New Issue: Citi sells $300,000 callable fixed-to-float range accrual notes on indexes

By Kiku Steinfeld

Chicago, Oct. 6 – Citigroup Global Markets Holdings Inc. priced $300,000 of callable fixed-to-float range accrual notes due Feb. 18, 2037 linked to the SOFR CMS spread and the lesser performing of the Euro Stoxx Banks index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The interest rate is fixed at 10% for the first two years, payable quarterly.

After two years, the rate is 50 times the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate for each day both indexes close at or above 65% of their initial levels, subject to a maximum rate of 10% and a floor of zero.

The notes may be called on any quarterly coupon payment date after one year.

The payout at maturity will be par plus if each index finishes at or above 50% of its initial level. Otherwise, investors will be exposed to the decline of the lesser performing index.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable fixed-to-float SOFR CMS spread range accrual notes
Underlying assets:	Euro Stoxx Banks index, S&P 500 index, 30-year U.S. dollar SOFR ICE swap rate, two-year U.S. dollar SOFR ICE swap rate
Amount:	$300,000
Maturity:	Feb. 18, 2037
Coupon:	10% fixed for first two years, payable quarterly; after that, 50 times the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate for each day both indexes close at or above their accrual barrier levels, subject to a maximum rate of 10% and a floor of zero
Price:	Par
Payout at maturity:	Par if each index finishes at or above 50% of its initial level; otherwise, exposure to decline of lesser performing index
Call option:	At par on any quarterly interest payment date after one year
Initial levels:	4,471.07 for S&P, 112.44 for Stoxx
Accrual barrier levels:	2,906.196 for S&P, 73.086 for Stoxx, 65% of initial levels
Final barrier levels:	2,235.535 for S&P, 56.220 for Stoxx; 50% of initial levels
Pricing date:	Feb. 15
Settlement date:	Feb. 18
Underwriter:	Citigroup Global Markets Inc.
Fees:	3.5%
Cusip:	17330AE81

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