| Citigroup Global Markets Holdings Inc. |
May
12, 2022
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2022-USNCH12010
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-255302 and 333-255302-03 |
Buffered Market-Linked Securities Linked to
the S&P 500® Index Due May 15, 2025
| ▪ | The securities offered by this pricing supplement are unsecured
debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities,
the securities do not pay interest and do not guarantee the full repayment of principal at maturity. Instead, the securities offer the
potential for a return at maturity based on the performance of the underlying specified below from the initial underlying value to the
final underlying value. |
| ▪ | If the underlying appreciates from the initial underlying value
to the final underlying value, you will receive a positive return at maturity equal to that appreciation multiplied by the upside
participation rate, subject to the maximum return at maturity specified below. If the underlying depreciates from the initial underlying
value to the final underlying value by less than the buffer percentage, you will receive the stated principal amount per security at
maturity. However, if the underlying depreciates from the initial underlying value to the final underlying value by more than the buffer
percentage, you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer
percentage, subject to the maximum loss at maturity specified below. Even if the underlying appreciates from the initial underlying value
to the final underlying value, so that you do receive a positive return at maturity, there is no assurance that your total return at
maturity on the securities will compensate you for the effects of inflation or be as great as the yield you could have achieved on a
conventional debt security of ours of comparable maturity. |
| ▪ | In exchange for the capped loss potential if the underlying
depreciates, investors in the securities must be willing to forgo (i) any return on the securities in excess of the maximum return at
maturity and (ii) dividends with respect to the underlying. If the underlying does not appreciate from the initial underlying value
to the final underlying value, you will not receive any return on your investment in the securities, and you may lose up to the maximum
loss at maturity. |
| ▪ | In order to obtain the modified exposure to the underlying that
the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk
of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations. All payments on the securities
are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. |
| KEY TERMS |
| Issuer: |
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. |
| Guarantee: |
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc. |
| Underlying: |
The S&P 500® Index |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
May 12, 2022 |
| Issue date: |
May 17, 2022 |
| Valuation date: |
May 12, 2025, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur |
| Maturity date: |
May 15, 2025 |
| Payment at maturity: |
You will receive at maturity for each security you then hold:
·
If the final underlying value is greater than the initial underlying value:
$1,000 + the return amount, subject to the maximum
return at maturity
· If the final underlying value is less than or equal to the initial underlying value but greater
than or equal to the final buffer value:
$1,000
·
If the final underlying value is less than the final buffer value:
$1,000 + [$1,000 × (the underlying return + the
buffer percentage)], subject to the maximum loss at maturity
If the final underlying value is less than the final buffer
value, which means that the underlying has depreciated from the initial underlying value by more than the buffer percentage, you will
lose 1% of the stated principal amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage,
subject to the maximum loss at maturity. You should not invest in the securities unless you are willing and able to bear the risk of
losing up to the maximum loss at maturity. |
| Initial underlying value: |
3,930.08, the closing value of the underlying on the pricing date |
| Final underlying value: |
The closing value of the underlying on the valuation date |
| Final buffer value: |
3,144.064, 80.00% of the initial underlying value |
| Buffer percentage: |
20.00% |
| Return amount: |
$1,000 × the underlying return × the upside participation rate |
| Upside participation rate: |
100.00% |
| Underlying return: |
(i) The final underlying value minus the initial underlying value, divided by (ii) the initial underlying value |
| Maximum return at maturity: |
$255.00 per security (25.50% of the stated principal amount). The payment at maturity per security will not exceed the stated principal amount plus the maximum return at maturity. |
| Maximum loss at maturity: |
$100.00 per security (10.00% of the stated principal amount). The maximum loss at maturity represents the maximum loss that may be realized at maturity under the terms of the securities (that is, the maximum amount by which the stated payment at maturity may be less than the stated principal amount). If you sell the securities prior to maturity, or if we and Citigroup Inc. default on our obligations under the securities, you may incur a greater loss on your investment. |
| Listing: |
The securities will not be listed on any securities exchange |
| CUSIP / ISIN: |
17330FTV3 / US17330FTV30 |
| Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
| Underwriting fee and issue price: |
Issue price(1) |
Underwriting fee(2) |
Proceeds to issuer |
| Per security: |
$1,000.00 |
$15.00 |
$985.00 |
| Total: |
$610,000.00 |
$9,150.00 |
$600,850.00 |
(1) On the date of this pricing supplement,
the estimated value of the securities is $968.40 per security, which is less than the issue price. The estimated value of the securities
is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or
other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities
from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) For more information on the distribution
of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting fee,
CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. See
“Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-5.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation
to the contrary is a criminal offense.
You should read this pricing supplement together
with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, which can be accessed via the
hyperlinks below:
Product
Supplement No. EA-02-09 dated May 11, 2021 Underlying
Supplement No. 10 dated May 11, 2021
Prospectus
Supplement and Prospectus each dated May 11, 2021
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
| Citigroup Global Markets Holdings Inc. |
| |
Additional Information
The terms of the securities are set forth in the accompanying product
supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus
supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the accompanying
product supplement contains important information about how the closing value of the underlying will be determined and about adjustments
that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events with respect
to the underlying. The accompanying underlying supplement contains information about the underlying that is not repeated in this pricing
supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus
together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
Payout Diagram
The diagram below illustrates your payment at maturity for a range of
hypothetical underlying returns.
Investors in the securities will not receive any dividends with respect
to the underlying. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities. See
“Summary Risk Factors—You will not receive dividends or have any other rights with respect to the underlying” below.
| Payout Diagram |
 |
| n The Securities |
n The Underlying |
| Citigroup Global Markets Holdings Inc. |
| |
Hypothetical Examples
The examples below illustrate how to determine the payment at maturity
on the securities, assuming the various hypothetical final 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 securities will be.
The actual payment at maturity will depend on the actual final underlying value.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying value or final buffer value. For the actual initial underlying value and final buffer value,
see the cover page of this pricing supplement. We have used these hypothetical values, rather than the actual values, to simplify the
calculations and aid understanding of how the securities work. However, you should understand that the actual payment at maturity on the
securities will be calculated based on the actual initial underlying value and final buffer value, and not the hypothetical values indicated
below. For ease of analysis, figures below have been rounded.
| Hypothetical initial underlying value: |
100.00 |
| Hypothetical final buffer value: |
80.00 (80.00% of the hypothetical initial underlying value) |
Example 1—Upside Scenario A. The final underlying value
is 105.00, resulting in a 5.00% underlying return. In this example, the final underlying value is greater than the initial underlying
value.
Payment at maturity per security = $1,000 + the return amount, subject
to the maximum return at maturity
= $1,000 + ($1,000 × the underlying return × the upside
participation rate), subject to the maximum return at maturity
= $1,000 + ($1,000 × 5.00% × 100.00%), subject to the maximum
return at maturity
= $1,000 + $50.00, subject to the maximum return at maturity
= $1,050.00
In this scenario, the underlying has appreciated from the initial underlying
value to the final underlying value, and your total return at maturity would equal the underlying return multiplied by the upside
participation rate.
Example 2—Upside Scenario B. The final underlying value
is 150.00, resulting in a 50.00% underlying return. In this example, the final underlying value is greater than the initial underlying
value.
Payment at maturity per security = $1,000 + the return amount, subject
to the maximum return at maturity
= $1,000 + ($1,000 × the underlying return × the upside
participation rate), subject to the maximum return at maturity
= $1,000 + ($1,000 × 50.00% × 100.00%), subject to the
maximum return at maturity
= $1,000 + $500.00, subject to the maximum return at maturity
= $1,255.00
In this scenario, the underlying has appreciated from the initial underlying
value to the final underlying value, but the underlying return multiplied by the upside participation rate would exceed the maximum
return at maturity. As a result, your total return at maturity in this scenario would be limited to the maximum return at maturity, and
an investment in the securities would underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation
of the underlying without a maximum return.
Example 3—Par Scenario. The final underlying value is 95.00,
resulting in a -5.00% underlying return. In this example, the final underlying value is less than the initial underlying value
but greater than the final buffer value.
Payment at maturity per security = $1,000
In this scenario, the underlying has depreciated from the initial underlying
value to the final underlying value, but not by more than the buffer percentage. As a result, you would be repaid the stated principal
amount of your securities at maturity but would not receive any positive return on your investment.
Example 4—Downside Scenario A. The final underlying value
is 75.00, resulting in a -25.00% underlying return. In this example, the final underlying value is less than the final buffer value.
Payment at maturity per security = $1,000 + [$1,000 × (the underlying
return + the buffer percentage)], subject to the maximum loss at maturity
= $1,000 + [$1,000 × (-25.00% + 20.00%)], subject to the maximum
loss at maturity
= $1,000 + [$1,000 × -5.00%], subject to the maximum loss at
maturity
= $1,000 + -$50.00, subject to the maximum loss at maturity
= $950.00, subject to the maximum loss at maturity
= $950.00
In this scenario, the underlying has depreciated from the initial underlying
value to the final underlying value by more than the buffer percentage. As a result, your total return at maturity in this scenario would
be negative and would reflect 1-to-1 exposure to the negative performance of the underlying beyond the buffer percentage.
Example 5—Downside Scenario B. The final underlying value
is 60.00, resulting in a -40.00% underlying return. In this example, the final underlying value is less than the final buffer value.
Payment at maturity per security = $1,000 + [$1,000 × (the underlying
return + the buffer percentage)], subject to the maximum loss at maturity
| Citigroup Global Markets Holdings Inc. |
| |
= $1,000 + [$1,000 × (-40.00% + 20.00%)], subject to the maximum
loss at maturity
= $1,000 + [$1,000 × -20.00%], subject to the maximum loss at
maturity
= $1,000 + -$200.00, subject to the maximum loss at maturity
= $800.00, subject to the maximum loss at maturity
= $900.00
In this scenario, the underlying has depreciated from the initial underlying
value to the final underlying value by more than the buffer percentage. As a result, you would incur a loss at maturity equal to the maximum
loss at maturity.
| Citigroup Global Markets Holdings Inc. |
| |
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities 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 securities,
and are also subject to risks associated with the underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 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 securities and may lose up to the maximum loss at maturity. You will
receive a positive return on your investment in the securities only if the underlying appreciates from the initial underlying value to
the final underlying value. If the underlying depreciates from the initial underlying value to the final underlying value by less than
the buffer percentage, you will receive the stated principal amount per security at maturity. However, if the underlying depreciates from
the initial underlying value to the final underlying value by more than the buffer percentage, you will lose 1% of the stated principal
amount of your securities for every 1% by which that depreciation exceeds the buffer percentage, subject to the maximum loss at maturity.
As the securities do not pay any interest, if the underlying does not appreciate sufficiently from the initial underlying value to the
final underlying value over the term of the securities or if the underlying depreciates from the initial underlying value to the final
underlying value, the overall return on the securities may be less than the amount that would be paid on our conventional debt securities
of comparable maturity. |
| § | Although the securities limit your loss to the maximum loss at maturity, you may nevertheless suffer additional losses on your
investment in real value terms if the underlying declines or does not appreciate sufficiently from the initial underlying value to the
final underlying value. This is because inflation may cause the real value of the stated principal amount to be less at maturity than
it is at the time you invest, and because an investment in the securities 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 securities.
You should carefully consider whether an investment that may not provide for any return on your investment, or may provide a return that
is lower than the return on alternative investments, is appropriate for you. In addition, the maximum loss at maturity applies only at
maturity. If you sell your securities prior to maturity, the price you receive may result in a loss that is significantly greater than
the maximum loss at maturity. |
| § | Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited to
the maximum return at maturity, even if the underlying appreciates by significantly more than the maximum return at maturity. If the underlying
appreciates by more than the maximum return at maturity, the securities will underperform an alternative investment providing 1-to-1 exposure
to the performance of the underlying. When lost dividends are taken into account, the securities may underperform an alternative investment
providing 1-to-1 exposure to the performance of the underlying even if the underlying appreciates by less than the maximum return at maturity. |
| § | The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other amounts
prior to maturity. You should not invest in the securities if you seek current income during the term of the securities. |
| § | You will not receive dividends or have any other rights with respect to the underlying. You will not receive any dividends
with respect to the underlying. This lost dividend yield may be significant over the term of the securities. The payment scenarios described
in this pricing supplement do not show any effect of such lost dividend yield over the term of the securities. In addition, you will not
have voting rights or any other rights with respect to the underlying or the stocks included in the underlying. |
| § | Your payment at maturity depends on the closing value of the underlying on a single day. Because your payment at maturity depends
on the closing value of the underlying solely on the valuation date, you are subject to the risk that the closing value of the underlying
on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of the securities. If you
had invested in another instrument linked to the underlying that you could sell for full value at a time selected by you, or if the payment
at maturity were based on an average of closing values of the underlying, you might have achieved better returns. |
| § | The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities. |
| § | The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity. |
| Citigroup Global Markets Holdings Inc. |
| |
| § | The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the securities that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below. |
| § | The estimated value of the securities 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 of the closing value of the underlying, the dividend
yield 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 securities. Moreover, the estimated value of the securities set
forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities
for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value. |
| § | The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities 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 securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
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 securities, 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 securities. |
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate 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 securities, but subject
to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our
creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted for discretionary
factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
| § | The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price. |
| § | The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the closing value of the underlying, the volatility of 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 Securities—Risk
Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based on many unpredictable factors”
in the accompanying product supplement. Changes in the closing value of the underlying may not result in a comparable change in the value
of your securities. You should understand that the value of your securities at any time prior to maturity may be significantly less than
the issue price. |
| § | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI 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 Securities” in this pricing
supplement. |
| § | Our offering of the securities is not a recommendation of the underlying. The fact that we are offering the securities does
not mean that we believe that investing in an instrument linked to the underlying is likely to achieve favorable returns. In fact, as
we are part of a global financial institution, our affiliates 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 may affect the closing value of the underlying in a way that negatively
affects the value of and your return on the securities. |
| § | The closing value of the underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our 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 securities. Our affiliates
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 |
| Citigroup Global Markets Holdings Inc. |
| |
affect the closing value of the underlying
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines.
| § | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our 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 securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines. In addition, in the course of this business, we or our 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 securities. If
certain events occur during the term of the securities, 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 securities.
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 securities. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product
supplement. |
| § | Changes that affect the underlying may affect the value of your securities. The sponsor of the underlying may at any time make
methodological changes or other changes in the manner in which it operates that could affect the value of the underlying. We are not affiliated
with the underlying sponsor and, accordingly, we have no control over any changes such sponsor may make. Such changes could adversely
affect the performance of the underlying and the value of and your return on the securities. |
| Citigroup Global Markets Holdings Inc. |
| |
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” 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 securities 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 securities.
The securities 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 securities or to holders of the securities.
Historical Information
The closing value of the S&P 500® Index on May 12,
2022 was 3,930.08.
The graph below shows the closing value of the S&P 500®
Index for each day such value was available from January 3, 2012 to May 12, 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.
S&P 500® Index – Historical Closing Values
January 3, 2012 to May 12, 2022 |
 |
| Citigroup Global Markets Holdings Inc. |
| |
United States Federal Income Tax Considerations
In the opinion of our counsel, Davis Polk & Wardwell LLP, which
is based on current market conditions, the notes should be treated as “contingent payment debt instruments” for U.S. federal
income tax purposes, as described in the section of the accompanying product supplement called “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,” and the remaining discussion is based
on this treatment.
If you are a U.S. Holder (as defined in the accompanying product supplement),
you will be required to recognize interest income during the term of the notes at the “comparable yield,” which generally
is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of the notes, including the level of subordination,
term, timing of payments and general market conditions, but excluding any adjustments for the riskiness of the contingencies or the liquidity
of the notes. We are required to construct a “projected payment schedule” in respect of the notes representing a payment the
amount and timing of which would produce a yield to maturity on the notes equal to the comparable yield. Assuming you hold the notes until
their maturity, the amount of interest you include in income based on the comparable yield in the taxable year in which the notes mature
will be adjusted upward or downward to reflect the difference, if any, between the actual and projected payment on the notes at maturity
as determined under the projected payment schedule.
Upon the sale, exchange or retirement of the notes prior to maturity,
you generally will recognize gain or loss equal to the difference between the proceeds received and your adjusted tax basis in the notes.
Your adjusted tax basis will equal your purchase price for the notes, increased by interest previously included in income on the notes.
Any gain generally will be treated as ordinary income, and any loss generally will be treated as ordinary loss to the extent of prior
interest inclusions on the note and as capital loss thereafter.
We have determined that the comparable
yield for a note is a rate of 4.167%, compounded semi-annually, and that the projected payment schedule with respect to a note consists
of a single payment of $1,131.535 at maturity.
Neither the comparable yield nor the projected payment schedule constitutes
a representation by us regarding the actual amount that we will pay on the notes.
Non-U.S. Holders. Subject to the discussions below regarding
Section 871(m) and in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” and “—FATCA”
in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the notes,
under current law you generally will not be subject to U.S. federal withholding or income tax in respect of any payment on or any amount
received on the sale, exchange or retirement of the notes, provided that (i) income in respect of the notes is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements. See
“United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement
for a more detailed discussion of the rules applicable to Non-U.S. Holders of the notes.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders—Dividend Equivalents Under Section 871(m) of the Code” in the accompanying product supplement,
Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”)
generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Securities”) or indices that include U.S. Underlying Securities. Section
871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying Securities,
as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an Internal Revenue
Service (“IRS”) notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta”
of one. Based on the terms of the notes and representations provided by us, our counsel is of the opinion that the notes should not be
treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying
Security and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the notes are not subject to Section 871(m) is
not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend
on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application
of Section 871(m) to the notes.
If withholding tax applies to the notes, we will not be required to
pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the notes.
You should also consult your tax adviser regarding all aspects of
the U.S. federal tax consequences of an investment in the notes and any tax consequences arising under the laws of any state, local or
non-U.S. taxing jurisdiction.
| Citigroup Global Markets Holdings Inc. |
| |
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $15.00 for each security sold
in this offering. Broker-dealers affiliated with CGMI, including Citi International Financial Services, Citigroup Global Markets Singapore
Pte. Ltd. and Citigroup Global Markets Asia Limited, and financial advisors employed by such affiliated broker-dealers will collectively
receive a fixed selling concession of $15.00 for each security they sell.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities 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 securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (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 securities 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.
For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), 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 hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Certain Selling Restrictions
Notice to Canadian Investors
The securities may be sold in Canada only to purchasers purchasing,
or deemed to be purchasing, as principal that are accredited investors, as defined in National Instrument 45-106 Prospectus Exemptions or
subsection 73.3(1) of the Securities Act (Ontario), and are permitted clients, as defined in National Instrument 31-103 Registration
Requirements, Exemptions and Ongoing Registrant Obligations. Any resale of the securities must be made in accordance with an exemption
from, or in a transaction not subject to, the prospectus requirements of applicable securities laws.
Securities legislation in certain provinces or territories of Canada may
provide a purchaser with remedies for rescission or damages if this pricing supplement or an accompanying product supplement, prospectus
supplement or prospectus (including any amendment thereto) contains a misrepresentation, provided that the remedies for rescission or
damages are exercised by the purchaser within the time limit prescribed by the securities legislation of the purchaser’s province
or territory. The purchaser should refer to any applicable provisions of the securities legislation of the purchaser’s province
or territory for particulars of these rights or consult with a legal advisor.
Pursuant to section 3A.3 of National Instrument 33-105 Underwriting
Conflicts (“NI 33-105”), the underwriters are not required to comply with the disclosure requirements of NI 33-105 regarding
underwriter conflicts of interest in connection with this offering.
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and issued
by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor,
such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings
Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that
such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed the
legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets
Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc. In addition, this opinion is subject
to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021, which has been filed as an exhibit to
a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been duly authorized, executed and delivered
by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the securities nor the issuance and
delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc.
with the terms of the securities and the related guarantee respectively, will result in a violation of any provision of any instrument
or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by
any court or governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
| Citigroup Global Markets Holdings Inc. |
| |
In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has
duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup Global
Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been duly
authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture and
of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global
Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation
or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws
of the State of New York.
Alexia Breuvart, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all documents submitted to her or such persons
as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the
guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly
existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered
by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination,
she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers
of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents
of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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.
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