, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If CMS rate finishes at or above 70% barrier, par plus 7.45%; otherwise, full exposure to decline
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| Initial value: | 1.538%
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| Barrier level: | 1.0766%, 70% of initial value
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| Pricing date: | May 7
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| Settlement date: | May 11
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| Underwriter: | Citigroup Global Markets Inc. with J.P. Morgan Securities LLC as placement agent.
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| Fees: | 1%
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| Cusip: | 17329FNP5
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