New Issue: Citi sells $350,000 fixed-to-float SOFR CMS range accrual notes on indexes

Chicago, Oct. 18 – Citigroup Global Markets Holdings Inc. priced $350,000 callable fixed-to-float SOFR CMS range accrual securities due Oct. 20, 2042 linked to 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 are guaranteed by Citigroup Inc.

The interest rate is 12% for the first two years, payable quarterly. After that, the coupon will be based on the 30-year U.S. dollar SOFR ICE swap rate plus a 500 basis points. The coupon interest rate will be capped at 12% and floored at 0%.

The coupon after the first two years will be paid based on the number of days in the quarterly accrual period when the three indexes close above the 59% accrual barrier.

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

The payout at maturity will be par if all three indexes close above their 59% final barrier levels.

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

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable fixed-to-float CMS range accrual securities
Underlying indexes:	S&P 500 index, Dow Jones industrial average and Euro Stoxx Banks index
Amount:	$350,000
Maturity:	Oct. 20, 2042
Coupon:	12% for the first two years, payable quarterly; after that, annualized rate of 30-year U.S. dollar SOFR ICE swap rate plus 500 bps for each day all three indexes close above accrual barrier levels in quarterly accrual period; cap of 12%, floor of 0%
Price:	Par
Payout at maturity:	Par if all three indexes close above final barrier levels; otherwise, full exposure to losses of worst performer
Call option:	At par on any interest payment date starting after one year
Initial levels:	30,185.82 for Dow, 82.84 for Stoxx Banks, 3,677.95 for S&P
Accrual barrier levels:	17,809.634 for Dow, 48.876 for Stoxx Banks, 2,169.991 for S&P; 59% of initial levels
Final barrier levels:	17,809.634 for Dow, 48.876 for Stoxx Banks, 2,169.991 for S&P; 59% of initial levels
Pricing date:	Oct. 17, 2022
Settlement date:	Oct. 19, 2022
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17330RSB2

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