New Issue: Citi sells $1.97 million fixed-to-float range accrual notes on SOFR ICE spread, indexes

By William Gullotti

Buffalo, N.Y., Jan. 29 – Citigroup Global Markets Holdings Inc. priced $1.97 million of callable fixed-to-float range accrual notes due Jan. 19, 2044 linked to both the CMS spread and the worst 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 will pay a quarterly fixed coupon at 11.2% per year for the first two years.

After the third year, it 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%.

The notes can be called at par on any quarterly coupon date after one year.

If the notes are not called and each index finishes at or above the 60% final barrier, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.

The notes are guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable fixed-to-float range accrual notes
Underlying assets:	30-year U.S. Dollar SOFR ICE swap rate, two-year U.S. Dollar SOFR ICE swap rate, S&P 500 index, Dow Jones industrial average, Euro Stoxx Banks index
Amount:	$1,969,000
Maturity:	Jan. 19, 2044
Price:	Par
Coupon:	11.2% annually, payable quarterly, for first two years; after that, annual coupon rate set at 50 times the spread of the 30-year SOFR ICE rate minus the two-year SOFR ICE rate for each day each index closes at or above the accrual barrier, payable quarterly; floating rate is subject to 0% floor
Payout at maturity:	If all indexes finish at or above the final barrier level, par; otherwise lose 1% for every 1% decline of the worst performer from its initial level
Call option:	Callable quarterly at par after one year
Initial levels:	117.69 for Stoxx Banks, 37,361.12 for Dow, 4,765.98 for S&P
Accrual barriers:	70.614 for Stoxx Banks, 22,416.672 for Dow, 2,859.588 for S&P; 60% of initial levels
Final barriers:	70.614 for Stoxx Banks, 22,416.672 for Dow, 2,859.588 for S&P; 60% of initial levels
Pricing date:	Jan. 16
Settlement date:	Jan. 18
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17291TPT9

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