New Issue: Citi sells $436,000 callable fixed-to-float range accrual notes on indexes, SOFR spread

Chicago, Aug. 16 – Citigroup Global Markets Holdings Inc. priced $436,000 callable fixed-to-float spread range accrual securities due July 21, 2042 contingent on the SOFR CMS spread and the least performing of the Nasdaq-100 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The interest rate is 15% for the first year, payable quarterly.

After that, the coupon will be based on the day count fraction when the accrual condition is met each quarter. The accrual condition will be satisfied on days when all three indexes close above their 50% accrual barriers.

The relevant contingent rate will be determined as 50 times the SOFR CMS spread which is the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate. There is a 0% floor and 15% cap on the contingent rate.

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

The payout at maturity will be par plus any coupon due.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable fixed-to-float spread range accrual securities
Underlying indexes:	Nasdaq-100 index, Russell 2000 index, S&P 500 index
Amount:	$436,000
Maturity:	July 21, 2042
Coupon:	15% annual rate, payable quarterly for first year; after that 50 times SOFR CMS spread which is the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate, with a 0% floor and a 15% cap; contingent rate will be payable based on the day count fraction when all three indexes close above their 50% accrual barriers
Price:	Par
Payout at maturity:	Par plus any coupon due
Call option:	At par on any quarterly interest payment date after one year
Initial levels:	3,830.85 for S&P, 11,877.50 for Nasdaq, 1,738.417 for Russell
Accrual barrier levels:	1,915.425 for S&P, 5,938.75 for Nasdaq, 869.209 for Russell; 50% of initial levels
Pricing date:	July 18, 2022
Settlement date:	July 21, 2022
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17330PSU4

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