Citigroup Global Markets Holdings Inc. |
May 13, 2022
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2022-USNCH12179
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03 |
Dual Directional Buffer Securities Based on the Performance
of the S&P 500® Index Due June 1, 2023
| ▪ | The securities offered by this pricing supplement are unsecured
senior 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 repay a fixed amount of principal at maturity. Instead, the securities
offer a payment at maturity that may be greater than, equal to or less than the stated principal amount, depending on the performance
of the S&P 500® Index (the “underlying index”) from the initial index level to the final index level. |
| ▪ | The securities offer the potential for a positive return at
maturity based on the absolute value of the percentage change, within a limited range, in the underlying index from the initial index
level to the final index level. If the underlying index appreciates, the securities offer 1-to-1 participation in that appreciation,
subject to the maximum upside return specified below. If the underlying index depreciates, the securities offer 1-to-1 positive participation
in the absolute value of that depreciation, but only if the final index level is greater than or equal to the final buffer level specified
below. In exchange for the potential for a positive return at maturity even if the underlying index depreciates, investors in the securities
must be willing to forgo (i) interest on the securities and dividends on the stocks included in the underlying index and (ii) participation
in any appreciation of the underlying index in excess of the maximum upside return. In addition, investors in the securities must be
willing to accept leveraged downside exposure to any depreciation of the underlying index in excess of the 10.00% buffer percentage.
If the underlying index depreciates by more than the buffer percentage from the initial index level to the final index level, you
will lose more than 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer percentage.
Accordingly, the lower the final index level, the less benefit you will receive from the buffer. There is no minimum payment
at maturity. |
| ▪ | In order to obtain the modified exposure to the underlying index
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 index: |
The S&P 500® Index (ticker symbol: “SPX”) |
Aggregate stated principal amount: |
$2,425,000 |
Stated principal amount: |
$1,000 per security |
Pricing date: |
May 13, 2022 |
Issue date: |
May 18, 2022 |
Final valuation dates: |
May 22, 2023, May 23, 2023, May 24, 2023, May 25, 2023 and May 26, 2023, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity date: |
June 1, 2023, subject to postponement as described under “Additional Information” below |
Payment at maturity: |
At maturity, for each $1,000 security you then hold , you will receive
an amount in U.S. dollars determined as follows:
▪ If the final index level
is greater than or equal to the initial index level:
$1,000 + ($1,000 × the absolute index return), subject to the maximum upside return
▪ If the final index level
is less than the initial index level but greater than or equal to the final buffer level:
$1,000 + ($1,000 × the absolute index
return)
▪ If the final index level
is less than the final buffer level:
$1,000 + [$1,000 × the buffer rate × (the index return + the buffer percentage)]
If the final index level is less than the final buffer level, your
payment at maturity will be less, and possibly significantly less, than the $1,000 stated principal amount per security. You should not
invest in the securities unless you are willing and able to bear the risk of losing a significant portion, or all, of your investment. |
Initial index level: |
4,023.89, the closing level of the underlying index on the pricing date |
Final index level: |
The arithmetic average of the closing level of the underlying index on each of the final valuation dates |
Maximum upside return: |
$165.00 per security (16.50% of the stated principal amount). |
Buffer percentage: |
10.00% |
Final buffer level: |
3,621.501, 90.00% of the initial index level |
Buffer rate: |
The initial index level divided by the final buffer level, which is approximately 111.111% |
Absolute index return: |
The absolute value of the index return |
Index return: |
(i) The final index level minus the initial index level, divided by (ii) the initial index level |
Listing: |
The securities will not be listed on any securities exchange |
CUSIP / ISIN: |
17330FYH8 / US17330FYH80 |
Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
Underwriting fee and issue price: |
Issue price(1)(2) |
Underwriting fee(3) |
Proceeds to issuer(3) |
Per security: |
$1,000.00 |
$10.00 |
$990.00 |
Total: |
$2,425,000.00 |
$24,250.00 |
$2,400,750.00 |
(1) On the date of this pricing supplement, the estimated value of the
securities is $985.60 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) The issue price for investors purchasing the securities in fiduciary
accounts is $990.00 per security.
(3) CGMI will receive an underwriting fee of $10.00 for each security
sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities
and, from the underwriting fee to CGMI, will receive a placement fee of $10.00 for each security they sell in this offering to accounts
other than fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales to
fiduciary accounts. The total underwriting fees and proceeds to issuer in the table above give effect to the actual total underwriting
fee. 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-6.
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, each of which can be accessed via
the following hyperlinks:
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. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
|
Additional Information
General. 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, certain
events may occur that could affect your payment at maturity. These events and their consequences are described in the accompanying product
supplement in the sections “Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation
Date” and “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance
or Material Modification of an Underlying Index,” and not in this pricing supplement (except as set forth in the next paragraph).
The accompanying underlying supplement contains important disclosures regarding the underlying index that are 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 connection with your investment in the securities. Certain terms used but not defined in this
pricing supplement are defined in the accompanying product supplement.
Postponement of a Final Valuation Date; Postponement of the Maturity
Date. If any scheduled final valuation date is not a scheduled trading day, that final valuation date will be postponed to the next
succeeding scheduled trading day. In addition, if a market disruption event occurs on any scheduled final valuation date, the
calculation agent may, but is not required to, postpone that final valuation date to the next succeeding scheduled trading day on which
a market disruption event does not occur. If any final valuation date is postponed so that it coincides with a subsequent scheduled
final valuation date, each such subsequent final valuation date will be postponed to the next succeeding scheduled trading day (subject
to further postponement as provided above if a market disruption event occurs on such succeeding scheduled trading day). However,
in no event will any scheduled final valuation date be postponed more than five scheduled trading days after that originally scheduled
final valuation date as a result of a market disruption event occurring on that scheduled final valuation date or on an earlier scheduled
final valuation date (in each case, as any such scheduled final valuation date may be postponed). If the last final valuation
date is postponed so that it falls less than three business days prior to the scheduled maturity date, the maturity date will be postponed
to the third business day after the last final valuation date as postponed. The provisions in this paragraph supersede the
related provisions in the accompanying product supplement to the extent the provisions in this paragraph are inconsistent with those provisions. The
terms “scheduled trading day” and “market disruption event” are defined in the accompanying product supplement.
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
|
Hypothetical Examples
The diagram below illustrates the payment at maturity of the securities
for a range of hypothetical index returns. The table and examples that follow illustrate various hypothetical payments at maturity assuming
a hypothetical initial index level of 100.00, a hypothetical final buffer level of 90.00 and various hypothetical final index levels.
For the actual initial index level and final buffer level, 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 index level
and final buffer level, and not the hypothetical values indicated below. It is impossible to predict whether you will realize a gain or
loss on your investment in the securities. Figures in the table and examples below have been rounded for ease of analysis.
The table and examples below are intended to illustrate how your payment at maturity will depend on whether the final index level is greater
than or less than the initial index level and by how much.
Investors in the securities will not receive any dividends on the
stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield over the term
of the securities. See “Summary Risk Factors—Investing in the securities is not equivalent to investing in the underlying
index or the stocks that constitute the underlying index” below.
Dual Directional Buffer Securities
Payment at Maturity Diagram |
|
n The Securities |
n The Underlying Index |
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
|
Hypothetical Final Index Level |
Hypothetical Index Return |
Hypothetical Payment at Maturity per Security |
Hypothetical Total Return on Securities at Maturity(1) |
200.00 |
100.00% |
$1,165.00 |
16.50% |
175.00 |
75.00% |
$1,165.00 |
16.50% |
150.00 |
50.00% |
$1,165.00 |
16.50% |
140.00 |
40.00% |
$1,165.00 |
16.50% |
130.00 |
30.00% |
$1,165.00 |
16.50% |
116.50 |
16.50% |
$1,165.00 |
16.50% |
115.00 |
15.00% |
$1,150.00 |
15.00% |
110.00 |
10.00% |
$1,100.00 |
10.00% |
105.00 |
5.00% |
$1,050.00 |
5.00% |
100.00 |
0.00% |
$1,000.00 |
0.00% |
95.00 |
-5.00% |
$1,050.00 |
5.00% |
90.00 |
-10.00% |
$1,100.00 |
10.00% |
89.99 |
-10.01% |
$999.89 |
-0.01% |
85.00 |
-15.00% |
$944.44 |
-5.56% |
80.00 |
-20.00% |
$888.89 |
-11.11% |
70.00 |
-30.00% |
$777.78 |
-22.22% |
60.00 |
-40.00% |
$666.67 |
-33.33% |
50.00 |
-50.00% |
$555.56 |
-44.44% |
40.00 |
-60.00% |
$444.44 |
-55.56% |
30.00 |
-70.00% |
$333.33 |
-66.67% |
20.00 |
-80.00% |
$222.22 |
-77.78% |
10.00 |
-90.00% |
$111.11 |
-88.89% |
0.00 |
-100.00% |
$0.00 |
-100.00% |
(1) Hypothetical total return on securities at maturity =
(i) hypothetical payment at maturity per security minus $1,000 stated principal amount per security, divided by (ii) $1,000
stated principal amount per security
Example 1—Upside Scenario A. The hypothetical final index
level is 105.00 (a 5.00% increase from the hypothetical initial index level), which is greater than the hypothetical initial index
level.
Payment at maturity per security = $1,000 + ($1,000 × the absolute
index return), subject to the maximum upside return of $165.00
= $1,000 + ($1,000 × 5.00%), subject to the maximum upside return
of $165.00
= $1,000 + $50.00, subject to the maximum upside return of $165.00
= $1,050.00
In this scenario, because the hypothetical final index level is greater
than the hypothetical initial index level but not by more than the maximum upside return of 16.50%, your total return on the securities
at maturity would reflect 1-to-1 exposure to the positive performance of the underlying index.
Example 2—Upside Scenario B. The hypothetical final index
level is 140.00 (a 40.00% increase from the hypothetical initial index level), which is greater than the hypothetical initial index
level.
Payment at maturity per security = $1,000 + ($1,000 × the absolute
index return), subject to the maximum upside return of $165.00
= $1,000 + ($1,000 × 40.00%), subject to the maximum upside return
of $165.00
= $1,000 + $400.00, subject to the maximum upside return of $165.00
= $1,165.00
In this scenario, because the underlying index appreciated from the
hypothetical initial index level to the hypothetical final index level by more than the maximum upside return of 16.50%, you would receive
a positive return at maturity equal to the maximum upside return. An investment in the securities would underperform a hypothetical
alternative investment providing 1-to-1 exposure to the appreciation of the underlying index without a maximum upside return.
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
|
Example 3—Upside Scenario C. The hypothetical final index
level is 95.00 (a 5.00% decrease from the hypothetical initial index level), which is less than the hypothetical initial index
level but greater than the hypothetical final buffer level.
Payment at maturity per security = $1,000 + ($1,000 × the absolute
index return)
= $1,000 + ($1,000 × | -5.00%|)
= $1,000 + $50.00
= $1,050.00
In this scenario, because the underlying index depreciated from the
hypothetical initial index level to the hypothetical final index level but not by more than 10.00%, your payment at maturity would reflect
1-to-1 positive exposure to the absolute value of the depreciation of the underlying index.
Example 4—Downside Scenario A. The hypothetical final index
level is 70.00 (an approximately 30.00% decrease from the hypothetical initial index level), which is less than the hypothetical
final buffer level.
Payment at maturity per security = $1,000 + [$1,000 × the buffer
rate × (the index return + the buffer percentage)]
= $1,000 + [$1,000 × 1.11111 × (-30.00% + 10.00%)]
= $1,000 + -$222.22
= $777.78
Because the underlying index depreciated from the hypothetical initial
index level to the hypothetical final index level by more than the 10.00% buffer percentage, you would lose more than 1% of the stated
principal amount of your securities for every 1% the underlying index declined beyond the 10.00% buffer percentage. In this
scenario, the underlying index depreciated by 30.00% and you would lose approximately 22.22% of the stated principal amount at maturity;
therefore, the securities would provide an effective buffer (which is the difference between the depreciation of the underlying index
and the loss on the securities) of approximately 7.78%.
Example 5—Downside Scenario B. The hypothetical final index
level is 25.00 (an approximately 75.00% decrease from the hypothetical initial index level), which is less than the hypothetical
final buffer level.
Payment at maturity per security = $1,000 + [$1,000 × the buffer
rate × (the index return + the buffer percentage)]
= $1,000 + [$1,000 × 1.11111 × (-75.00% + 10.00%)]
= $1,000 + -$722.22
= $277.78
Because the underlying index depreciated from the hypothetical initial
index level to the hypothetical final index level by more than the 10.00% buffer percentage, you would lose more than 1% of the stated
principal amount of your securities for every 1% the underlying index declined beyond the 10.00% buffer percentage. In this
scenario, the underlying index depreciated by 75.00% and you would lose approximately 72.22% of the stated principal amount at maturity;
therefore, the securities would provide an effective buffer (which is the difference between the depreciation of the underlying index
and the loss on the securities) of approximately 2.78%. A comparison of this example with the previous example illustrates the diminishing
benefit of the buffer the greater the depreciation of the underlying index.
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
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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 index. 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 lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount
of principal at maturity. Instead, your payment at maturity will depend on the final index level. If the final index level is less than
the final buffer level, you will lose more than 1% of the stated principal amount of your securities for every 1% by which the underlying
index has depreciated by more than the buffer percentage. You should understand that any decline in the final index level in
excess of the buffer percentage will result in a magnified loss to your investment by the buffer rate, which will progressively offset
any protection that the buffer percentage would offer. The lower the final index level, the less benefit you will receive from the buffer
percentage. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment. |
| ▪ | 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. |
| ▪ | Your potential return on the securities is limited. If the final index level is greater than the initial index level,
your potential total return on the securities at maturity is limited to the maximum upside return set forth on the cover page of this
pricing supplement. The return on the underlying index from the initial index level to the final index level may significantly
exceed the maximum upside return. Therefore, your return on the securities may be significantly less than the return you could
have achieved on an alternative investment providing 1-to-1 exposure to the appreciation of the underlying index without a maximum upside
return. In addition, your potential for positive participation in the absolute value of any depreciation of the underlying
index is limited. Because the buffer percentage is equal to 10.00%, the return potential of the securities in the event that
the underlying index depreciates is limited to 10.00%. Any depreciation of the underlying index in excess of 10.00% will result
in a loss, rather than a positive return, on the securities. |
| ▪ | Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the
stocks that constitute the underlying index. As of May 13, 2022, the average dividend yield of the underlying index was approximately
1.557% per year. While it is impossible to know the future dividend yield of the underlying index, if this average dividend yield were
to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 1.61% (assuming no reinvestment
of dividends) by investing in the securities instead of investing directly in the stocks that constitute the underlying index or in another
investment linked to the underlying index that provides for a pass-through of dividends. The payment scenarios described in this pricing
supplement do not show any effect of lost dividend yield over the term of the securities. |
| ▪ | The payment at maturity on the securities is based on the arithmetic average of the closing level of the underlying index on the
five final valuation dates. As a result, you are subject to the risk that the closing level of the underlying index on those five
final valuation dates will result in a less favorable return than you would have received had the final index level been based on the
closing level on other days during the term of the securities. If you had invested in another instrument linked to the underlying index
that you could sell for full value at a time selected by you, you might have achieved better returns. In addition, because the final index
level is based on the average over the five final valuation dates, your return on the securities may be less favorable than it would have
been if it were based on the closing level of the underlying index on only one of those five final valuation dates. |
| ▪ | 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 |
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
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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.
| ▪ | 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) the placement 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 underlying
index, dividend yields on the stocks that constitute the underlying index 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 we will pay to investors in the securities, which do not
bear interest. |
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 level and volatility of the underlying index and a number of other factors, including the
price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute the underlying
index, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our
secondary market rate. Changes in the level of the underlying index may not result in a comparable change in the value of your |
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
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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. |
| ▪ | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur, such as market disruption events or the discontinuance of the underlying index, CGMI, as calculation agent, will
be required to make discretionary judgments that could significantly affect your payment at maturity. 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. |
| ▪ | Our offering of the securities does not constitute a recommendation of the underlying index by CGMI or its affiliates or by the
placement agents or their affiliates. The fact that we are offering the securities does not mean that we believe, or that the placement
agents or their affiliates believe, that investing in an instrument linked to the underlying index is likely to achieve favorable returns.
In fact, as we and the placement agents are part of global financial institutions, our affiliates and the placement agents and their affiliates
may have positions (including short positions) in the stocks that constitute the underlying index or in instruments related to the underlying
index or such stocks and may publish research or express opinions, that in each case are inconsistent with an investment linked to the
underlying index. These and other activities of our affiliates or the placement agents or their affiliates may affect the level of the
underlying index in a way that has a negative impact on your interests as a holder of the securities. |
| ▪ | We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours as a result
of our affiliates’ or their business activities. Our affiliates or the placement agents or their affiliates may currently or
from time to time engage in business with the issuers of the stocks that constitute the underlying index, including extending loans to,
making equity investments in or providing advisory services to such issuers. In the course of this business, we or our affiliates or the
placement agents or their affiliates may acquire non-public information about such issuers, which we and they will not disclose to you.
Moreover, if any of our affiliates or the placement agents or their affiliates is or becomes a creditor of any such issuer, they may exercise
any remedies against such issuer that are available to them without regard to your interests. |
| ▪ | The level of the underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly in the
stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks and may adjust
such positions during the term of the securities. Our affiliates and the placement agents and their affiliates also trade the stocks that
constitute the underlying index and other financial instruments related to the underlying index or such stocks 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 level of the underlying index in a way that negatively affects the value of the securities.
They could also result in substantial returns for us or our affiliates or the placement agents or their affiliates while the value of
the securities declines. |
| ▪ | Adjustments to the underlying index may affect the value of your securities. S&P Dow Jones Indices LLC (the “underlying
index publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes
that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time without regard to your interests as holders of the securities. |
| ▪ | The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or
a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in asserting
an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might be materially
and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S.
federal tax treatment of the securities, possibly retroactively. |
If you are a non-U.S. investor, you should
review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
|
Information About
the Underlying Index
The S&P 500® Index consists of 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. The S&P 500® Index is reported by Bloomberg L.P. under the ticker
symbol “SPX.”
“Standard & Poor’s,” “S&P” and
“S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC and have been licensed
for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The S&P U.S. Indices—License
Agreement” in the accompanying underlying supplement.
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 important disclosures
regarding the S&P 500® Index.
Historical Information
The closing level of the underlying index on May 13, 2022 was 4,023.89.
The graph below shows the closing levels of the underlying index for
each day such level was available from January 3, 2012 to May 13, 2022. We obtained the closing levels from Bloomberg L.P., without independent
verification. You should not take the historical levels of the underlying index as an indication of future performance.
S&P 500® Index – Historical Closing Levels
January 3, 2012 to May 13, 2022 |
|
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
|
United States Federal
Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, which
is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income tax purposes. By
purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment. There
is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
| · | You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange. |
| · | Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to the difference
between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain or loss
if you held the security for more than one year. |
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities 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.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code 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 Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic
performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However,
the regulations, as modified by an 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 securities and representations provided by us, our counsel is of the opinion that the securities
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 Equity and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the securities 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 securities.
If withholding tax applies to the securities, 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 securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
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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 $10.00 for each security sold
in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities and, from the
underwriting fee to CGMI, will receive a placement fee of $10.00 for each security they sell in this offering to accounts other than fiduciary
accounts. The amount of the underwriting fee to CGMI will be equal to the placement fee paid to the placement agents. CGMI
and the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary accounts. In addition to the
underwriting fee, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the
securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
CGMI is an affiliate of ours. Accordingly, this offering
will conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of the client.
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.
A portion of the net proceeds from the sale of the securities will be
used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or other
of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing level of the underlying index and, therefore, the value of and your
return on the securities. For additional information on the ways in which our counterparties may hedge our obligations under
the securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
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 six 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 six-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.”
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,
Citigroup Global Markets Holdings Inc. |
Dual Directional Buffer Securities Based on the Performance of the S&P 500® Index Due June 1, 2023 |
|
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.
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.
© 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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