KEY TERMS |
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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. |
Underlyings: |
Underlying |
Initial
underlying value* |
Downside
threshold value** |
|
S&P
500® Index |
4,023.89 |
3,219.112 |
|
Dow
Jones Industrial AverageTM |
32,196.66 |
25,757.328 |
|
* For each underlying, its closing value on the pricing date
** For each underlying, 80% of its initial underlying value |
Stated principal amount: |
$1,000 per security |
Pricing date: |
May 13, 2022 |
Issue date: |
May 18, 2022 |
Valuation date: |
January 16, 2024, subject to postponement if such date is not a scheduled trading day
or certain market disruption events occur |
Maturity date: |
January 19, 2024 |
Coupon payment dates: |
June 17, 2022, July 18, 2022, August 18, 2022, September 19, 2022, October 19, 2022,
November 18, 2022, December 19, 2022, January 20, 2023, February 21, 2023, March 20, 2023, April 19, 2023, May 19, 2023, June 20,
2023, July 19, 2023, August 18, 2023, September 19, 2023, October 19, 2023, November 20, 2023, December 19, 2023 and the maturity
date |
Coupon payments: |
On each coupon payment date, the securities will pay a coupon equal to 0.4292% of the
stated principal amount of the securities (equivalent to a coupon rate of approximately 5.15% per annum) |
Payment at maturity: |
For each $1,000 stated principal amount security you hold at maturity,
you will receive the final coupon payment plus:
▪
If a downside event does not occur: $1,000
▪
If a downside event occurs: $1,000 + [$1,000 × (the underlying return of the worst performing underlying on the valuation
date + the buffer percentage)]
If a downside event occurs, which means that the worst performing
underlying on the valuation date has depreciated from its 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.
|
Downside event: |
A downside event will occur if the final underlying value of the worst performing underlying
on the valuation date is less than its downside threshold value |
Buffer percentage: |
20% |
Listing: |
The securities will not be listed on any securities exchange |
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(3) |
Per security: |
$1,000.00 |
$17.50 |
$982.50 |
Total: |
$1,000,000.00 |
$17,500.00 |
$982,500.00 |
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(Key
Terms continued on next page)
(1) On the date of this pricing supplement,
the estimated value of the securities is $972.30 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) CGMI will receive an underwriting
fee of up to $17.50 for each security sold in this offering. The total underwriting fee 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.
(3) The per security proceeds to issuer
indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting
fee. As noted above, the underwriting fee is variable.
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. |
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KEY TERMS (continued) |
Final underlying value: |
For each underlying, its closing value on the valuation date |
Worst performing underlying: |
For any date, the underlying with the lowest underlying return on that date |
Underlying return: |
For each underlying on any date, (i) its closing value on that date minus its initial underlying
value, divided by (ii) its initial underlying value |
CUSIP / ISIN: |
17330FRA1 / US17330FRA11 |
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 each 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 each underlying. The accompanying underlying supplement contains information about each 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 connection with your investment in the securities. Certain terms used but not defined in this
pricing supplement are defined in the accompanying product supplement.
Citigroup Global Markets Holdings Inc. |
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Hypothetical Examples
of the Payment at Maturity on the Securities
The table below indicates what your payment at maturity would be for
various hypothetical underlying returns of the worst performing underlying on the valuation date. Your actual payment at maturity will
depend on the actual final underlying value of the worst performing underlying on the valuation date.
Hypothetical
Underlying Return of Worst Performing Underlying on the Valuation Date |
Hypothetical
Payment at Maturity(1) |
50.00% |
$1,004.292 |
20.00% |
$1,004.292 |
10.00% |
$1,004.292 |
0.00% |
$1,004.292 |
-10.00% |
$1,004.292 |
-20.00% |
$1,004.292 |
-20.01% |
$1,004.192 |
-30.00% |
$904.292 |
-40.00% |
$804.292 |
-50.00% |
$704.292 |
-60.00% |
$604.292 |
-70.00% |
$504.292 |
-80.00% |
$404.292 |
-90.00% |
$304.292 |
-100.00% |
$204.292 |
(1) Includes final coupon payment. Each security has a stated
principal amount of $1,000.00.
The examples below illustrate how to determine the payment at maturity
on the securities, assuming the various hypothetical final underlying values indicated below. The outcomes illustrated below are not
exhaustive, and your actual payment at maturity on the securities may differ from any example illustrated below.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values or downside threshold values of the underlyings. For the actual initial underlying
value and downside threshold value of each underlying, 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 payments on the securities will be calculated based on the actual initial underlying value and downside threshold
value of each underlying, and not the hypothetical values indicated below.
Underlying |
Hypothetical
initial underlying value |
Hypothetical
downside threshold value |
S&P
500® Index |
100 |
80
(80% of its hypothetical initial underlying value) |
Dow
Jones Industrial AverageTM |
100 |
80
(80% of its hypothetical initial underlying value) |
The hypothetical examples below illustrate the calculation of the payment
at maturity on the securities, assuming that the final underlying values of the underlyings are as indicated below.
|
Hypothetical
final underlying value of S&P 500® Index |
Hypothetical
final underlying value of Dow Jones Industrial AverageTM |
Hypothetical
payment at maturity per $1,000 security |
Example
1 |
130
(underlying return =
(130 – 100) / 100 = 30%) |
150
(underlying return =
(150 – 100) / 100 = 50%) |
$1,004.292 |
Example
2 |
60
(underlying return =
(60 – 100) / 100 = -40%) |
100
(underlying return =
(100 – 100) / 100 = 0%) |
$804.292 |
Example
3 |
140
(underlying return =
(140 – 100) / 100 = 40%) |
30
(underlying return =
(30 – 100) / 100 = -70%) |
$504.292 |
Example 1: In this example, the S&P 500®
Index has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In this scenario,
the final underlying value of the worst performing underlying on the valuation date is greater than its downside threshold value and,
as a result, a downside event does not occur. Accordingly, at maturity, you would receive the $1,000
Citigroup Global Markets Holdings Inc. |
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stated principal amount of the securities plus
the final coupon payment. You would not participate in the appreciation of any of the underlyings.
Example 2: In this example, the S&P 500®
Index has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In this scenario,
the final underlying value of the worst performing underlying on the valuation date is less than its downside threshold value and, as
a result, a downside event occurs. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000 + [$1,000 × (the
underlying return of the worst performing underlying on the valuation date + the buffer percentage)] + the final coupon payment
= $1,000 + [$1,000 × (-40% + 20%)] + $4.292
= $1,000 + [$1,000 × (-20%)] + $4.292
= $1,000 + -$200 + $4.292
= $804.292
In this scenario, because the final underlying value
of the worst performing underlying on the valuation date is less than its downside threshold value, you would lose a portion of your
investment in the securities. Your payment at maturity (excluding the final coupon payment) would reflect a loss of 1% of the stated
principal amount of your securities for every 1% by which the depreciation of the worst performing underlying on the valuation date has
exceeded the buffer percentage.
Example 3: In this example, the Dow Jones
Industrial AverageTM has the lowest underlying return and, therefore, is the worst performing underlying on the valuation
date. In this scenario, the final underlying value of the worst performing underlying on the valuation date is less than its downside
threshold value and, as a result, a downside event occurs. Accordingly, at maturity, you would receive a payment per security calculated
as follows:
Payment at maturity = $1,000 + [$1,000 × (the
underlying return of the worst performing underlying on the valuation date + the buffer percentage)] + the final coupon payment
= $1,000 + [$1,000 × (-70% + 20%)] + $4.292
= $1,000 + [$1,000 × (-50%)] + $4.292
= $1,000 + -$500 + $4.292
= $504.292
In this scenario, because the final underlying value
of the worst performing underlying on the valuation date is less than its downside threshold value, you would lose a portion of your
investment in the securities. Your payment at maturity (excluding the final coupon payment) would reflect a loss of 1% of the stated
principal amount of your securities for every 1% by which the depreciation of the worst performing underlying on the valuation date has
exceeded the buffer percentage.
Citigroup Global Markets Holdings Inc. |
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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 each 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 lose some or all of your investment. Unlike conventional
debt securities, the securities do not provide for the repayment of the stated principal
amount at maturity in all circumstances. If a downside event occurs, which means that the
worst performing underlying on the valuation date has depreciated from its initial 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. |
| ▪ | Higher coupon payment rates are associated with greater risk.
The securities offer coupon payments at a per annum rate that is higher than the rate
we would pay on conventional debt securities of the same maturity. In exchange for this higher
coupon payment rate, investors in the securities will be subject to significantly greater
risk than investors in our conventional debt securities, including the risk that you may
lose a significant portion, and up to all, of your investment at maturity (excluding the
final coupon payment). The volatility of and the correlation between the underlyings are
important factors affecting these risks. In general, the higher the expected volatility of
the underlyings, and the lower the expected correlation between the underlyings, the greater
the coupon payment rate on the securities. However, higher expected volatility and lower
expected correlation would also represent a greater expected likelihood as of the pricing
date that the final underlying value of the worst performing underlying on the valuation
date will be less than its downside threshold value, such that you will not be repaid the
stated principal amount of your securities at maturity. |
| ▪ | The securities are subject to heightened risk because they have
multiple underlyings. The securities are more risky than similar investments that may
be available with only one underlying. With multiple underlyings, there is a greater chance
that any one underlying will perform poorly, adversely affecting your return on the securities. |
| ▪ | The securities are subject to the risks of each of the underlyings
and will be negatively affected if any one underlying performs poorly. You are subject
to risks associated with each of the underlyings. If any one underlying performs poorly,
you will be negatively affected. The securities are not linked to a basket composed of the
underlyings, where the blended performance of the underlyings would be better than the performance
of the worst performing underlying alone. Instead, you are subject to the full risks of whichever
of the underlyings is the worst performing underlying. |
| ▪ | You will not benefit in any way from the performance of any better
performing underlying. The return on the securities depends solely on the performance
of the worst performing underlying, and you will not benefit in any way from the performance
of any better performing underlying. |
| ▪ | You will be subject to risks relating to the relationship between
the underlyings. It is preferable from your perspective for the underlyings to be correlated
with each other, in the sense that their closing values tend to increase or decrease at similar
times and by similar magnitudes. By investing in the securities, you assume the risk that
the underlyings will not exhibit this relationship. The less correlated the underlyings,
the more likely it is that any one of the underlyings will perform poorly over the term of
the securities. All that is necessary for the securities to perform poorly is for one of
the underlyings to perform poorly. It is impossible to predict what the relationship between
the underlyings will be over the term of the securities. The underlyings differ in significant
ways and, therefore, may not be correlated with each other. |
| ▪ | The securities offer downside exposure to the worst performing
underlying, but no upside exposure to any underlying. You will not participate in any
appreciation in the value of any underlying over the term of the securities. Consequently,
your return on the securities will be limited to the coupon payments and may be significantly
less than the return on any underlying over the term of the securities. In addition, as an
investor in the securities, you will not receive any dividends or other distributions or
have any other rights with respect to any of the underlyings. |
| ▪ | The performance of the securities will depend on the closing
values of the underlyings solely on the valuation date, which makes the securities particularly
sensitive to volatility in the closing values of the underlyings on or near the valuation
date. What you receive at maturity will depend solely on the closing value of the worst
performing underlying on the valuation date, and not on any other day during the term of
the securities. Because the performance of the securities depends on the closing values of
the underlyings solely on the valuation date, the securities will be particularly sensitive
to volatility in the closing values of the underlyings on or near the valuation date. You
should understand that the closing value of each underlying has historically been highly
volatile. |
Citigroup Global Markets Holdings Inc. |
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| ▪ | 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. |
| ▪ | 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, and correlation between, the closing values of the underlyings, the dividend
yields on the underlyings 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 values of the underlyings, the volatility of, and correlation
between, the closing values of the underlyings, dividend yields on the underlyings, 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 |
Citigroup Global Markets Holdings Inc. |
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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 values of the underlyings 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 any
underlying. The fact that we are offering the securities does not mean that we believe
that investing in an instrument linked to the underlyings 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 underlyings or in instruments related to the
underlyings, and may publish research or express opinions, that in each case are inconsistent
with an investment linked to the underlyings. These and other activities of our affiliates
may affect the closing values of the underlyings in a way that negatively affects the value
of and your return on the securities. |
| ▪ | The closing value of an underlying 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 in the underlyings or in financial instruments related to the underlyings and may
adjust such positions during the term of the securities. Our affiliates also take positions
in the underlyings or in financial instruments related to the underlyings on a regular basis
(taking long or short positions or both), for their accounts, for other accounts under their
management or to facilitate transactions on behalf of customers. These activities could affect
the closing values of the underlyings 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 underlyings 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 an 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 underlyings may affect the value of your
securities. The sponsors of the underlyings may at any time make methodological changes
or other changes in the manner in which they operate that could affect the values of the
underlyings. We are not affiliated with any such underlying sponsor and, accordingly, we
have no control over any changes any such sponsor may make. Such changes could adversely
affect the performance of the underlyings and the value of and your return on 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 described in “United States Federal
Tax Considerations” below. 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. |
As described in “United States Federal Tax Considerations”
below, in connection with any information reporting requirements we may have in respect of the securities under applicable law, we intend
to treat a portion of each coupon payment as attributable to interest and the remainder to option premium. However, in light of the uncertain
treatment of the securities, it is possible that other persons having withholding or information reporting responsibility in respect
of the securities may treat a security differently, for instance, by treating the entire coupon payment as ordinary income at the time
received or accrued by a holder and/or treating some or all of each coupon payment on a security to a non-U.S. investor as subject to
withholding tax at a rate of 30%.
If withholding applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
Citigroup Global Markets Holdings Inc. |
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Information About the S&P 500® Index
The S&P 500® Index consists of the common stocks
of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for additional information.
We have derived all information regarding the S&P 500®
Index from publicly available information and have not independently verified any information regarding the S&P 500®
Index. This pricing supplement relates only to the 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 13,
2022 was 4,023.89.
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 13, 2022. We obtained the closing values from Bloomberg
L.P., without independent verification. You should not take the historical closing values as an indication of future performance.
S&P
500® Index – Historical Closing Values
January 3, 2012 to May 13,
2022 |
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Information About the Dow Jones Industrial AverageTM
The Dow Jones Industrial AverageTM is a price-weighted index
rather than a market capitalization-weighted index. The Dow Jones Industrial AverageTM consists of 30 common stocks chosen
as representative of the broad market of U.S. industry. It is calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—The
Dow Jones Industrial AverageTM” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Dow Jones Industrial
AverageTM from publicly available information and have not independently verified any information regarding the Dow Jones
Industrial AverageTM. This pricing supplement relates only to the securities and not to the Dow Jones Industrial AverageTM.
We make no representation as to the performance of the Dow Jones Industrial AverageTM 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 Dow Jones Industrial AverageTM 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 Dow Jones Industrial AverageTM
on May 13, 2022 was 32,196.66.
The graph below shows the closing value of the Dow Jones Industrial
AverageTM for each day such value was available from January 3, 2012 to May 13, 2022. We obtained the closing values from
Bloomberg L.P., without independent verification. You should not take the historical closing values as an indication of future performance.
Dow
Jones Industrial AverageTM – Historical Closing Values
January 3, 2012 to May 13,
2022 |
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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.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat a security as a put option (the “Put Option”) written by you with respect to
the underlying shares, secured by a cash deposit equal to the stated principal amount of the security (the “Deposit”). In
the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, this treatment of the securities
is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment
is more likely than not to be upheld, and that alternative treatments are possible. Under this treatment:
| · | a portion of each
coupon payment made with respect to the securities will be attributable to interest on the
Deposit; and |
| · | the remainder will
represent premium attributable to your grant of the Put Option (“Put Premium”). |
We will treat 71.10% of each coupon payment as interest on the Deposit
and 28.90% as Put Premium.
Assuming the treatment of a security as a Put Option and a Deposit
is respected, amounts treated as interest on the Deposit should be taxed as ordinary interest income, while the Put Premium should not
be taken into account prior to maturity or disposition of the securities. See “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders” in the accompanying product supplement.
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 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 the
section of the accompanying product supplement entitled “United States Federal Tax Considerations,” if you are a Non-U.S.
Holder (as defined in the accompanying product supplement) of the securities, under current law 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—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 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.
While we currently do not intend to withhold on payments on the
securities to Non-U.S. Holders (subject to compliance with the applicable certification requirements and the discussion in the accompanying
product supplement regarding “FATCA”), in light of the uncertain treatment of the securities other persons having withholding
or information reporting responsibility in respect of the securities may treat some or all of each coupon payment on a security as subject
to withholding tax at a rate of 30%. Moreover, it is possible that in the future we may determine that we should withhold at a rate of
30% on coupon payments on 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.
Citigroup Global Markets Holdings Inc. |
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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.
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 up to $17.50 for each security
sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected dealers, as described
in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable selling concession
of up to $17.50 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.”
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.
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
Citigroup Global Markets Holdings Inc. |
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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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