New Issue: Citi prices $100,000 callable range accrual notes on indexes, SOFR CMS spread notes

By Kiku Steinfeld

Chicago, Oct. 24 – Citigroup Global Markets Holdings Inc. priced $100,000 of callable range accrual securities due March 1, 2032 contingent on the 30-year U.S. Dollar SOFR ICE swap rate, the two-year U.S. Dollar SOFR ICE swap rate and the least performing of the Russell 2000 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.

Interest will accrue at a rate of 8% for each day that the spread of the 30-year U.S. Dollar SOFR ICE swap rate minus the two-year U.S. Dollar SOFR ICE swap rate is at least zero and each index closes at or above the 65% accrual barrier, payable quarterly.

The notes will be callable at par on any quarterly redemption date after one year.

The payout at maturity will be par unless any index finishes below its 55% barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable range accrual securities
Underliers:	30-year U.S. Dollar SOFR ICE swap rate, the two-year U.S. Dollar SOFR ICE swap rate, Russell 2000 index, S&P 500 index
Amount:	$100,000
Maturity:	March 1, 2032
Coupon:	8% for each day that the spread of the 30-year swap rate rate minus the two-year swap rate is at least zero and each index closes at or above the accrual barrier, payable quarterly
Price:	Par
Payout at maturity:	Par unless any index finishes below its barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level
Call option:	At par on any quarterly redemption date after one year
Initial levels:	1,996.007 for Russell, 4,288.70 for S&P
Accrual barrier levels:	1,297.405 for Russell, 2,787.655 for S&P; 65% of initial levels
Final barrier levels:	1,097.804 for Russell, 2,358.785 for S&P; 55% of initial levels
Pricing date:	Feb. 24, 2022
Settlement date:	Feb. 28, 2022
Underwriter:	Citigroup Global Markets Inc.
Fees:	3%
Cusip:	17330AVJ8

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