New Issue: Citi sells $247,000 callable fixed-to-float range accrual notes on indexes, SOFR spread

By Kiku Steinfeld

Chicago, Oct. 24 – Citigroup Global Markets Holdings Inc. priced $247,000 callable fixed-to-float range accrual securities due Feb. 28, 2042 linked to the SOFR CMS spread and the least performing of the Euro Stoxx Banks index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The interest rate is 9.8% for the first three years, payable quarterly. After that, interest will accrue at an annual rate of 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 that each index closes at or above the 60% accrual barrier. The floating rate is also payable quarterly, subject to a floor of 0% and a ceiling of 9.8%.

The securities may be called on any interest payment date after one year.

The payout at maturity will be par if each index closes above 60% of its initial level.

Otherwise, investors will be fully exposed to the losses of the worst performing index.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable fixed-to-float range accrual securities
Underlying indexes:	Nasdaq-100 index, Euro Stoxx Banks index, S&P 500 index
Amount:	$247,000
Maturity:	Feb. 28, 2042
Coupon:	9.8% annually for the first three years, payable quarterly, after that, interest will accrue at an annual rate of 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 that each index closes at or above the 60% accrual barrier; payable quarterly
Price:	Par
Payout at maturity:	Par if each index finishes above final barrier level; otherwise, full exposure the decline of the worst performing index from its initial level
Call option:	At par on any interest payment date after one year
Initial levels:	96.27 for Stoxx Banks, 13,974.67 for Nasdaq, 4,288.70 for S&P
Accrual barrier levels:	57.762 for Stoxx Banks, 8,384.802 for Nasdaq, 2,573.220 for S&P; 60% of initial levels
Final barrier levels:	57.762 for Stoxx Banks, 8,384.802 for Nasdaq, 2,573.220 for S&P; 60% of initial levels
Pricing date:	Feb. 24, 2022
Settlement date:	Feb. 28, 2022
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17330ALF7

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