An investment in the notes is significantly riskier
than an investment in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional
debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the
notes, and are also subject to risks associated with the underlying. Accordingly, the notes are suitable only for investors who are capable
of understanding the complexities and risks of the notes. You should consult your own financial, tax and legal advisors as to the risks
of an investment in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk
factors for investors in the notes. You should read this summary together with the more detailed description of risks relating to an investment
in the notes contained in the section “Risk Factors Relating to the Notes” beginning on page EA-6 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
You May Not Receive Any Return
On Your Investment In The Notes In Excess Of The Minimum Return.
You will receive a return on your investment in the
notes in excess of the minimum return only if the final average underlying value is greater than the initial underlying value by a percentage
greater than the minimum return. If the final average underlying value is equal to or less than the initial underlying value, you will
receive only the stated principal amount plus the minimum return for each note you hold at maturity. The minimum return represents a below-market
yield to maturity as compared to a traditional interest-bearing debt security of Citigroup Global Markets Holdings Inc. or another issuer
with a similar credit rating with the same stated maturity date. Accordingly, if you do not receive a return at maturity sufficiently
in excess of the minimum return, the yield that you will receive on the notes may be less than the return you could earn on other investments.
The Notes Do Not Pay Interest.
Unlike conventional debt securities,
the notes do not pay interest or any other amounts prior to maturity. You should not invest in the notes if you seek current income during
the term of the notes.
The Potential For A Return
On The Notes At Stated Maturity In Excess Of The Minimum Return Is Based On The Average Performance Of The Underlying During The Term
Of The Notes, Which May Be Less Favorable Than The Performance Of The Underlying As Measured From Its Initial Underlying Value To Its
Closing Value At Or Near Stated Maturity.
The potential for a return on
the notes at stated maturity in excess of the minimum return is based on the final average underlying value, which will be calculated
by reference to an average of the closing values of the underlying on valuation dates occurring quarterly over the term of the notes.
The final average underlying value, as so calculated, may be less than the closing value of the underlying at or near stated maturity.
If the final average underlying value is less than the closing value of the underlying at or near stated maturity, the average performance
of the underlying that is measured for purposes of the notes will be less favorable than the performance of the underlying as measured
from its initial underlying value to its closing value at or near stated maturity, which we refer to as its “point-to-point”
performance. As a result, the return on the notes may underperform the point-to-point performance of the underlying and, therefore, may
underperform the return that would have been achieved on a direct investment in the underlying held over the term of the notes.
For example, if the value of
the underlying increases at a more or less steady rate over the term of the notes, the final average underlying value will be less than
the closing value of the underlying at or near stated maturity, and the average performance of the underlying as measured for purposes
of the notes will be less than its point-to-point performance. This underperformance will be especially significant if there is a significant
increase in the value of the underlying later in the term of the notes. In addition, because of the way the final average underlying value
is calculated, it is possible that you will not receive any return on your investment at stated maturity in excess of the minimum return
even if the closing value of the underlying at or near stated maturity is significantly greater than the initial underlying value. One
scenario in which this may occur is when the value of the underlying declines early in the term of the notes and increases significantly
later in the term of the notes. You should not invest in the notes unless you understand and are willing to accept the return characteristics
associated with the averaging feature of the notes.
You Will Not Receive Dividends
Or Have Any Other Rights With Respect To The Underlying.
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 |  |
You will not receive any dividends
with respect to the underlying. This lost dividend yield may be significant over the term of the notes. The payment scenarios described
in this pricing supplement do not show any effect of lost dividend yield over the term of the notes. In addition, you will not have voting
rights or any other rights with respect to the underlying.
Although The Notes Provide
For The Payment Of The Stated Principal Amount Plus The Minimum Return At Maturity, You May Nevertheless Suffer A Loss On Your Investment
In Real Value Terms.
This is because inflation may
cause the real value of the stated principal amount plus the minimum return to be less at maturity than it is at the time you invest,
and because an investment in the notes represents a forgone opportunity to invest in an alternative asset that does generate a positive
real return. This potential loss in real value terms is significant given the term of the notes. You should carefully consider whether
an investment that may not provide for any return on your investment in excess of the minimum return, or may provide a return that is
lower than the return on alternative investments, is appropriate for you.
The Notes Are Subject To
The Credit Risk Of Citigroup Global Markets Holdings Inc. And Citigroup Inc.
If we default on our obligations
under the notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you under the notes.
The Notes Are Riskier Than
Securities With A Shorter Term.
The notes are relatively long-dated.
Because the notes are relatively long-dated, many of the risks of the notes are heightened as compared to securities with a shorter term,
because you will be subject to those risks for a longer period of time. In addition, the value of a longer-dated security is typically
less than the value of an otherwise comparable security with a shorter term.
The Notes Will Not Be Listed On Any Securities
Exchange And You May Not Be Able To Sell Them Prior To Maturity.
The notes will not be listed on any securities
exchange. Therefore, there may be little or no secondary market for the notes. We have been advised that Wells Fargo currently intends
to make a secondary market in relation to the notes. However, Wells Fargo may suspend or terminate making a market without notice, at
any time and for any reason. If Wells Fargo suspends or terminates making a market, there may be no secondary market at all for the notes
because it is likely that Wells Fargo will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly,
an investor must be prepared to hold the notes until maturity.
Sale Of The Notes Prior To Maturity May Result
In A Loss Of Principal.
You will be entitled to receive at least the full
stated principal amount of your notes plus the minimum return, subject to the credit risk of Citigroup Global Markets Holdings
Inc. and Citigroup Inc., only if you hold the notes to maturity. The value of the notes may fluctuate during the term of the notes, and
if you are able to sell your notes prior to maturity, you may receive less than the full stated principal amount of your notes.
The Estimated Value Of The Notes On The Pricing
Date, Based On CGMI’s Proprietary Pricing Models And Our Internal Funding Rate, Is Less Than The Public Offering Price.
The difference is attributable to certain costs
associated with selling, structuring and hedging the notes that are included in the public offering price. These costs include (i) any
selling concessions or other fees paid in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our
affiliates in connection with the offering of the notes and (iii) the expected profit (which may be more or less than actual profit) to
CGMI or other of our affiliates and/or Wells Fargo or its affiliates in connection with hedging our obligations under the notes. These
costs adversely affect the economic terms of the notes because, if they were lower, the economic terms of the notes would be more favorable
to you. The economic terms of the notes are also likely to be adversely affected by the use of our internal funding rate, rather than
our secondary market rate, to price the notes. See “The Estimated Value Of The Notes Would Be Lower If It Were Calculated Based
On Wells Fargo’s Determination Of The Secondary Market Rate With Respect To Us” below.
The Estimated Value Of The Notes Was Determined
For Us By Our Affiliate Using Proprietary Pricing Models.
CGMI derived the estimated value disclosed on
the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about
the inputs to its models, such as the volatility in the closing value of the underlying, the dividend yields on the underlying and interest
rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s
interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection
of the value of the notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement may differ
from the value that we or our affiliates may determine for the notes for other purposes,
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
including for accounting purposes. You should
not invest in the notes because of the estimated value of the notes. Instead, you should be willing to hold the notes to maturity irrespective
of the initial estimated value.
The Estimated Value Of The Notes Would Be Lower
If It Were Calculated Based On Wells Fargo’s Determination Of The Secondary Market Rate With Respect To Us.
The estimated value of the notes included in this
pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through
the issuance of the notes. We expect that our internal funding rate is generally lower than Wells Fargo’s determination of the secondary
market rate with respect to us, which is the rate that we expect Wells Fargo will use in determining the value of the notes for purposes
of any purchases of the notes from you in the secondary market. If the estimated value included in this pricing supplement were based
on Wells Fargo’s determination of the secondary market rate with respect to us, rather than our internal funding rate, it would
likely be lower. We determine our internal funding rate based on factors such as the costs associated with the notes, which are generally
higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate
is not an interest rate that is payable on the notes.
Because there is not an active market for traded
instruments referencing our outstanding debt obligations, Wells Fargo may determine the secondary market rate with respect to us for purposes
of any purchase of the notes from you in the secondary market based on the market price of traded instruments referencing the debt obligations
of Citigroup Inc., our parent company and the guarantor of all payments due on the notes, but subject to adjustments that Wells Fargo
may deem appropriate.
The Estimated Value Of The Notes Is Not An
Indication Of The Price, If Any, At Which Any Person May Be Willing To Buy The Notes From You In The Secondary Market.
Any such secondary market price will fluctuate
over the term of the notes based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, we expect that any value of the notes determined for purposes of a secondary market transaction will
be based on Wells Fargo’s determination of the secondary market rate with respect to us, which will likely result in a lower value
for the notes than if our internal funding rate were used. In addition, we expect that any secondary market price for the notes will be
reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the notes to be purchased in the secondary
market transaction, and may be reduced by the expected cost of unwinding related hedging transactions. As a result, it is likely that
any secondary market price for the notes will be less than the public offering price.
The Value Of The Notes Prior To Maturity Will
Fluctuate Based On Many Unpredictable Factors.
The value of your notes prior to maturity will
fluctuate based on the value of the underlying, the volatility in the closing value of the underlying, the dividend yield on the underlying,
interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary
market rate, among other factors described under “Risk Factors Relating to the Notes—Risk Factors Relating to All Notes—The
value of your notes prior to maturity will fluctuate based on many unpredictable factors” in the accompanying product supplement.
Changes in the value of the underlying may not result in a comparable change in the value of your notes. You should understand that the
value of your notes at any time prior to maturity may be significantly less than the public offering price.
We Have Been Advised That, Immediately Following
Issuance, Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements
Prepared By Wells Fargo Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.
The amount of this temporary upward adjustment
will steadily decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing supplement.
Our Offering Of The Notes Is Not A Recommendation
Of The Underlying.
The fact that we are offering the notes does not
mean that we or Wells Fargo or its affiliates believe that investing in an instrument linked to the underlying is likely to achieve favorable
returns. In fact, as we and Wells Fargo and its affiliates are each part of respective global financial institutions, our affiliates and
affiliates of Wells Fargo may have positions (including short positions) in the underlying or in instruments related to the underlying,
and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying. These and
other activities of our affiliates or of Wells Fargo or its affiliates may affect the closing values of the underlying in a way that negatively
affects the value of and your return on the notes.
The Closing Value Of The Underlying May Be
Adversely Affected By Our Or Our Affiliates’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
We expect to hedge our obligations under the notes
through CGMI or other of our affiliates and/or Wells Fargo or its affiliates, who may take positions in the underlying or in financial
instruments related to the underlying and may adjust such positions during the term of the notes. Our affiliates and Wells Fargo and its
affiliates may also take positions in the underlying or in financial instruments related to the underlying on a regular basis (taking
long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf
of customers. These activities could affect the closing values of the underlying in a way that negatively affects the value of and your
return on the notes. They could also result in substantial returns for us or our affiliates or Wells Fargo and its affiliates while the
value of the notes declines.
We And Our Affiliates And Wells Fargo And Its
Affiliates May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.
Our affiliates and Wells Fargo and its affiliates
engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating investments,
underwriting securities offerings and providing advisory services. These activities could involve or affect the underlying in a way that
negatively affects the value of and your return on the notes. They could also result in substantial returns for us or our affiliates or
Wells Fargo or its affiliates while the value of the notes declines. In addition, in the course of this business, we or our affiliates
or Wells Fargo or its affiliates may acquire non-public information, which will not be disclosed to you.
The Calculation Agent, Which Is An Affiliate
Of Ours, Will Make Important Determinations With Respect To The Notes.
If certain events occur during the term of the
notes, such as market disruption events and other events with respect to the underlying, CGMI, as calculation agent, will be required
to make discretionary judgments that could significantly affect your return on the notes. In making these judgments, the calculation agent’s
interests as an affiliate of ours could be adverse to your interests as a holder of the notes. See “Risk Factors Relating to the
Notes—Risk Factors Relating to All Notes—The calculation agent, which is an affiliate of ours, will make important determinations
with respect to the notes” in the accompanying product supplement.
Changes That Affect The Underlying May Affect
The Value Of Your Notes.
The sponsor of the underlying may at any time
make methodological changes or other changes in the manner in which they operate that could affect the values of the underlying. We are
not affiliated with the underlying sponsor and, accordingly, we have no control over any changes the sponsor may make. Such changes could
adversely affect the performance of the underlying and the value of and your return on the notes.
The Stated Maturity Date May Be Postponed If
The Final Valuation Date Is Postponed.
A valuation date (including the final valuation
date) will be postponed if the applicable originally scheduled valuation date is not a trading day with respect to the underlying or if
the calculation agent determines that a market disruption event has occurred or is continuing on that valuation date. If such a postponement
occurs with respect to the final valuation date, the stated maturity date will be the later of (i) the initial stated maturity date
and (ii) three business days after the final valuation date as postponed.
You Will Be Required To Recognize Taxable Income
On The Notes Prior To Maturity.
If you are a U.S. holder of a note, you will be
required to recognize taxable interest income in each year that you hold the note, even though you will not receive any payment in respect
of the note prior to maturity (or earlier sale, exchange or retirement). In addition, any gain you recognize will be treated as ordinary
interest income rather than capital gain. You should review the section of this pricing supplement entitled “United States Federal
Tax Considerations.”
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
The table below is based on a range of hypothetical
percentage changes from the initial underlying value to the hypothetical final average underlying value and illustrates:
| • | the hypothetical percentage change from the initial underlying value to the hypothetical final average
underlying value; |
| • | the hypothetical payment at maturity per note; and |
| • | the hypothetical total pre-tax rate of return. |
The table below is based on a hypothetical initial
underlying value of 100 and does not reflect the actual initial underlying value. The table below assumes that the participation rate will be set at the lowest value indicated in “Terms of the Notes” above. The actual participation rate will be determined on the pricing date.
| |
|
|
|
|
Hypothetical
final average underlying value
|
Hypothetical
percentage change
from the initial underlying value
to the hypothetical final average underlying value
|
Hypothetical payment at maturity per note |
Hypothetical total pre-tax rate of return |
| 200.00 |
100.00% |
$2,100.00 |
110.00% |
| 175.00 |
75.00% |
$1,825.00 |
82.50% |
| 150.00 |
50.00% |
$1,550.00 |
55.00% |
| 140.00 |
40.00% |
$1,440.00 |
44.00% |
| 130.00 |
30.00% |
$1,330.00 |
33.00% |
| 120.00 |
20.00% |
$1,220.00 |
22.00% |
| 110.00 |
10.00% |
$1,110.00 |
11.00% |
| 102.00 |
2.00% |
$1,022.00 |
2.20% |
| 101.83 |
1.83% |
$1,020.10 |
2.01% |
| 101.82 |
1.82% |
$1,020.00 |
2.00% |
| 100.00 |
0.00% |
$1,020.00 |
2.00% |
| 90.00 |
-10.00% |
$1,020.00 |
2.00% |
| 80.00 |
-20.00% |
$1,020.00 |
2.00% |
| 70.00 |
-30.00% |
$1,020.00 |
2.00% |
| 60.00 |
-40.00% |
$1,020.00 |
2.00% |
| 50.00 |
-50.00% |
$1,020.00 |
2.00% |
| 25.00 |
-75.00% |
$1,020.00 |
2.00% |
| 0.00 |
-100.00% |
$1,020.00 |
2.00% |
| |
|
|
|
|
|
|
The above figures
are for purposes of illustration only and may have been rounded for ease of analysis.
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
The examples below illustrate how to determine
the payment at maturity on the notes, assuming the various hypothetical final average underlying values indicated below. The examples
are solely for illustrative purposes, do not show all possible outcomes and are not a prediction of what the actual payment at maturity
on the notes will be. The actual payment at maturity will depend on the actual final average underlying value.
The examples below are based on a hypothetical
initial underlying value of 100, rather than the actual initial underlying value. For the actual initial underlying value, see “Terms
of the Notes” above. We have used this hypothetical value, rather than the actual value, to simplify the calculations and aid understanding
of how the notes work. However, you should understand that the actual payment at maturity on the notes will be calculated based on the
actual initial underlying value, and not the hypothetical value used in the examples below. The examples below assume that the participation rate will be set at the lowest value indicated in “Terms of the Notes” above. The actual minimum
return and participation rate will be determined on the pricing date.
Example 1—The underlying generally appreciates
earlier in the term of the notes and depreciates later in the term of the notes, and the hypothetical final average underlying value is
103.10, which is greater than the hypothetical initial underlying value.
Payment at maturity per note =
$1,000 plus the greater of (i) the minimum return and (ii) 
= $1,000 plus the greater of (i) $20.00 and (ii) 
= $1,000 plus the greater of (i) $20.00 and (ii) $34.10
= $1,000 + $34.10
= $1,034.10
Because the final average underlying value is
greater than the hypothetical initial underlying value, you would receive a total return at maturity equal to the greater of (i) the minimum
return and (ii) the percentage change from the hypothetical initial underlying value to the hypothetical final average underlying value
multiplied by the participation rate. This example illustrates a scenario in which the averaging feature results in a greater return
at maturity than a return based solely on the closing value of the underlying on a date near maturity. In this scenario, the closing value
of the underlying increases early in the term of the notes, remains consistently above the initial underlying value for a significant
period of time and then decreases to a value below the final average underlying value near
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
maturity of the notes. Note that, as Examples
2 and 3 illustrate, there are other scenarios in which the averaging approach would result in a lower return at maturity.
Example 2—The underlying generally depreciates
earlier in the term of the notes and appreciates later in the term of the notes, and the hypothetical final average underlying value is
89.40, which is less than the hypothetical initial underlying value.
Payment at maturity per note = $1,000 plus
the minimum return
= $1,020.00
Because the hypothetical final average underlying
value is less than the initial underlying value, you would receive the stated principal amount of your notes plus the minimum return
at maturity. This example illustrates a scenario in which the averaging feature results in a return at maturity equal to only the minimum
return even though the closing value of the underlying on a date near maturity is greater than the initial underlying value by more than
the minimum return. In this scenario, the closing value of the underlying decreases early in the term of the notes, remains consistently
below the initial underlying value for a significant period of time and then increases later in the term of the notes.
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
Example 3—The underlying generally appreciates over the term
of the notes, and the hypothetical final average underlying value is 126.00, which is greater than the hypothetical initial underlying
value.
Payment at maturity per note =
$1,000 plus the greater of (i) the minimum return and (ii)
= $1,000 plus the greater of (i) $20.00 and (ii) 
= $1,000 plus the greater of (i) $20.00 and (ii) $286.00
= $1,000 + $286.00
= $1,286.00
Because the final average underlying value is greater than the hypothetical
initial underlying value, you would receive a total return at maturity equal to the greater of (i) the minimum return and (ii) the percentage
change from the hypothetical initial underlying value to the hypothetical final average underlying value multiplied by the participation
rate. This example illustrates a scenario in which the averaging feature results in a lower return at maturity than a return based solely
on the closing value of the underlying on a date near maturity. In this scenario, the closing value of the underlying steadily increases
over the term of the notes, resulting in a closing value near maturity that is greater than the final average underlying value.
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
Example 4—The underlying generally depreciates over the term
of the notes, and the hypothetical final average underlying value is 68.50, which is less than the hypothetical initial underlying value.
Payment at maturity per note = $1,000 plus
the minimum return
= $1,020.00
Because the hypothetical final average underlying
value is less than the initial underlying value, you would receive the stated principal amount of your notes plus the minimum return
at maturity. This example illustrates that the notes provide for a minimum return at maturity even in scenarios in which the final average
underlying value of the underlying is less than the initial underlying value.
To the extent that the final average underlying
value, initial underlying value and minimum return differ from the values assumed above, the results indicated above would be different.
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
|
Additional Terms of the Notes |
The following provisions supersede the provisions
in the product supplement to the extent that they are inconsistent from those provisions.
Certain Definitions
A “trading
day” means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with respect to each security
underlying the underlying are scheduled to be open for trading for their respective regular trading sessions and (ii) each related futures
or options exchange is scheduled to be open for trading for its regular trading session.
The “relevant
stock exchange” for any security underlying the underlying means the primary exchange or quotation system on which such security
is traded, as determined by the calculation agent.
The “related
futures or options exchange” for the underlying means an exchange or quotation system where trading has a material effect (as determined
by the calculation agent) on the overall market for futures or options contracts relating to the underlying.
Postponement of a Valuation Date
If any scheduled valuation date is not a trading
day, such valuation date will be postponed to the next succeeding day that is a trading day. A valuation date is also subject to postponement
due to the occurrence of a market disruption event. See “—Market Disruption Events.”
Market Disruption Events
A “market disruption event”
with respect to the underlying means any of the following events as determined by the calculation agent in its sole discretion:
| (A) | The occurrence or existence of a material
suspension of or limitation imposed on trading by the relevant stock exchanges or otherwise
relating to securities which then comprise 20% or more of the value of the underlying or
any successor index at any time during the one-hour period that ends at the close of trading
on that day, whether by reason of movements in price exceeding limits permitted by those
relevant stock exchanges or otherwise. |
| (B) | The occurrence or existence of a material
suspension of or limitation imposed on trading by any related futures or options exchange
or otherwise in futures or options contracts relating to the underlying or any successor
index on any related futures or options exchange at any time during the one-hour period that
ends at the close of trading on that day, whether by reason of movements in price exceeding
limits permitted by the related futures or options exchange or otherwise. |
| (C) | The occurrence or existence of any event,
other than an early closure, that materially disrupts or impairs the ability of market participants
in general to effect transactions in, or obtain market values for, securities that then comprise
20% or more of the value of the underlying or any successor index on their relevant stock
exchanges at any time during the one-hour period that ends at the close of trading on that
day. |
| (D) | The occurrence or existence of any event,
other than an early closure, that materially disrupts or impairs the ability of market participants
in general to effect transactions in, or obtain market values for, futures or options contracts
relating to the underlying or any successor index on any related futures or options exchange
at any time during the one-hour period that ends at the close of trading on that day. |
| (E) | The closure on any exchange business
day of the relevant stock exchanges on which securities that then comprise 20% or more of
the value of the underlying or any successor index are traded or any related futures or options
exchange with respect to the underlying or any successor index prior to its scheduled closing
time unless the earlier closing time is announced by the relevant stock exchange or related
futures or options exchange, as applicable, at least one hour prior to the earlier of (1)
the actual closing time for the regular trading session on such relevant stock exchange or
related futures or options exchange, as applicable, and (2) the submission deadline for orders
to be entered into the relevant stock exchange or related futures or options exchange, as
applicable, system for execution at such actual closing time on that day. |
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
| (F) | The relevant stock exchange for any security
underlying the underlying or successor index or any related futures or options exchange with
respect to the underlying or successor index fails to open for trading during its regular
trading session. |
For purposes of determining whether a market
disruption event has occurred with respect to the underlying:
| (1) | the relevant percentage contribution of a security
to the value of the underlying or any successor index will be based on a comparison of (x)
the portion of the value of the underlying attributable to that security and (y) the
overall value of the underlying or successor index, in each case immediately before the occurrence
of the market disruption event; |
| (2) | the “close of trading” on any trading
day for the underlying or any successor index means the scheduled closing time of the relevant
stock exchanges with respect to the securities underlying the underlying or successor index
on such trading day; provided that, if the actual closing time of the regular trading session
of any such relevant stock exchange is earlier than its scheduled closing time on such trading
day, then (x) for purposes of clauses (A) and (C) of the definition of “market disruption
event” above, with respect to any security underlying the underlying or successor index
for which such relevant stock exchange is its relevant stock exchange, the “close of
trading” means such actual closing time and (y) for purposes of clauses (B) and
(D) of the definition of “market disruption event” above, with respect to any
futures or options contract relating to the underlying or successor index, the “close
of trading” means the latest actual closing time of the regular trading session of
any of the relevant stock exchanges, but in no event later than the scheduled closing time
of the relevant stock exchanges; |
| (3) | the “scheduled closing time” of any
relevant stock exchange or related futures or options exchange on any trading day for the
underlying or any successor index means the scheduled weekday closing time of such relevant
stock exchange or related futures or options exchange on such trading day, without regard
to after hours or any other trading outside the regular trading session hours; and |
| (4) | an “exchange business day” means any
trading day for the underlying or any successor index on which each relevant stock exchange
for the securities underlying the underlying or any successor index and each related futures
or options exchange with respect to the underlying or any successor index are open for trading
during their respective regular trading sessions, notwithstanding any such relevant stock
exchange or related futures or options exchange closing prior to its scheduled closing time. |
If a market disruption event occurs or is continuing
on any valuation date, then such valuation date will be postponed to the first succeeding trading day on which a market disruption event
has not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading day after
the originally scheduled valuation date, that eighth trading day shall be deemed to be the valuation date. If a valuation date has been
postponed eight trading days after the originally scheduled valuation date and a market disruption event occurs or is continuing on such
eighth trading day, the calculation agent will determine the closing value of the underlying on such eighth trading day in accordance
with the formula for and method of calculating the closing value of the underlying last in effect prior to commencement of the market
disruption event, using the closing price (or, with respect to any relevant security, if a market disruption event has occurred with
respect to such security, its good faith estimate of the value of such security at the scheduled
closing time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session
of such relevant stock exchange) on such date of each security included in the underlying. As used herein, “closing price”
means, with respect to any security on any date, the relevant stock exchange traded or quoted price of such security as of the scheduled
closing time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session
of such relevant stock exchange.
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
| Information About the S&P 500® Index |
The S&P 500® Index consists
of the common stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity
markets. It is calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index
Descriptions—The S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement
for additional information.
We have derived all information regarding the
S&P 500® Index from publicly available information and have not independently verified any information regarding the
S&P 500® Index. This pricing supplement relates only to the notes and not to the S&P 500® Index.
We make no representation as to the performance of the S&P 500® Index over the term of the notes.
The notes represent obligations of Citigroup Global
Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index is not involved in any
way in this offering and has no obligation relating to the notes or to holders of the notes.
Historical Information
The closing value of the S&P 500® Index on May 10,
2022 was 4,001.05.
The graph below shows the closing value of the
S&P 500® Index for each day such value was available from January 3, 2017 to May 10, 2022. We obtained the closing
values from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication of future
performance.
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
| Supplemental Plan of Distribution |
Pursuant to the terms of the Amended and Restated
Global Selling Agency Agreement, dated April 7, 2017, CGMI, acting as principal, will purchase the notes from Citigroup Global Markets
Holdings Inc. CGMI, as the lead agent for the offering, expects to sell the notes to Wells Fargo, as agent. Wells Fargo will receive an
underwriting discount and commission of up to 4.75% ($47.50) for each note it sells. Wells Fargo will pay selected dealers, which may
include WFA, a fixed selling commission of 2.50% ($25.00) for each note they sell. In addition to the selling commission allowed to WFA,
Wells Fargo may pay $1.20 per note of the underwriting discount and commission to WFA as a distribution expense fee for each note sold
by WFA.
In addition, in respect of certain notes sold
in this offering, CGMI may pay a fee of up to $5.00 per note to selected securities dealers in consideration for marketing and other services
in connection with the distribution of the notes to other securities dealers.
The public offering price of the notes includes
the underwriting discount and commission described on the cover page of this pricing supplement and the estimated cost of hedging our
obligations under the notes. We expect to hedge our obligations under the notes through affiliated or unaffiliated counterparties, which
may include our affiliates or affiliates of Wells Fargo. Our cost of hedging will include the projected profit that such counterparties,
which may include our affiliates and affiliates of Wells Fargo, expect to realize in consideration for assuming the risks inherent in
hedging our obligations under the notes. Because hedging our obligations entails risks and may be influenced by market forces beyond the
control of any counterparty, which may include our affiliates and affiliates of Wells Fargo, such hedging may result in a profit that
is more or less than expected, or could result in a loss.
This pricing supplement and the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus may be used by Wells Fargo or an affiliate of Wells Fargo in connection
with offers and sales related to market-making or other transactions in the notes. Wells Fargo or an affiliate of Wells Fargo may act
as principal or agent in such transactions. Such sales will be made at prices related to prevailing market prices at the time of sale
or otherwise.
No action has been or will be taken by Citigroup
Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them that would permit a public offering of the notes
or possession or distribution of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement
or prospectus in any jurisdiction, other than the United States, where action for that purpose is required. No offers, sales or deliveries
of the notes, or distribution of this pricing supplement, the accompanying product supplement, underlying supplement or prospectus supplement
and prospectus, may be made in or from any jurisdiction except in circumstances that will result in compliance with any applicable laws
and regulations and will not impose any obligations on Citigroup Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates
of any of them.
For the following jurisdictions, please note specifically:
Prohibition of Sales to European Economic Area
Retail Investors
The notes may not be offered, sold or otherwise made available to any
retail investor in the European Economic Area (“EEA”). For the purposes of this provision:
| (a) | the expression “retail investor” means a person who is one (or more) of the following: |
| (i) | a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or |
| (ii) | a customer within the meaning of Directive (EU) 2016/97 (the “Insurance Distribution Directive”), where that customer
would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or |
| (iii) | not a qualified investor as defined in Regulation (3)(e) (EU) 2017/1129 (as amended, the “Prospectus Regulation”); and |
| (b) | the expression an “offer” includes the communication in any form and by any means of sufficient information on the terms
of the offer and the notes to be offered so as to enable an investor to decide to purchase or subscribe for the notes. |
Consequently no key information document required
by Regulation (EU) No 1286/2014 (the “PRIIPs Regulation”) for offering or selling the notes or otherwise making them available
to retail investors in the EEA has been prepared and therefore offering or selling the notes or otherwise making them available to any
retail investor in the EEA may be unlawful under the PRIIPs Regulation.
Prohibition of Sales to United Kingdom Retail
Investors
The notes may not be offered, sold or otherwise made available to any
retail investor in the United Kingdom. For the purposes of this provision:
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
| (a) | the expression “retail investor” means a person who is one (or more) of the following: |
| (i) | a retail client, as defined in point (8) of Article 2 of Regulation (EU) No 2017/565 as it forms part of United Kingdom domestic law
by virtue of the European Union (Withdrawal) Act 2018 (the “EUWA”) and the regulations made under the EUWA; or |
| (ii) | a customer within the meaning of the provisions of the Financial Services and Markets Act 2000 (as amended) (the “FSMA”)
and any rules or regulations made under the FSMA to implement Directive (EU) 2016/97, where that customer would not qualify as a professional
client, as defined in point (8) of Article 2(1) of Regulation (EU) No 600/2014 as it forms part of United Kingdom domestic law by virtue
of the EUWA and the regulations made under the EUWA; or |
| (iii) | not a qualified investor as defined in Regulation (3)(e) of the Prospectus Regulation; and |
| (b) | the expression an “offer” includes the communication in any form and by any means of sufficient information on the
terms of the offer and the notes to be offered so as to enable an investor to decide to purchase or subscribe for the notes. |
Consequently no key information document required by Regulation (EU)
No 1286/2014 as it forms part of domestic law by virtue of the EUWA (the “UK PRIIPs Regulation”) for offering or selling any
notes or otherwise making them available to retail investors in the United Kingdom has been prepared and therefore offering or selling
any notes or otherwise making them available to any retail investor in the United Kingdom may be unlawful under the UK PRIIPs Regulation.
CGMI calculated the estimated value of the notes
set forth on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the notes by estimating the value of a hypothetical package of financial instruments that would replicate the payout
on the notes, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the notes (the “derivative component”). CGMI calculated the estimated value of the bond component using
a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The Value Of The Notes Prior To Maturity Will Fluctuate
Based On Many Unpredictable Factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the notes is a function
of the terms of the notes and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement,
it is uncertain what the estimated value of the notes will be on the pricing date because certain terms of the notes have not yet been
fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary pricing models will be on the pricing date.
We have been advised that, for a period of approximately
six months following issuance of the notes, the price, if any, at which Wells Fargo would be willing to buy the notes from investors,
and the value that will be indicated for the notes on any brokerage account statements prepared by Wells Fargo or its affiliates, will
reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary upward adjustment represents
a portion of the costs associated with selling, structuring and hedging the notes that are included in the public offering price of the
notes. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the six-month temporary adjustment
period. However, Wells Fargo is not obligated to buy the notes from investors at any time. See “Summary Risk Factors—The Notes
Will Not Be Listed On Any Securities Exchange And You May Not Be Able To Sell Them Prior To Maturity.”
© 2022 Citigroup Global Markets Inc. All rights reserved. Citi
and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the
world.
| Market Linked Notes— Leveraged Upside Participation with Quarterly Averaging and Minimum Return at Maturity Notes Linked to the S&P 500® Index due December 4, 2028 | |
The material included in this Appendix was prepared
by Wells Fargo and will be distributed to investors in connection with the offering of the notes described in this pricing supplement.
The terminology used in the material included in this Appendix may differ from the terms used in this pricing supplement. The material
included in this Appendix does not constitute terms of the notes. It is a general description of securities that share some features similar
to the notes offered by this pricing supplement, but it does not relate specifically to the notes offered by this pricing supplement,
and you should rely only on this pricing supplement (excluding the Appendix) and the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus for a description of the specific terms of the notes offered by this pricing supplement.
Market Linked Notes
Upside Participation with Averaging and Principal Return at Maturity
This material was prepared by Wells Fargo Securities, LLC, a registered
broker-
dealer and separate non-bank affiliate of Wells Fargo & Company. This material
is not a product of Wells Fargo & Company research departments. Please see the
relevant offering materials for complete product descriptions, including related risk
and tax disclosure.
MARKET LINKED NOTES—UPSIDE PARTICIPATION WITH AVERAGING AND PRINCIPAL
RETURN AT MATURITY ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF A DEPOSITORY INSTITUTION AND ARE NOT INSURED BY THE FEDERAL DEPOSIT INSURANCE
CORPORATION, THE DEPOSIT INSURANCE FUND OR ANY OTHER GOVERNMENTAL AGENCY OF THE UNITED STATES OR ANY OTHER JURISDICTION.
Market Linked Notes—Upside Participation with Averaging and Principal
Return at Maturity have complex features and are not appropriate for all investors. Before deciding to make an investment, you should
read and understand the applicable preliminary pricing supplement and other related offering documents provided by the applicable issuer.
| Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity |
Market Linked Notes—Upside Participation with
Averaging and Principal Return at Maturity (“these Market Linked Notes”) offer the potential for a positive return at maturity
based on the average performance of an underlying market measure or reference asset (the “underlying”), while providing for
the repayment of principal at maturity even if the underlying declines. The potential for a positive return at maturity is based on the
average of the levels of the underlying on calculation days occurring at specified intervals over the term of these Market Linked Notes,
and it is therefore different than the return that might be realized on a direct investment in the underlying held for the term of these
Market Linked Notes. If specified in the applicable pricing supplement, a particular issuance of these Market Linked Notes may provide
for a minimum return at maturity in addition to the repayment of principal. The underlying may include an equity, bond or commodity index
or exchange-traded fund, individual commodities or foreign currencies, or a basket of these underlyings.
These Market Linked Notes are designed for investors
who seek exposure to the performance of an underlying, but without the downside market risk of a direct investment in the underlying.
In exchange for this protection against downside market risk, investors in these Market Linked Notes must be willing to forgo interest
payments, dividends (in the case of equity underlyings), and the potentially greater return that might be realized on a direct investment
in the underlying. The potential for a positive return and the repayment of principal apply at maturity only and, if the issuer defaults
on its payment obligations, you could lose your entire investment.
These Market Linked Notes are unsecured debt of the
issuer. You will have no ability to pursue the underlying or any assets included in the underlying for payment.
A-2 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
The charts in this section do not reflect forgone
dividend payments.
Direct investment payoff
For traditional assets, such as stocks, there is a direct relationship
between the change in the level of the asset and the return on the investment. For example, suppose you bought shares of a common stock
at $100 per share. If you sold the shares at $120 each, the return on the investment (excluding any dividend payments) would be $20 per
share, or 20%. Similarly, if you sold the shares after the price decreased to $80 (i.e., a decline of 20%), this would result in a 20%
investment loss (excluding dividends).
A-3 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
Market Linked Notes—Upside Participation with
Averaging and Principal Return at Maturity payoff
These Market Linked Notes, if held until maturity, offer a return of
principal and the potential to achieve a return, subject to the averaging calculation, linked to the underlying’s performance. While
these Market Linked Notes limit against losses, they may also limit upside return potential due to the averaging calculation and may not
reflect any positive return at maturity even if the level of the underlying at or near maturity is significantly greater than its starting
level.
To understand how these Market Linked Notes would perform under varying
market conditions, consider a hypothetical Market Linked Note with the following terms:
| · | Principal return: 100%. These Market Linked Notes, if held until maturity, provide for the repayment of principal regardless
of the performance of the underlying, subject to the ability of the issuer to make payments when due. If the issuer defaults on its payment
obligations, you could lose your entire investment. |
| · | Averaging calculation: Annual. The averaging return calculation is based on the average of the levels of the underlying observed
on a specified number of calculation days throughout the term of these Market Linked Notes. On predetermined dates (e.g., annually, quarterly,
monthly, etc.), the level of the underlying is recorded and those observations are used to calculate an average ending level. That calculated
average ending level is compared to the starting level of the underlying to determine the percentage change. The averaging return calculation
may result in a return that is less than might have been realized on a direct investment in the underlying held for the term of these
Market Linked Notes. |
| · | Participation rate: 105%. A participation rate determines how much of the average appreciation of the underlying (if any) will
be reflected in the payment at maturity on these Market Linked Notes. A participation rate of 105% means that if the underlying appreciates
from its starting level to its average ending level, the investor will receive a total return at maturity equal to 105% of that appreciation.
For example, if the underlying appreciates by 10% based on the averaging calculation, the investor will receive a total return at maturity
of 10.5% (which is 105% of 10%). |
If specified in the applicable pricing supplement, a particular issuance
of these Market Linked Notes may provide for a minimum return at maturity in addition to the repayment of principal. If so specified,
at maturity, you will receive your principal amount plus the greater of the fixed minimum return and a return based on the underlying’s
average performance (as described in the above bullets), subject to the ability of the issuer to make payments when due.
A-4 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
Determining payment at maturity
The diagram below illustrates how the cash payment on the stated maturity
date for this hypothetical Market Linked Note would be calculated.
A-5 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
Averaging calculation methodology
The examples below are hypothetical and are provided for informational
purposes only. They are not intended to represent any specific return, yield, or investment, nor are they indicative of future results.
The examples illustrate the averaging calculation methodology and payoff at maturity of the Market Linked Notes described above.
| Example 1: |
|
| Term: |
5 years |
| Calculation days: |
Annual |
| Principal Amount: |
$1,000 |
| Minimum Return at Maturity: |
N/A |
| Participation Rate: |
105% |
| Starting Level: |
1,000 |
| Average Ending Level: |
1,310 (refer to chart) |
| |
|
| |
|
| Averaging Percentage Return Calculation |
| Annual Calculation Day 1 |
1,114 |
| Annual Calculation Day 2 |
1,229 |
| Annual Calculation Day 3 |
1,330 |
| Annual Calculation Day 4 |
1,527 |
| Annual Calculation Day 5 |
1,350 |
| (1,114 + 1,229 + 1,330 + 1,527 + 1,350) |
= 1,310 |
| 5 |
Averaging Percentage Return Calculation
(Average Ending Level – Starting Level) / Starting Level
(1,310 – 1,000) / 1,000 = 31%
Market Linked Note Return Calculation
Averaging Percentage Return × Participation Rate
31% × 105% = 32.55%
Payment to Investor
Principal Amount + (Principal Amount × Averaging Percentage Return
× Participation Rate)
$1,000 + ($1,000 × 31% × 105%) = $1,325.50 per Market Linked
Note
Comparison with Direct Investment Return
In example 1, if you had purchased the underlying at its Starting Level,
held it for the term of these Market Linked Notes, and then sold it at its level on the final Calculation Day, you would have realized
a 35% return on your investment (leaving aside any dividends), since the level of the underlying on the final Calculation Day is 35% greater
than the Starting Level. By contrast, the Averaging Percentage Return calculated for purposes of these Market Linked Notes is only 31%.
Because the level of the underlying on the final Calculation Day is greater than its Average Ending Level over all of the Calculation
Days, the Averaging Percentage Return calculated for purposes of these Market Linked Notes is less than the return that could have been
achieved on a direct investment in the underlying held for the term of these Market Linked Notes. In addition, if any dividends were paid
on the underlying over the term of these Market Linked Notes, the return on these Market Linked Notes would have underperformed a direct
investment to an even greater extent, because the return on these Market Linked Notes will not compensate you for any dividends paid on
the underlying.
A-6 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
| Example 2: |
|
| Term: |
5 years |
| Calculation days: |
Annual |
| Principal Amount: |
$1,000 |
| Minimum Return at Maturity: |
N/A |
| Participation Rate: |
105% |
| Starting Level: |
1,000 |
| Average Ending Level: |
987 (refer to chart) |
| |
|
| |
|
| Averaging Percentage Return Calculation |
| Annual Calculation Day 1 |
900 |
| Annual Calculation Day 2 |
935 |
| Annual Calculation Day 3 |
950 |
| Annual Calculation Day 4 |
1,050 |
| Annual Calculation Day 5 |
1,100 |
| (900 + 935 + 950 + 1,050 + 1,100) |
= 987 |
| 5 |
| |
|
|
Averaging Percentage Return Calculation
(Average Ending Level – Starting Level) / Starting Level
(987 – 1,000) / 1,000 = -1.3%
Market Linked Note Return Calculation
Because the Average Ending Level is less than the Starting Level, there
is no positive return at maturity on these Market Linked Notes.
Payment to Investor
Since the Average Ending Level is less than the Starting Level, you
will receive the Principal Amount of $1,000 per Market Linked Note.
Comparison with Direct Investment Return
In example 2, if you had purchased the underlying at its Starting Level,
held it for the term of these Market Linked Notes, and then sold it at its level on the final Calculation Day, you would have realized
a 10% return on your investment (leaving aside any dividends), since the level of the underlying on the final Calculation Day is 10% greater
than the Starting Level. By contrast, because the Average Ending Level of the underlying over all of the Calculation Days is less than
the Starting Level, the Averaging Percentage Return calculated for purposes of these Market Linked Notes is negative. In this example,
the Averaging Percentage Return is negative, and you will receive no return on your investment at maturity, even though a direct investment
would have resulted in a positive return. If any dividends were paid on the underlying over the term of these Market Linked Notes, these
Market Linked Notes would have underperformed a direct investment to an even greater extent, because the return on these Market Linked
Notes will not compensate you for any dividends paid on the underlying.
All payments on these Market Linked Notes are subject to the ability
of the issuer to make such payments to you when they are due, and you will have no ability to pursue the underlying or any asset included
in the underlying for payment. If the issuer defaults on its payment obligations, you could lose your entire investment.
A-7 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
Estimated value of Market Linked Notes—Upside
Participation with Averaging and Principal Return at Maturity
The original offering price of these Market Linked Notes will include
certain costs that are borne by you. Because of these costs, the estimated value of these Market Linked Notes on the pricing date will
be less than the original offering price. If specified in the applicable pricing supplement, these costs may include the underwriting
discount or commission, the hedging profits of the issuer’s hedging counterparty (which may be an affiliate of the issuer), hedging
and other costs associated with the offering, and costs relating to the issuer’s funding considerations for debt of this type. See
“General risks and investment considerations” herein and the applicable pricing supplement for more information.
The issuer will disclose the estimated value of these Market Linked
Notes in the applicable pricing supplement. The estimated value of these Market Linked Notes will be determined by estimating the value
of the combination of hypothetical financial instruments that would replicate the payout on these Market Linked Notes, which combination
consists of a non-interest bearing, fixed-income bond, and one or more derivative instruments underlying the economic terms of these Market
Linked Notes. You should read the applicable pricing supplement for more information about the estimated value of these Market Linked
Notes and how it is determined.
A-8 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
| Which investments are right for you? |
It is important to read and understand the applicable
preliminary pricing supplement and other related offering documents and consider several factors before making an investment decision.
An investment in these Market Linked Notes may help you modify your
portfolio’s risk-return profile to more closely reflect your market views. However, because of the averaging calculation, you may
sacrifice some return opportunities and will forgo interest payments and dividend payments (in the case of equity underlyings).
These Market Linked Notes are not appropriate for all investors, but
may be appropriate for investors aiming to:
| · | Fully protect against market losses at maturity |
| · | Gain or increase exposure to different asset classes |
| · | Participate in a portion of any appreciation of the underlying from its starting level to its average ending level |
You can find a discussion of risks and investment considerations on
the next page and in the preliminary pricing supplement and other related offering documents for these Market Linked Notes. The following
questions, which you should review with your financial advisor, are intended to initiate a conversation about whether these Market Linked
Notes are right for you.
| · | What is your time horizon? Do you foresee liquidity needs? Will you be able to hold these investments until maturity? |
| · | Does full protection against market declines take precedence for you over full participation in potential appreciation of the underlying,
dividend payments, or fixed returns? |
| · | What is your outlook on the market? How confident are you in your portfolio’s ability to weather a market decline? |
| · | What is your sensitivity to the tax treatment for your investments? |
| · | Are you dependent on your investments for current income? |
| · | Are you willing to accept the credit risk of the applicable issuer in order to obtain the exposure to the underlying that these Market
Linked Notes provide? |
Before making an investment decision, please work with your financial
advisor to determine which investment products may be appropriate given your financial situation, investment goals, and risk profile.
A-9 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
| General risks and investment considerations |
These Market Linked Notes have complex features and are not appropriate
for all investors. They involve a variety of risks and may be linked to a variety of different underlyings. Each of these Market Linked
Notes and each underlying will have its own unique set of risks and investment considerations. Before you invest in these Market Linked
Notes, you should thoroughly review the relevant preliminary pricing supplement and other related offering documents for a comprehensive
discussion of the risks associated with the investment. The following are general risks and investment considerations applicable to these
Market Linked Notes:
| · | Performance risk and opportunity costs. The return you receive on these Market Linked Notes is based on the percentage increase,
if any, in the average ending level relative to the starting level. Because the level of the underlying will be subject to market fluctuations,
the average ending level may decline and you may not receive any positive return at maturity. Even if the average ending level of the
underlying appreciates and even if these Market Linked Notes provide for a minimum return at maturity, any such return you receive on
these Market Linked Notes may be less than the return you could earn on other investments, including a traditional interest-bearing debt
security with the same maturity date of the applicable issuer or another issuer with a similar credit rating, and could be zero. |
| · | Underperformance risk. The return you receive at maturity of these Market Linked Notes may be less than the return you might
have realized on a direct investment in the underlying held for the term of these Market Linked Notes. This will be the case if the underlying
appreciates and its level at or near maturity is greater than it was, on average, on the specified calculation days during the term of
these Market Linked Notes. For example, if the underlying generally appreciates over the term of these Market Linked Notes, the level
of the underlying at or near maturity will be greater than it was, on average, on the calculation days, and your return on these Market
Linked Notes will be less than the return you might have realized on a direct investment in the underlying held for the term of these
Market Linked Notes. Furthermore, because of the averaging calculation, it is possible that these Market Linked Notes will not reflect
any positive return at maturity even if the level of the underlying at or near maturity is significantly greater than its starting level. |
| · | Liquidity risk. These Market Linked Notes are not appropriate for investors who may have liquidity needs prior to maturity.
These Market Linked Notes are not listed on any securities exchange and are generally illiquid instruments. Neither Wells Fargo Securities
nor any other person is required to maintain a secondary market for these Market Linked Notes. Accordingly, you may be unable to sell
your Market Linked Notes prior to their maturity date. If you choose to sell these Market Linked Notes prior to maturity, assuming a buyer
is available, you may receive less in sale proceeds than the original offering price. |
| · | Market value uncertain. These Market Linked Notes are not appropriate for investors who need their investments to maintain
a stable value during their term. The value of your Market Linked Notes prior to maturity will be affected by numerous factors, such as
performance, volatility and dividend rate, if applicable, of the underlying; interest rates; the time remaining to maturity; the correlation
among basket components, if applicable; and the applicable issuer’s creditworthiness. |
| · | Costs to investors. The original offering price of these Market Linked Notes will include certain costs that are borne by you.
These costs will adversely affect the economic terms of these Market Linked Notes and will cause their estimated value on the pricing
date to be less than the original offering price. If specified in the applicable pricing supplement, these costs may include the underwriting
discount or commission, the hedging profits of the issuer’s hedging counterparty (which may be an affiliate of the issuer), hedging
and other costs associated with the offering, and costs relating to the issuer’s funding considerations for debt of this type. These
costs will adversely affect any secondary market price for these Market Linked Notes, which may be further reduced by a bid-offer spread.
As a result, unless market conditions and other relevant factors change significantly in your favor following the pricing date, any secondary
market price for these Market Linked Notes is likely to be less than the original offering price. |
| · | Credit risk. Any investment in these Market Linked Notes is subject to the ability of the applicable issuer to make payments
to you when they are due, and you will have no ability to pursue the underlying or any assets included in the underlying for payment.
If the issuer defaults on its payment obligations, you could lose your entire investment. In addition, the actual or perceived creditworthiness
of the issuer may affect the value of these Market Linked Notes prior to maturity. |
| · | No periodic interest or dividend payments. These Market Linked Notes do not typically provide periodic interest. These Market
Linked Notes linked to equities do not provide for a pass through of any dividend paid on the underlying equities. |
| · | Estimated value considerations. The estimated value of these Market Linked Notes that is disclosed in the applicable pricing
supplement will be determined by the issuer or an underwriter of the offering, which underwriter may be an affiliate of the issuer and
may be Wells Fargo Securities. The estimated value will be based on the issuer’s or the underwriter’s proprietary pricing
models and assumptions and certain inputs that may be determined by the issuer or underwriter in its discretion. Because other dealers
may have different views on these inputs, the estimated value that is disclosed in the applicable pricing supplement may be higher, and
perhaps materially higher, than the estimated value that will be determined by other dealers in the market. Moreover, you should understand
that the estimated value that is disclosed in the applicable pricing supplement will not be an indication of the price, if |
A-10 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
any, at which Wells Fargo Securities or
any other person may be willing to buy these Market Linked Notes from you at any time after issuance.
| · | Conflicts of interest. Potential conflicts of interest may exist between you and the applicable issuer and/or Wells Fargo Securities.
For example, the applicable issuer, Wells Fargo Securities, or one of their respective affiliates may engage in business with companies
whose securities are included in the underlying, or may publish research on such companies or the underlying. In addition, the applicable
issuer, Wells Fargo Securities, or one of their respective affiliates may be the calculation agent for the purposes of making important
determinations that affect the payments on these Market Linked Notes. Finally, the estimated value of these Market Linked Notes may be
determined by the issuer or an underwriter of the offering, which underwriter may be an affiliate of the issuer and may be Wells Fargo
Securities. |
| · | Effects of trading and other transactions. Trading and other transactions by the applicable issuer, Wells Fargo Securities,
or one of their respective affiliates could affect the underlying or the value of these Market Linked Notes. |
| · | Basket risk. If the underlying is a basket, the basket components may offset each other. Any appreciation of one or more basket
components may be moderated, wholly offset, or more than offset, by depreciation of one or more other basket components. |
| · | ETF risk. If the underlying is an exchange-traded fund (ETF), it may underperform the index it is designed to track as a result
of costs and fees of the ETF and differences between the constituents of the index and the actual assets held by the ETF. In addition,
an investment in these Market Linked Notes linked to an ETF involves risks related to the index underlying the ETF, as discussed in the
next risk consideration. |
| · | Index risk. If the underlying is an index, or an ETF that tracks an index, your return on these Market Linked Notes may be
adversely affected by changes that the index publisher may make to the manner in which the index is constituted or calculated. Furthermore,
if the index represents foreign securities markets, you should understand that foreign securities markets tend to be less liquid and more
volatile than U.S. markets, and that there is generally less information available about foreign companies than about companies that file
reports with the U.S. Securities and Exchange Commission. Moreover, if the index represents emerging foreign securities markets, these
Market Linked Notes will be subject to the heightened political and economic risks associated with emerging markets. If the index includes
foreign securities and the level of the index is based on the U.S. dollar value of those foreign securities, these Market Linked Notes
will be subject to currency exchange rate risk in addition to the other risks described above, as the level of the index will be adversely
affected if the currencies in which the foreign securities trade depreciate against the U.S. dollar. |
| · | Commodity risk. These Market Linked Notes linked to commodities will be subject to a number of significant risks associated
with commodities. Commodity prices tend to be volatile and may fluctuate in ways that are unpredictable and adverse to you. Commodity
markets are frequently subject to disruptions, distortions, and changes due to various factors, including the lack of liquidity in the
markets, the participation of speculators, and government regulation and intervention. Moreover, commodity indices may be adversely affected
by a phenomenon known as “negative roll yield,” which occurs when future prices of the commodity futures contracts underlying
the index are higher than current prices. Negative roll yield can have a significant negative effect on the performance of a commodity
index. Furthermore, for commodities that are traded in U.S. dollars but for which market prices are driven by global demand, any strengthening
of the U.S. dollar against relevant other currencies may adversely affect the demand for, and therefore the price of, those commodities. |
| · | Currency risk. These Market Linked Notes linked to currencies will be subject to a number of significant risks associated with
currencies. Currency exchange rates are frequently subject to intervention by governments, which can be difficult to predict and can have
a significant impact on exchange rates. Moreover, currency exchange rates are driven by complex factors relating to the economies of the
relevant countries that can be difficult to understand and predict. Currencies issued by emerging market governments may be particularly
volatile and will be subject to heightened risks. |
| · | Bond risk. These Market Linked Notes linked to bond indices or exchange-traded funds will be subject to a number of significant
risks associated with bonds. In general, if market interest rates rise, the value of bonds will decline. In addition, if the market perception
of the creditworthiness of the relevant bond issuers falls, the value of bonds will generally decline. |
| · | Tax considerations. You should review carefully the relevant preliminary pricing supplement and other related offering documents
and consult your tax advisors regarding the application of the U.S. Federal tax laws to your particular circumstances, as well as any
tax consequences arising under the laws of any state, local, or non-U.S. jurisdiction. |
A-11 | Market Linked Notes—Upside Participation with Averaging and Principal Return at Maturity
Always read the preliminary pricing supplement and
other related offering documents.
These Market Linked Notes are offered with the attached preliminary
pricing supplement and other related offering documents. Investors should read and consider these documents carefully before investing.
Prior to investing, always consult your financial advisor to understand the investment structure in detail.
For more information about these Market Linked Notes and the structures
currently available for investment, contact your financial advisor, who can advise you of whether or not a particular offering may meet
your individual needs and investment requirements.
Wells Fargo Securities is the trade name for the capital markets and
investment banking services of Wells Fargo & Company and its subsidiaries, including Wells Fargo Securities, LLC, a member of FINRA,
NYSE, and SIPC, and Wells Fargo Bank, N.A.
Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members
SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo & Company.
© 2021 Wells Fargo Securities, LLC. All rights reserved.