New Issue: Citi sells $770,000 callable fixed-to-float CMS spread range accrual notes on indexes

Chicago, Aug. 17 – Citigroup Global Markets Holdings Inc. priced $770,000 of callable fixed to float SOFR CMS spread range accrual securities due July 27, 2032 linked to the lesser performing of the S&P 500 index, the Dow Jones industrial average and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The interest rate is 11% for the first two years. After that, it will accrue at 50 times the spread of the 30-year U.S. Dollar SOFR ICE swap rate minus the two-year U.S. Dollar SOFR ICE swap rate for each day each index closes at or above the accrual barrier, 50% of the initial index level, subject to a maximum of 11% and a floor of zero. Interest will be payable quarterly.

After one year, the notes will be callable at par on any quarterly interest payment date.

If the least-performing index finishes at or above its 50% barrier level, the payout at maturity will be par.

Otherwise, investors will lose 1% for every 1% that the least-performing index declines from its initial level.

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 securities
Underlying indexes:	S&P 500 index, Dow Jones industrial average, Euro Stoxx Banks index
Amount:	$770,000
Maturity:	July 27, 2032
Coupon:	11% for the first two years; after that, 50 times the spread of the 30-year U.S. Dollar SOFR ICE Swap rate minus the 2-year U.S. Dollar SOFR ICE Swap rate for each day each index closes at or above the accrual barrier, subject to a maximum of 11% and a floor of zero; payable quarterly
Price:	Par
Payout at maturity:	If least-performing index finishes at or above barrier level, par; otherwise, 1% loss for every 1% that least-performing index declines from initial level
Call option:	At par on any quarterly interest payment date after one year
Initial levels:	32,197.59 for Dow, 78.17 for Stoxx, 4,023.61 for S&P
Accrual barrier levels:	16,098.795 for Dow, 39.085 for Stoxx, 2,011.805 for S&P, 50% of initial levels
Barrier levels:	16,098.795 for Dow, 39.085 for Stoxx, 2,011.805 for S&P, 50% of initial levels
Pricing date:	July 27, 2022
Settlement date:	July 29, 2022
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17330PCR8

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