Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03
June 30, 2022
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2022-USNCH12472 to Product
Supplement No. EA-04-09
dated May 11, 2021, Underlying Supplement No. 10 dated May 11, 2021 and
Prospectus Supplement and Prospectus each dated May 11, 2021
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Citigroup Global Markets Holdings
Inc.
All Payments Due from Citigroup
Global Markets Holdings Inc. Fully and Unconditionally Guaranteed by Citigroup Inc.
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Market Linked Securities—Auto-Callable with
Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst
Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June
27, 2025
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n |
Linked to the worst performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index (each referred to as an “underlying”) |
n |
Unlike ordinary debt securities, the securities do not provide for fixed payments of interest, do not repay a fixed amount of principal at maturity and are subject to potential automatic redemption prior to maturity upon the terms described below. Whether the securities pay a contingent coupon, whether the securities are automatically redeemed prior to maturity and, if they are not automatically redeemed, whether you are repaid the stated principal amount of your securities at maturity will depend in each case on the closing value of the worst performing underlying on the relevant valuation date. The worst performing underlying on any valuation date is the underlying that has the lowest underlying performance factor on that valuation date |
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Contingent Coupon. The securities will pay a contingent coupon on a quarterly basis until the earlier of maturity or automatic redemption if, and only if, the closing value of the worst performing underlying on the relevant valuation date is greater than or equal to its coupon barrier value. However, if the closing value of the worst performing underlying on a valuation date is less than its coupon barrier value, you will not receive any contingent coupon on the relevant contingent coupon date. If the closing value of the worst performing underlying is less than its coupon barrier value on every valuation date, you will not receive any contingent coupons throughout the entire term of the securities. The quarterly contingent coupon is 2.725% of the stated principal amount (equivalent to a contingent coupon rate of 10.90% per annum) |
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Automatic Redemption. If the closing value of the worst performing underlying on any potential autocall date from December 2022 to March 2025, inclusive, is greater than or equal to its initial underlying value, we will automatically redeem the securities for the stated principal amount plus the related contingent coupon payment |
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Potential Loss of Principal. If the securities are not automatically redeemed prior to maturity, you will receive the stated principal amount at maturity if, and only if, the closing value of the worst performing underlying on the final valuation date is greater than or equal to its final barrier value. If the closing value of the worst performing underlying on the final valuation date is less than its final barrier value, you will lose a significant portion, and possibly all, of the stated principal amount of your securities |
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The coupon barrier value and final barrier value for each underlying are equal to 70% of its initial underlying value |
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If the securities are not automatically redeemed prior to maturity, you will have full downside exposure to the worst performing underlying on the final valuation date from its initial underlying value if its closing value on the final valuation date is less than its final barrier value, but you will not participate in any appreciation of either underlying and will not receive any dividends on securities included in either underlying |
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Your return on the securities will depend solely on the performance of the underlying that is the worst performing underlying on each valuation date. You will not benefit in any way from the performance of the better performing underlying. Therefore, you will be adversely affected if either underlying performs poorly, even if the other underlying performs favorably |
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All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.; if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you could lose some or all of your investment |
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The securities will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should not invest in the securities unless you are willing to hold them to maturity |
The securities have complex features and investing
in the securities involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors”
beginning on page PS-8 and “Risk Factors Relating to the Securities” beginning on page EA-7 of the accompanying product supplement.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete.
Any representation to the contrary is a criminal offense.
The securities are unsecured debt obligations
issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. All payments due on the securities are subject to the
credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. None of Wells Fargo Securities, LLC (“Wells Fargo”)
or any of its affiliates will have any liability to the purchasers of the securities in the event Citigroup Global Markets Holdings Inc.
defaults on its obligations under the securities and Citigroup Inc. defaults on its guarantee obligations. 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.
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Per Security |
Total |
Public Offering Price(1) |
$1,000.00 |
$1,570,000.00 |
Underwriting Discount and Commission(2)(3) |
$21.25 |
$33,362.50 |
Proceeds to Citigroup Global Markets Holdings Inc.(2) |
$978.75 |
$1,536,637.50 |
(1) On the date of this pricing supplement, the
estimated value of the securities is $943.10 per security, which is less than the public offering price. The estimated value
of the securities is based on Citigroup Global Market Inc.’s (“CGMI”) 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
any 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, an affiliate of Citigroup Global Markets
Holdings Inc., as the lead agent for the offering, has agreed to sell the securities to Wells Fargo, as agent. Wells Fargo will receive
an underwriting discount and commission of 2.125% ($21.25) for each security it sells. Wells Fargo will pay selected dealers, which may
include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of its affiliates, Wells Fargo Clearing
Services, LLC and Wells Fargo Advisors Financial Network, LLC), a fixed selling commission of 1.50% ($15.00) for each security they sell. In
addition to the selling commission allowed to WFA, Wells Fargo may pay $0.75 per security of the underwriting discount and commission
to WFA as a distribution expense fee for each security sold by WFA. The total underwriting discount and commission and proceeds to Citigroup
Global Markets Holdings Inc. shown above give effect to the actual underwriting discount and commission provided for the sale of the securities. See
“Supplemental Plan of Distribution” below and “Use of Proceeds and Hedging” in the accompanying prospectus for
further information regarding how we have hedged our obligations under the securities.
(3) In respect of certain securities sold in this
offering, CGMI may pay a fee of up to $1.00 per security to selected securities dealers in consideration for marketing and other services
in connection with the distribution of the securities to other securities dealers.
Citigroup Global Markets Inc. |
Wells Fargo
Securities |
Underlyings: |
The SPDR® S&P® Regional Banking ETF and the S&P 500® Index (each referred to as an “underlying,” and collectively as the “underlyings”) |
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. |
Stated Principal Amount: |
$1,000 per security. References in this pricing supplement to a “security” are to a security with a stated principal amount of $1,000. |
Pricing Date: |
June 30, 2022 |
Issue Date: |
July 6, 2022 |
Valuation Dates: |
The 24th day of each March, June, September and December, beginning in September 2022 and ending on June 24, 2025 (the “final valuation date”), each subject to postponement if such date is not a trading day or certain market disruption events occur. See “Additional Terms of the Securities.” |
Maturity Date: |
June 27, 2025. If the final valuation date is postponed, the stated maturity date will be the later of (i) June 27, 2025 and (ii) three business days after the last final valuation date as postponed. See “Additional Terms of the Securities.” |
Contingent Coupon Payment Dates: |
The third business day after each valuation date (as each such valuation date may be postponed), except that the contingent coupon payment date following the final valuation date will be the maturity date. If a valuation date is postponed with respect to one or more underlyings, the related contingent coupon payment date will be three business days after the last valuation date as postponed. |
Contingent Coupon: |
On each contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 2.725% of the stated principal amount of the securities (equivalent to a contingent coupon rate of 10.90% per annum) if and only if the closing value of the worst performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying on any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately following contingent coupon payment date. |
Payment at Maturity: |
If the securities are not automatically
redeemed prior to maturity, you will receive at maturity for each security you then hold (in addition to the contingent coupon due at
maturity, if any):
▪ if
the closing value of the worst performing underlying on the final valuation date is greater than or equal to its final barrier
value: $1,000; or
▪ if
the closing value of the worst performing underlying on the final valuation date is less than its final barrier value:
$1,000
× the underlying performance factor of the worst performing underlying on the final valuation date
If the closing value of the worst
performing underlying on the final valuation date is less than its final barrier value, you will receive significantly less than the stated
principal amount of your securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment at maturity.
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Automatic Early Redemption: |
If, on any potential autocall date, the closing value of the worst performing underlying is greater than or equal to its initial underlying value, each security you then hold will be automatically redeemed on the immediately following contingent coupon payment date for an amount in cash equal to $1,000 plus the related contingent coupon payment. |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
Potential Autocall Dates: |
Each valuation date beginning in December 2022 and ending in March 2025. |
Initial Underlying Value: |
With respect to the SPDR® S&P®
Regional Banking ETF: $58.09, its closing value on the pricing date.
With respect to the S&P 500® Index: 3,785.38, its closing value on the pricing date.
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Coupon Barrier
Value:
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With respect to the SPDR® S&P®
Regional Banking ETF: $40.663, which is equal to 70% of its initial underlying value.
With respect to the S&P 500® Index: 2,649.766, which is equal to 70% of its initial underlying value.
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Final Barrier
Value:
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With respect to the SPDR® S&P®
Regional Banking ETF: $40.663, which is equal to 70% of its initial underlying value.
With respect to the S&P 500® Index: 2,649.766, which is equal to 70% of its initial underlying value.
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Underlying Performance Factor: |
For each underlying on any valuation date, its closing value on that valuation date divided by its initial underlying value |
Worst Performing Underlying: |
For any valuation date, the underlying with the lowest underlying performance factor determined as of that valuation date |
Calculation Agent: |
CGMI |
Denominations: |
$1,000 and any integral multiple of $1,000. |
CUSIP / ISIN: |
17330PBT5 / US17330PBT57 |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
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, underlying supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in
this pricing supplement. For example, the accompanying product supplement contains important information about how the closing
value of the underlyings will be determined and other specified events with respect to the underlyings. The accompanying underlying
supplement contains information about the underlyings that is not repeated in this pricing supplement. It is important that
you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement
in deciding whether to invest in the securities. Certain terms used but not defined in this pricing supplement are defined
in the accompanying product supplement.
When we refer to “we,” “us”
and “our” in this pricing supplement, we refer only to Citigroup Global Market Holdings Inc. and not to any of its affiliates,
including Citigroup Inc.
You may access the product supplement, underlying
supplement and prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing
our filings for the relevant date on the SEC website):
| • | Product Supplement No. EA-04-09 dated May 11, 2021: |
https://www.sec.gov/Archives/edgar/data/0000831001/000095010321007044/dp150747_424b2-coba0409.htm
| • | Underlying Supplement No. 10 dated May 11, 2021: |
https://www.sec.gov/Archives/edgar/data/200245/000095010321007028/dp150879_424b2-us10.htm
| • | Prospectus Supplement and Prospectus each dated May 11, 2021: |
https://www.sec.gov/Archives/edgar/data/200245/000119312521157552/d423193d424b2.htm
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
We have designed the securities for investors
who:
| · | seek an investment with periodic contingent coupon payments equal to the amount indicated on the cover
hereof until the earlier of maturity or automatic redemption, if, and only if, the closing value of the worst performing underlying
on the relevant valuation date is greater than or equal to its coupon barrier value; |
| · | understand that if the closing value of the worst performing underlying on the final valuation date is
less than its final barrier value, they will be fully exposed to the decline in the worst performing underlying from its initial underlying
value and will receive significantly less than the stated principal amount, and possibly nothing, at maturity; |
| · | are willing to accept the risk that they may not receive any contingent coupon payment on one or more,
or any, contingent coupon payment dates over the term of the securities and may lose all of the stated principal amount per security at
maturity; |
| · | understand that the securities may be automatically redeemed prior to maturity and that the term of the
securities may be limited; |
| · | understand that the return on the securities will depend solely on the performance of the underlying that
is the worst performing underlying on each valuation date and that they will not benefit in any way from the performance of the better
performing underlying; |
| · | understand that the securities are riskier than alternative investments linked to only one of the underlyings
or linked to a basket composed of each underlying; |
| · | understand and are willing to accept the full downside risks of each underlying; |
| · | are willing to forgo participation in any appreciation of either underlying and dividends on securities
included in the underlyings; and |
| · | are willing to hold the securities to maturity. |
The securities are not designed for, and may not
be a suitable investment for, investors who:
| · | seek a liquid investment or are unable or unwilling to hold the securities to maturity; |
| · | seek full return of the stated principal amount of the securities at maturity; |
| · | seek a security with a fixed term; |
| · | are unwilling to purchase securities with an estimated value as of the pricing date that is lower than
the public offering price; |
| · | are unwilling to accept the risk that the closing value of the worst performing underlying on the final
valuation date may be less than its final barrier value; |
| · | seek certainty of current income over the term of the securities; |
| · | seek exposure to the upside performance of any or each underlying; |
| · | seek exposure to a basket composed of each underlying or a similar investment in which the overall return
is based on a blend of the performances of the underlyings, rather than solely on the worst performing underlying; |
| · | are unwilling to accept the risk of exposure to the underlyings; |
| · | are unwilling to accept the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.;
or |
| · | prefer the lower risk of conventional fixed income investments with comparable maturities issued by companies
with comparable credit ratings. |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
Determining Payment On A Contingent Coupon Payment Date and at Maturity |
If the securities have not been previously automatically
redeemed, on each contingent coupon payment date, you will either receive a contingent coupon payment or you will not receive a contingent
coupon payment, depending on the closing value of the worst performing underlying on the related valuation date.
Step 1: Determine
which underlying is the worst performing underlying on the relevant valuation date. The worst performing underlying on any valuation date
is the underlying with the lowest underlying performance factor on that valuation date. The underlying performance factor of
an underlying on a valuation date is its closing value on that valuation date divided by its initial underlying value.
Step 2: Determine whether a contingent
coupon is paid on the applicable contingent coupon payment date based on the closing value of the worst performing underlying on the relevant
valuation date, as follows:
If the relevant valuation date were also a potential
autocall date and the closing value of the worst performing underlying on the relevant valuation date were greater than or equal to its
initial underlying value, the securities would be automatically redeemed on the applicable contingent coupon payment date for an amount
in cash equal to $1,000 plus the related contingent coupon payment.
On the maturity date, if the securities have not
been automatically redeemed prior to the maturity date, you will receive (in addition to the final contingent coupon payment, if any)
a cash payment per security (the payment at maturity) calculated as follows:
Step 1: Determine
which underlying is the worst performing underlying on the final valuation date. The worst performing underlying on the final valuation
date is the underlying with the lowest underlying performance factor on the final valuation date. The underlying performance
factor of an underlying on the final valuation date is its closing value on the final valuation date divided by its initial underlying
value.
Step 2: Calculate the payment at maturity
based on the closing value of the worst performing underlying on the final valuation date, as follows:
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
Hypothetical
Payout Profile |
The following profile illustrates the potential
payment at maturity on the securities (excluding the final contingent coupon payment, if any) for a range of hypothetical performances
of the worst performing underlying on the final valuation date from its initial underlying value to its closing value on the final valuation
date, assuming the securities have not been automatically redeemed prior to the maturity date. This graph has been prepared for purposes
of illustration only. Your actual return on the securities will depend on the actual closing value of the worst performing underlying
on the final valuation date and whether you hold your securities to the maturity date. The performance of the better performing
underlying is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
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 of the underlyings. 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 the securities are not
automatically redeemed prior to maturity, your payment at maturity will depend on the closing value of the worst performing underlying
on the final valuation date. If the closing value of the worst performing underlying on the final valuation date is less than
its final barrier value, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing
underlying has declined from its initial underlying value. There is no minimum payment at maturity on the securities, and you
may lose up to all of your investment.
You Will Not Receive Any Contingent Coupon
On The Contingent Coupon Payment Date Following Any Valuation Date On Which The Closing Value Of The Worst Performing Underlying Is Less
Than Its Coupon Barrier Value.
A contingent coupon payment will be made on a
contingent coupon payment date if and only if the closing value of the worst performing underlying on the immediately preceding valuation
date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying is less than its coupon
barrier value on any valuation date, you will not receive any contingent coupon payment on the immediately following contingent coupon
payment date. If the closing value of the worst performing underlying is below its coupon barrier value on each valuation date, you will
not receive any contingent coupon payments over the term of the securities.
Higher Contingent Coupon Rates Are Associated
With Greater Risk.
The securities offer contingent coupon payments
at an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities
of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing date for the securities,
including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent coupon payment dates and the
risk that the securities will not be automatically redeemed and the value of what you receive at maturity may be significantly less than
the stated principal amount of your securities and may be zero. The volatility of and the correlation between the underlyings are important
factors affecting these risks. Greater expected volatility of and lower expected correlation between the underlyings as of the pricing
date may result in a higher contingent coupon rate, but would also represent a greater expected likelihood as of the pricing date that
(i) the closing value of the worst performing underlying on one or more valuation dates will be less than its coupon barrier value, such
that you will not receive one or more, or any, contingent coupon payments during the term of the securities and (ii) the securities will
not be automatically redeemed and the closing value of the worst performing underlying on the final valuation date will be less than its
final barrier 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
The Securities Are Subject To The Risks Of
Each Of The Underlyings And Will Be Negatively Affected If Any One Underlying Performs Poorly, Regardless Of The Performance Of The Other
Underlying.
You are subject to risks associated with each
of the underlyings. If any one underlying performs poorly, you will be negatively affected, regardless of the performance of the other
underlying. 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 The 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 the 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 they 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; the performance of either underlying that
is not the worst performing underlying is not relevant to your return on the securities. 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.
You May Not Be Adequately Compensated For Assuming
The Downside Risk Of The Worst Performing Underlying.
The potential contingent coupon payments on the
securities are the compensation you receive for assuming the downside risk of the worst performing underlying, as well as all the other
risks of the securities. That compensation is effectively “at risk” and may, therefore, be less than you currently anticipate.
First, the actual yield you realize on the securities could be lower than you anticipate because the coupon is “contingent”
and you may not receive a contingent coupon payment on one or more, or any, of the contingent coupon payment dates. Second, the contingent
coupon payments are the compensation you receive not only for the downside risk of the worst performing underlying, but also for all of
the other risks of the securities, including the risk that the securities may be automatically redeemed prior to maturity, interest rate
risk and our and Citigroup Inc.’s credit risk. If those other risks increase or are otherwise greater than you currently
anticipate, the contingent coupon payments may turn out to be inadequate to compensate you for all the risks of the securities, including
the downside risk of the worst performing underlying.
The Securities May Be Automatically Redeemed
Prior To Maturity, Limiting Your Opportunity To Receive Contingent Coupon Payments.
On any potential autocall date, the securities
will be automatically redeemed if the closing value of the worst performing underlying on that potential autocall date is greater than
or equal to its initial underlying value. Thus, the term of the securities may be limited. If the securities are redeemed prior
to maturity, you will not receive any additional contingent coupon payments. Moreover, you may not be able to reinvest your
funds in another investment that provides a similar yield with a similar level of risk.
The Securities Offer Downside Exposure To The
Worst Performing Underlying, But No Upside Exposure To Either Underlying.
You will not participate in any appreciation in
the value of either underlying over the term of the securities. Consequently, your return on the securities will be limited to the contingent
coupon payments you receive, if any, and may be significantly less than the return on either 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 either underlying.
The Performance Of The Securities Will Depend
On The Closing Values Of The Underlyings Solely On The Valuation Dates, Which Makes The Securities Particularly Sensitive To Volatility
In The Closing Values Of The Underlyings.
Whether the contingent coupon will be paid on
any given contingent coupon payment date and whether the securities will be automatically redeemed prior to maturity will depend on the
closing values of the underlyings solely on the applicable valuation dates, regardless of the closing values of the underlyings on other
days during the term of the securities. If the securities are not automatically redeemed, what you receive at maturity will depend solely
on the closing value of the worst performing underlying on the final valuation date, and not on any other day during the term of the securities.
Because the performance of the securities depends
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
on the closing values of the underlyings on a
limited number of dates, the securities will be particularly sensitive to volatility in the closing values of the underlyings. You should
understand that the closing value of each of the underlyings has historically been highly volatile.
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. We have been advised that Wells Fargo currently
intends to make a secondary market in relation to the securities. However, Wells Fargo may suspend or terminate making a market
without notice, at any time and for any reason. If Wells Fargo suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that Wells Fargo 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 Public Offering Price.
The difference is attributable to certain costs
associated with selling, structuring and hedging the securities that are included in the public offering price. These costs
include (i) any selling concessions or other fees paid in connection with the offering of the 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 and/or Wells Fargo or its 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 underlyings, 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 Wells Fargo’s Determination of The Secondary Market Rate With Respect To Us.
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. We expect that our internal funding rate is generally lower than Wells Fargo’s determination
of the secondary market rate with respect to us, which is the rate that we expect Wells Fargo will use in determining the value of the
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 Wells Fargo’s determination of the secondary market rate with respect to us, rather than
our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs
associated with the 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, Wells Fargo may determine the secondary market rate with respect to us for purposes
of any purchase of the securities from you in the secondary market based on the market price of traded instruments referencing the debt
obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject to adjustments
that Wells Fargo may deem appropriate.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
The Estimated Value Of The Securities Is Not
An Indication Of The Price, If Any, At Which Any 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, we expect that any value of the securities determined for purposes of a secondary
market transaction will be based on Wells Fargo’s determination of the secondary market rate with respect to us, which will likely
result in a lower value for the securities than if our internal funding rate were used. In addition, we expect that 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 may be reduced 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 public offering
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 the closing values of the underlyings, the correlation
between 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 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 public offering price.
We Have Been Advised That, Immediately Following
Issuance, Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements
Prepared By Wells Fargo Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.
The amount of this temporary upward adjustment
will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.
The SPDR® S&P®
Regional Banking ETF Is Subject To Risks Associated With Investing In The Banking Sector.
The stocks held by the SPDR® S&P®
Regional Banking ETF are generally concentrated in the banking industry. The performance of bank stocks may be affected by
extensive governmental regulation, which may limit both the amounts and types of loans and other financial commitments they can make,
the interest rates and fees they can charge and the amount of capital they must maintain. Profitability is largely dependent on the availability
and cost of capital funds and can fluctuate significantly when interest rates change. Credit losses resulting from financial difficulties
of borrowers can negatively impact banking companies. Banks may also be subject to severe price competition. Competition among banking
companies is high and failure to maintain or increase market share may result in lost market share. These factors could affect the banking
industry and could affect the value of the equity securities held by the SPDR® S&P® Regional Banking
ETF and the price of the SPDR® S&P® Regional Banking ETF during the term of the securities, which may
adversely affect the value of your securities.
Our Offering Of The Securities Is Not A Recommendation
Of Either Underlying.
The fact that we are offering the securities does
not mean that we or Wells Fargo or its affiliates believe that investing in an instrument linked to the underlyings is likely to achieve
favorable returns. In fact, as we and Wells Fargo and its affiliates are each part of respective global financial institutions, our affiliates
and affiliates of Wells Fargo may have positions (including short positions) in the 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 or of Wells Fargo or its 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’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.
We have hedged our obligations under the securities
through CGMI or other of our affiliates and/or Wells Fargo or its 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 and
Wells Fargo and its 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 value of the underlyings in a
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
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 or Wells Fargo and its affiliates while
the value of the securities declines.
We And Our Affiliates And Wells Fargo And Its
Affiliates May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.
Our affiliates and Wells Fargo and its affiliates
engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the
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 or Wells Fargo or its affiliates while the value of the securities declines. In addition, in the course
of this business, we or our affiliates or Wells Fargo or its affiliates may acquire non-public information, which will not be disclosed
to you.
The Calculation Agent, Which Is An Affiliate
Of Ours, Will Make Important Determinations With Respect To The 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.
In The Case Of An Underlying
That Is An Underlying ETF, Even If An Underlying Pays A Dividend That It Identifies As Special Or Extraordinary, No Adjustment Will Be
Required Under The Securities For That Dividend Unless It Meets The Criteria Specified In The Accompanying Product Supplement.
In general,
an adjustment will not be made under the terms of the securities for any cash dividend paid by an underlying unless the amount of the
dividend per share, together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent
quarter by an amount equal to at least 10% of the closing value of that underlying on the date of declaration of the dividend. Any dividend
will reduce the closing value of an underlying by the amount of the dividend per share. If an underlying pays any dividend for which an
adjustment is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description
of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and
Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
In The Case Of An Underlying
That Is An Underlying ETF, The Securities Will Not Be Adjusted For All Events That May Have A Dilutive Effect On Or Otherwise Adversely
Affect The Closing Value Of An Underlying.
For example,
we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above, partial
tender offers or additional underlying share issuances. Moreover, the adjustments we do make may not fully offset the dilutive or adverse
effect of the particular event. Investors in the securities may be adversely affected by such an event in a circumstance in which a direct
holder of the underlying shares of an underlying would not.
In The Case Of An Underlying
That Is An Underlying ETF, The Securities May Become Linked To An Underlying Other Than An Original Underlying Upon The Occurrence Of
A Reorganization Event Or Upon The Delisting Of The Underlying Shares Of That Original Underlying.
For example,
if an underlying enters into a merger agreement that provides for holders of its underlying shares to receive shares of another entity
and such shares are marketable securities, the closing value of that underlying following consummation of the merger will be based on
the value of such other shares. Additionally, if the underlying shares of an underlying are delisted, the calculation agent may select
a successor underlying. See “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying
Company or an Underlying ETF” in the accompanying product supplement.
In The Case Of An Underlying
That Is An Underlying ETF, The Value And Performance Of The Underlying Shares Of An Underlying May Not Completely Track The Performance
Of The Underlying Index That The Underlying Seeks To Track Or The Net Asset Value Per Share Of The Underlying.
In the case
of an underlying that is an underlying ETF, the underlying does not fully replicate the underlying index that it seeks to track and may
hold securities different from those included in its underlying index. In addition, the performance of an underlying will reflect additional
transaction costs and fees that are not included in the calculation of its underlying index. All of these factors may
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
lead to
a lack of correlation between the performance of an underlying and its underlying index. In addition, corporate actions with respect to
the equity securities held by an underlying (such as mergers and spin-offs) may impact the variance between the performance of an underlying
and its underlying index. Finally, because the underlying shares are traded on an exchange and are subject to market supply and investor
demand, the closing value of an underlying may differ from the net asset value per share of an underlying.
During periods
of market volatility, securities included in an underlying’s underlying index may be unavailable in the secondary market, market
participants may be unable to calculate accurately the net asset value per share of an underlying and the liquidity of an underlying may
be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares
of an underlying. Further, market volatility may adversely affect, sometimes materially, the price at which market participants are willing
to buy and sell the underlying shares. As a result, under these circumstances, the closing value of an underlying may vary substantially
from the net asset value per share of an underlying. For all of the foregoing reasons, the performance of an underlying may not correlate
with the performance of its underlying index and/or its net asset value per share, which could materially and adversely affect the value
of the securities and/or reduce your return on the securities.
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.
A Contingent Coupon Payment Date And The Stated
Maturity Date May Be Postponed If A Valuation Date is Postponed.
A valuation date (including the final valuation
date) with respect to an underlying will be postponed if the applicable originally scheduled valuation date is not a trading day with
respect to either underlying or if the calculation agent determines that a market disruption event has occurred or is continuing with
respect to that underlying on that valuation date. If such a postponement occurs with respect to a valuation date other than
the final valuation date, then the related contingent coupon payment date will be postponed. If such a postponement occurs
with respect to the final valuation date, the stated maturity date will be the later of (i) the initial stated maturity date and
(ii) three business days after the last final valuation date as postponed.
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.
Non-U.S. investors should note that persons having
withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally at a
rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
If the securities are automatically redeemed:
If the securities are automatically redeemed prior
to maturity, you will receive the stated principal amount of your securities plus the related contingent coupon payment on the
immediately following contingent coupon payment date. In the event the securities are automatically redeemed, your total return on the
securities will equal any contingent coupon payments received prior to such contingent coupon payment date and the contingent coupon payment
received on such contingent coupon payment date.
If the securities are not automatically redeemed:
If the securities
are not automatically redeemed prior to maturity, the following table illustrates, for a range of hypothetical underlying performance
factors of the worst performing underlying on the final valuation date, the hypothetical payment at maturity payable at maturity per security
(excluding the final contingent coupon payment, if any). The underlying performance factor of the worst performing underlying
on the final valuation date is its closing value on the final valuation date divided by its initial underlying value.
Hypothetical underlying performance factor of worst performing underlying on final valuation date |
Hypothetical payment at maturity per security |
175.00% |
$1,000.00 |
160.00% |
$1,000.00 |
150.00% |
$1,000.00 |
140.00% |
$1,000.00 |
130.00% |
$1,000.00 |
120.00% |
$1,000.00 |
110.00% |
$1,000.00 |
100.00% |
$1,000.00 |
90.00% |
$1,000.00 |
80.00% |
$1,000.00 |
70.00% |
$1,000.00 |
69.99% |
$699.90 |
60.00% |
$600.00 |
50.00% |
$500.00 |
40.00% |
$400.00 |
25.00% |
$250.00 |
The above figures do not take into account contingent
coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive return based
on the payment at maturity; any positive return will be based solely on the contingent coupon payments, if any, received during the term
of the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If the securities are not automatically redeemed prior to maturity, the actual amount
you will receive at maturity will depend on the actual closing value of the worst performing underlying on the final valuation date. The
performance of the better performing underlying is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
The examples in the first section below illustrate
how to determine whether a contingent coupon will be paid and whether the securities will be automatically redeemed following a valuation
date that is also a potential autocall date. The examples in the second section below illustrate how to determine the payment
at maturity on the securities if the securities are not automatically redeemed prior to maturity. The examples are solely for
illustrative purposes, do not show all possible outcomes and are not a prediction of any payment that may be made on the securities.
The examples below are based on the following
hypothetical values and do not reflect the actual initial underlying values, coupon barrier values or final barrier values of the underlyings. For
the actual initial underlying value, coupon barrier value and final barrier value of each underlying, see “Terms of the Securities”
above. 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, coupon barrier value and final barrier value of each underlying, and not the hypothetical values
indicated below.
Underlying |
Hypothetical
initial underlying value |
Hypothetical
coupon barrier value |
Hypothetical
final barrier value |
SPDR®
S&P® Regional Banking ETF |
$100.00 |
$70.00
(70% of its hypothetical initial underlying value) |
$70.00
(70% of its hypothetical initial underlying value) |
S&P
500® Index |
100.00 |
70.00
(70% of its hypothetical initial underlying value) |
70.00
(70% of its hypothetical initial underlying value) |
Hypothetical
Contingent Coupon Payments and any Payment upon Automatic Early Redemption Following a Valuation Date that is also a Potential Autocall
Date |
The hypothetical examples below
illustrate how to determine whether a contingent coupon will be paid and whether the securities will be automatically redeemed following
a hypothetical valuation date that is also a potential autocall date, assuming that the closing values of the underlyings on the hypothetical
valuation date are as indicated below.
|
Hypothetical
closing value of SPDR® S&P® Regional Banking ETF on hypothetical valuation date |
Hypothetical
closing value of S&P 500® Index on hypothetical valuation date |
Hypothetical
payment per security on related contingent coupon payment date |
Example
1: |
$120.00
(underlying
performance factor =
$120.00 / $100.00 = 1.20)
|
85.00
(underlying
performance factor =
85.00 / 100.00 = 0.85)
|
$27.25
(contingent coupon is paid; securities not redeemed) |
Example
2: |
$110.00
(underlying
performance factor =
$110.00 / $100.00 = 1.10)
|
45.00
(underlying
performance factor =
45.00 / 100.00 = 0.45)
|
$0.00
(no contingent coupon; securities not redeemed) |
Example
3: |
$105.00
(underlying
performance factor =
$105.00 / $100.00 = 1.05)
|
110.00
(underlying
performance factor =
110.00 / 100.00 = 1.10)
|
$1,027.25
(contingent coupon is paid; securities redeemed) |
Example 1: On the hypothetical
valuation date, the S&P 500® Index has the lowest underlying performance factor and, therefore, is the worst performing
underlying. In this scenario, the closing value of the worst performing underlying on the hypothetical valuation date is greater
than its coupon barrier value but less than its initial underlying value. As a result, investors in the securities would receive
the contingent coupon payment of $27.25 per security on the related contingent coupon payment date and the securities would not be automatically
redeemed.
Example 2: On the hypothetical
valuation date, the S&P 500® Index has the lowest underlying performance factor and, therefore, is the worst performing
underlying. In this scenario, the closing value of the worst performing underlying on the hypothetical valuation date is less
than its coupon barrier value. As a result, investors would not receive any payment on the related contingent coupon payment
date, even though each other underlying has appreciated from its initial underlying value, and the securities would not be automatically
redeemed.
Investors in the securities
will not receive a contingent coupon on the contingent coupon payment date following a valuation date if, on that valuation date, the
closing value of the worst performing underlying is less than its coupon barrier value.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
Whether a contingent coupon
is paid following a valuation date depends solely on the closing value of the worst performing underlying.
Example 3: On the hypothetical
valuation date, the SPDR® S&P® Regional Banking ETF has the lowest underlying performance factor and,
therefore, is the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the
hypothetical valuation date is greater than both its coupon barrier value and its initial underlying value. As a result, the
securities would be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000 plus
the related contingent coupon payment, for a total of $1,027.25 per security.
If the valuation date were not
also a potential autocall date, the securities would not be automatically redeemed on the related contingent coupon payment date.
Hypothetical
Payments at Maturity |
The next hypothetical examples illustrate the
calculation of the payment at maturity on the securities, assuming that the securities have not been earlier automatically redeemed and
that the closing values of the underlyings on the final valuation date are as indicated below.
|
Hypothetical
closing value of SPDR® S&P® Regional Banking ETF on final valuation date |
Hypothetical
closing value of S&P 500® Index on final valuation date |
Hypothetical
payment at maturity per security |
Example
4 |
$130.00
(underlying
performance factor =
$130.00 / $100.00 = 1.30)
|
120.00
(underlying
performance factor =
120.00 / 100.00 = 1.20)
|
$1,027.25 |
Example
5 |
$50.00
(underlying
performance factor =
$50.00 / $100.00 = 0.50)
|
80.00
(underlying
performance factor =
80.00 / 100.00 = 0.80)
|
$500.00 |
Example
6 |
$70.00
(underlying
performance factor =
$70.00 / $100.00 = 0.70)
|
20.00
(underlying
performance factor =
20.00 / 100.00 = 0.20)
|
$200.00 |
Example 4: On the final
valuation date, the S&P 500® Index has the lowest underlying performance factor and, therefore, is the worst performing
underlying. In this scenario, the closing value of the worst performing underlying on the final valuation date is greater than
its final barrier value. Accordingly, at maturity, you would receive the stated principal amount of the securities plus
the contingent coupon payment due at maturity, for a total of $1,027.25 per security, but you would not participate in the appreciation
of any of the underlyings.
Example 5: On the final
valuation date, the SPDR® S&P® Regional Banking ETF has the lowest underlying performance factor and,
therefore, is the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the
final valuation date is less than its final barrier value. Accordingly, at maturity, you would receive a payment per security
calculated as follows:
Payment
at maturity = $1,000 × the underlying performance factor of the worst performing underlying on the final valuation date
= $1,000
× 0.50
= $500
In this scenario, you would
receive significantly less than the stated principal amount of your securities at maturity. You would incur a loss based on
the performance of the worst performing underlying. In addition, because the closing value of the worst performing underlying
on the final valuation date is below its coupon barrier value, you would not receive any contingent coupon payment at maturity.
Example 6: On the final
valuation date, the S&P 500® Index has the lowest underlying performance factor and, therefore, is the worst performing
underlying. In this scenario, the closing value of the worst performing underlying on the final valuation date is less than
its final barrier value. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment
at maturity = $1,000 × the underlying performance factor of the worst performing underlying on the final valuation date
= $1,000
× 0.20
= $200
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
In this scenario, because the
closing value of the worst performing underlying on the final valuation date is less than its final barrier value, you would lose a significant
portion of your investment in the securities. In addition, because the closing value of the worst performing underlying is below its coupon
barrier value, you would not receive any contingent coupon payment at maturity.
It is possible that the closing
value of the worst performing underlying will be less than its coupon barrier value on each valuation date and less than its final barrier
value on the final valuation date, such that you will not receive any contingent coupon payments over the term of the securities and will
receive significantly less than the stated principal amount of your securities at maturity.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
Additional Terms of the Securities |
The following provisions supersede the provisions in the product supplement
to the extent that they are inconsistent from those provisions.
Certain Definitions
The “closing value”
of the S&P 500® Index on any day is its closing level on that day, as the term “closing level” is defined
in the accompanying product supplement.
A “trading day” with respect to the
S&P 500® Index means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with
respect to each security underlying such underlying are scheduled to be open for trading for their respective regular trading sessions
and (ii) each related futures or options exchange with respect to such underlying is scheduled to be open for trading for its regular
trading session.
The “relevant stock exchange” for
any security underlying the S&P 500® Index means the primary exchange or quotation system on which such security is
traded, as determined by the calculation agent.
The “related futures or options exchange”
for the S&P 500® Index means an exchange or quotation system where trading has a material effect (as determined by
the calculation agent) on the overall market for futures or options contracts relating to such underlying.
The “closing value” of the SPDR®
S&P® Regional Banking ETF on any date is the closing price of its underlying shares on such date, subject to adjustment
as provided in the accompanying product supplement. The “underlying shares” of such underlying are its shares that are traded
on a U.S. national securities exchange on the pricing date.
“Closing price” means, with respect
to the SPDR® S&P® Regional Banking ETF (or any other securities in the circumstances described under
“Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution
and Reorganization Adjustments” in the accompanying product supplement), on any date of determination, the official closing price
of the underlying shares on the relevant stock exchange or, if such price is not available on the relevant stock exchange, on any other
U.S. national securities exchange on which the underlying shares (or such other securities) are listed or admitted to trading, as determined
by the calculation agent. If no such price is available pursuant to the immediately preceding sentence, the closing price with respect
to the underlying shares (or such other securities) on the applicable date of determination will be the arithmetic mean, as determined
by the calculation agent, of the bid prices of the underlying shares (or such other securities) obtained from as many dealers in the underlying
shares (or such other securities) (which may include CGMI or any of our other affiliates or subsidiaries), but not exceeding three such
dealers, as will make such bid prices available to the calculation agent. If no bid prices are provided from any third party dealers,
the closing price will be determined by the calculation agent in its sole and absolute discretion (acting in good faith) taking into account
any information that it deems relevant. If a market disruption event occurs with respect to the underlying shares (or such other securities)
on the applicable date of determination, the calculation agent may, in its sole discretion, determine the closing price thereof on such
date either (x) pursuant to the two immediately preceding sentences or (y) if available, pursuant to the first sentence of this paragraph.
The “then-current market price” of
the SPDR® S&P® Regional Banking ETF, for the purpose of applying any dilution adjustment set forth in
“Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution
and Reorganization Adjustments” in the accompanying product supplement, means the closing price per such underlying share on the
scheduled trading day immediately preceding the related adjustment date (as defined in such section of the accompanying product supplement).
A “trading
day” with respect to the SPDR® S&P® Regional Banking ETF means
a day, as determined by the calculation agent, on which the relevant stock exchange and each related futures or options exchange with
respect to such underlying or any successor thereto, if applicable, are scheduled to be open for trading for their respective regular
trading sessions.
The “relevant
stock exchange” for the SPDR® S&P® Regional Banking ETF means
the primary exchange or quotation system on which shares (or other applicable securities) of such underlying are traded, as determined
by the calculation agent.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
The “related
futures or options exchange” for the SPDR® S&P® Regional Banking ETF means
each exchange or quotation system where trading has a material effect (as determined by the calculation agent) on the overall market for
futures or options contracts relating to such underlying.
Postponement of a Valuation Date
If any valuation date is not a trading day with
respect to either underlying, such valuation date will be postponed to the next succeeding day that is a trading day with respect to each
underlying. A valuation date for an underlying is also subject to postponement due to the occurrence of a market disruption
event with respect to such underlying on such valuation date. See “—Market Disruption Events.”
Market Disruption Events
A “market disruption event” with respect to the
S&P 500® Index means any of the following events as determined by the calculation agent in its sole discretion:
| (A) | The occurrence or existence of a material suspension of or
limitation imposed on trading by the relevant stock exchanges or otherwise relating to securities which then comprise 20% or more of
the level of such underlying or any successor index at any time during the one-hour period that ends at the close of trading on that
day, whether by reason of movements in price exceeding limits permitted by those relevant stock exchanges or otherwise. |
| (B) | The occurrence or existence of a material suspension of or
limitation imposed on trading by any related futures or options exchange or otherwise in futures or options contracts relating to such
underlying or any successor index on any related futures or options exchange at any time during the one-hour period that ends at the
close of trading on that day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange
or otherwise. |
| (C) | The occurrence or existence of any event, other than an early
closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market
values for, securities that then comprise 20% or more of the level of such underlying or any successor index on their relevant stock
exchanges at any time during the one-hour period that ends at the close of trading on that day. |
| (D) | The occurrence or existence of any event, other than an early
closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market
values for, futures or options contracts relating to such underlying or any successor index on any related futures or options exchange
at any time during the one-hour period that ends at the close of trading on that day. |
| (E) | The closure on any exchange business day of the relevant stock
exchanges on which securities that then comprise 20% or more of the level of such underlying or any successor index are traded or any
related futures or options exchange with respect to such underlying or any successor index prior to its scheduled closing time unless
the earlier closing time is announced by the relevant stock exchange or related futures or options exchange, as applicable, at least
one hour prior to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange or related
futures or options exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange
or related futures or options exchange, as applicable, system for execution at such actual closing time on that day. |
| (F) | The relevant stock exchange for any security underlying such
underlying or successor index or any related futures or options exchange with respect to such underlying or successor index fails to
open for trading during its regular trading session. |
For purposes of determining whether a market disruption
event has occurred with respect to the S&P 500® Index:
| (1) | the relevant percentage contribution of a security to the
level of such underlying or any successor index will be based on a comparison of (x) the portion of the level of such underlying attributable
to that security and (y) the overall level of such underlying or successor index, in each case immediately before the occurrence
of the market disruption event; |
| (2) | the “close of trading” on any trading day for
such underlying or any successor index means the scheduled closing time of the relevant stock exchanges with respect to the securities
underlying such underlying or successor index on such trading day; provided that, if the actual closing time of the regular trading session
of any such relevant stock exchange is earlier |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
than
its scheduled closing time on such trading day, then (x) for purposes of clauses (A) and (C) of the definition of “market disruption
event” above, with respect to any security underlying such underlying or successor index for which such relevant stock exchange
is its relevant stock exchange, the “close of trading” means such actual closing time and (y) for purposes of clauses
(B) and (D) of the definition of “market disruption event” above, with respect to any futures or options contract relating
to such underlying or successor index, the “close of trading” means the latest actual closing time of the regular trading
session of any of the relevant stock exchanges, but in no event later than the scheduled closing time of the relevant stock exchanges;
| (3) | the “scheduled closing time” of any relevant stock
exchange or related futures or options exchange on any trading day for such underlying or any successor index means the scheduled weekday
closing time of such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours
or any other trading outside the regular trading session hours; and |
| (4) | an “exchange business day” means any trading day
for such underlying or any successor index on which each relevant stock exchange for the securities underlying such underlying or any
successor index and each related futures or options exchange with respect to such underlying or any successor index are open for trading
during their respective regular trading sessions, notwithstanding any such relevant stock exchange or related futures or options exchange
closing prior to its scheduled closing time. |
A “market disruption event” with respect to the SPDR®
S&P® Regional Banking ETF means any of the following events as determined by the calculation agent in its sole discretion:
| (A) | The occurrence or existence
of a material suspension of or limitation imposed on trading by the relevant stock exchange or otherwise relating to the shares (or other
applicable securities) of such underlying or any successor underlying on the relevant stock exchange at any time during the one-hour
period that ends at the close of trading on such day, whether by reason of movements in price exceeding limits permitted by such relevant
stock exchange or otherwise. |
| (B) | The occurrence or existence
of a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise in futures or options
contracts relating to the shares (or other applicable securities) of such underlying or any successor underlying on any related futures
or options exchange at any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements
in price exceeding limits permitted by the related futures or options exchange or otherwise. |
| (C) | The occurrence or existence
of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect
transactions in, or obtain market values for, shares (or other applicable securities) of such underlying or any successor underlying
on the relevant stock exchange at any time during the one-hour period that ends at the close of trading on that day. |
| (D) | The occurrence or existence
of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect
transactions in, or obtain market values for, futures or options contracts relating to shares (or other applicable securities) of such
underlying or any successor underlying on any related futures or options exchange at any time during the one-hour period that ends at
the close of trading on that day. |
| (E) | The closure of the relevant
stock exchange or any related futures or options exchange with respect to such underlying or any successor underlying prior to its scheduled
closing time unless the earlier closing time is announced by the relevant stock exchange or related futures or options exchange, as applicable,
at least one hour prior to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange
or related futures or options exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock
exchange or related futures or options exchange, as applicable, system for execution at the close of trading on that day. |
| (F) | The relevant stock exchange
or any related futures or options exchange with respect to such underlying or any successor underlying fails to open for trading during
its regular trading session. |
For purposes of determining whether a market disruption
event has occurred with respect to the SPDR® S&P® Regional Banking ETF:
| (1) | “close of trading”
means the scheduled closing time of the relevant stock exchange with respect to such underlying or any successor underlying; and |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
| (2) | the “scheduled
closing time” of the relevant stock exchange or any related futures or options exchange on any trading day for such underlying
or any successor underlying means the scheduled weekday closing time of such relevant stock exchange or related futures or options exchange
on such trading day, without regard to after hours or any other trading outside the regular trading session hours. |
If a market
disruption event occurs or is continuing with respect to an underlying on any valuation date, then such valuation date for such underlying
will be postponed to the first succeeding trading day for such underlying on which a market disruption event for such underlying has not
occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading day for such underlying
after the originally scheduled valuation date, that eighth trading day shall be deemed to be the valuation date for such underlying. If
a valuation date has been postponed eight trading days for an underlying after the originally scheduled valuation date and a market disruption
event occurs or is continuing with respect to such underlying on such eighth trading day, the calculation agent will determine the closing
value of such underlying on such eighth trading day (i) with respect to the S&P 500® Index, in accordance with the
formula for and method of calculating the closing value of such underlying last in effect prior to commencement of the market disruption
event, using the closing price (or, with respect to any relevant security, if a market disruption event has occurred with respect to such
security, its good faith estimate of the value of such security at the scheduled closing time of the relevant stock exchange for such
security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange or (ii) with respect to
the SPDR® S&P® Regional Banking ETF, based on its good
faith estimate of the value of the underlying shares of such underlying as of the close of trading on such eighth trading day. As used
herein, “closing price” means, with respect to the S&P 500® Index, any security on any date, the relevant
stock exchange traded or quoted price of such security as of the scheduled closing time of the relevant stock exchange for such security
or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange. Notwithstanding the postponement
of a valuation date for an underlying due to a market disruption event with respect to such underlying on such valuation date, the originally
scheduled valuation date will remain the valuation date for either underlying not affected by a market disruption event on such day.
Delisting,
Liquidation or Termination of an Underlying
If the closing
value of an underlying is determined by reference to its underlying index as described in the accompanying product supplement in the section
“Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting,
Liquidation or Termination of an Underlying ETF”, and at any time the publisher of such underlying index (i) announces that it will
make a material change in the formula for or the method of calculating such underlying index or in any other way materially modifies such
underlying index (other than a modification prescribed in that formula or method to maintain such underlying index in the event of changes
in constituent stock and capitalization and other routine events) or (ii) permanently cancels such underlying index and no successor underlying
index is chosen as described in the accompanying product supplement, then the calculation agent will calculate the closing value of the
underlying index of such underlying in accordance with the formula last used to calculate such closing value before such event, but using
only those securities that were held by the underlying index of such underlying immediately prior to such event without any rebalancing
or substitution of such securities following such event. Such value, as calculated by the calculation agent, will be substituted for the
relevant value of an underlying index for all purposes. In such event, the calculation agent will make such adjustments, if any, to any
level of an underlying index that is used for purposes of the securities as it determines are appropriate in the circumstances.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
Information About the SPDR® S&P® Regional Banking ETF |
The SPDR® S&P® Regional Banking ETF
is an exchange-traded fund that seeks to provide investment results that, before fees and expenses, correspond generally to the performance
of the S&P® Regional Banks Select IndustryTM Index. The S&P® Regional Banks Select IndustryTM
Index is a modified equal-weighted index that is designed to measure the performance of the GICS® regional banks sub-industry
of the S&P Total Market Index. The SPDR® S&P® Regional Banking ETF is managed by SSGA Funds Management
Inc. (“SSGA FM”), an investment advisor to the SPDR® S&P® Regional Banking ETF, and the
SPDR® Series Trust, a registered investment company. The SPDR® Trust consists of numerous separate investment
portfolios, including the SPDR® S&P® Regional Banking ETF.
Information provided to or filed with the SEC by the SPDR®
Series Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by
reference to SEC file numbers 333-57793 and 811-08839, respectively, through the SEC’s website at http://www.sec.gov. In addition,
information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. The underlying shares of the SPDR® S&P® Regional Banking ETF trade on the NYSE Arca under
the ticker symbol “KRE.”
Please refer to the section “Fund Descriptions— The SPDR®
S&P® Industry ETFs” in the accompanying underlying supplement for additional information.
We have derived all information regarding the SPDR®
S&P® Regional Banking ETF from publicly available information and have not independently verified any information regarding
the SPDR® S&P® Regional Banking ETF. This pricing supplement relates only to the securities
and not to the SPDR® S&P® Regional Banking ETF. We make no representation as to the performance
of the SPDR® S&P® Regional Banking ETF 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 SPDR® S&P® Regional Banking
ETF 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 SPDR® S&P®
Regional Banking ETF on June 30, 2022 was $58.09.
The graph below shows the closing value of the SPDR®
S&P® Regional Banking ETF for each day such value was available from January 3, 2017 to June 30, 2022. We
obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as an
indication of future performance.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
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 June 30, 2022 was 3,785.38.
The graph
below shows the closing value of the S&P 500® Index for each day such value was available from January 3, 2017 to June
30, 2022. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical
closing values as an indication of future performance.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
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 the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. 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.
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:
| · | Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance with
your regular method of accounting for U.S. federal income tax purposes. |
| · | 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. For this purpose, the amount realized does not include any
coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment. 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.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold
on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a rate of 30%. To the
extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities, we intend to so withhold. In
order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to establish
that you are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should consult
your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any amounts withheld
and the certification requirement described above.
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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
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.
Supplemental Plan of Distribution |
Pursuant to the terms of the Amended and Restated
Global Selling Agency Agreement, dated April 7, 2017, CGMI, acting as principal, will purchase the securities from Citigroup Global Markets
Holdings Inc. CGMI, as the lead agent for the offering, has agreed to sell the securities to Wells Fargo, as agent. Wells Fargo
will receive an underwriting discount and commission of 2.125% ($21.25) for each security it sells. Wells Fargo will pay selected
dealers, which may include WFA, a fixed selling commission of 1.50% ($15.00) for each security they sell. In addition to the
selling commission allowed to WFA, Wells Fargo may pay $0.75 per security of the underwriting discount and commission to WFA as a distribution
expense fee for each security sold by WFA.
In addition, in respect of certain securities
sold in this offering, CGMI may pay a fee of up to $1.00 per security to selected securities dealers in consideration for marketing and
other services in connection with the distribution of the securities to other securities dealers.
For the avoidance of doubt, the fees and selling
concessions described in this pricing supplement will not be rebated if the securities are automatically redeemed prior to maturity.
The public offering price of the securities includes
the underwriting discount and commission described on the cover page of this pricing supplement and the estimated cost of hedging our
obligations under the securities. We expect to hedge our obligations under the securities through affiliated or unaffiliated counterparties,
which may include our affiliates and affiliates of Wells Fargo. Our cost of hedging will include the projected profit that such counterparties,
which may include our affiliates and affiliates of Wells Fargo, expect to realize in consideration for assuming the risks inherent in
hedging our obligations under the securities. Because hedging our obligations entails risks and may be influenced by market forces beyond
the control of any counterparty, which may include our affiliates and affiliates of Wells Fargo, such hedging may result in a profit that
is more or less than expected, or could result in a loss.
This pricing supplement and the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus may be used by Wells Fargo or an affiliate of Wells Fargo in connection
with offers and sales related to market-making or other transactions in the securities. Wells Fargo or an affiliate of Wells Fargo may
act as principal or agent in such transactions. Such sales will be made at prices related to prevailing market prices at the time of sale
or otherwise.
No action has been or will be taken by Citigroup
Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them that would permit a public offering of the securities
or possession or distribution of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement
or prospectus in any jurisdiction, other than the United States, where action for that purpose is required. No offers, sales or deliveries
of the securities, or distribution of this pricing supplement, the accompanying product supplement, underlying supplement or prospectus
supplement and prospectus, may be made in or from any jurisdiction except in circumstances that will result in compliance with any applicable
laws and regulations and will not impose any obligations on Citigroup Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates
of any of them.
For the following jurisdictions, please note specifically:
Prohibition of Sales to European Economic Area
Retail Investors
The securities may not be offered, sold or otherwise
made available to any retail investor in the European Economic Area (“EEA”). For the purposes of this provision:
| (a) | the expression “retail investor” means a person who is one (or more) of the following: |
| (i) | a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID
II”); or |
| (ii) | a customer within the meaning of Directive (EU) 2016/97 (the “Insurance Distribution Directive”),
where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or |
| (iii) | not a qualified investor as defined in Regulation (3)(e) (EU) 2017/1129 (as amended, the “Prospectus
Regulation”); and |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
| (b) | the expression an “offer” includes the communication in any form and by any means of sufficient
information on the terms of the offer and the securities to be offered so as to enable an investor to decide to purchase or subscribe
for the securities. |
Consequently no key information document required
by Regulation (EU) No 1286/2014 (the “PRIIPs Regulation”) for offering or selling the securities or otherwise making them
available to retail investors in the EEA has been prepared and therefore offering or selling the securities or otherwise making them available
to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.
Prohibition of Sales to United Kingdom Retail
Investors
The securities may not be offered, sold or otherwise
made available to any retail investor in the United Kingdom. For the purposes of this provision:
| (a) | the expression “retail investor” means a person who is one (or more) of the following: |
| (i) | a retail client, as defined in point (8) of Article 2 of Regulation (EU) No 2017/565 as it forms part
of United Kingdom domestic law by virtue of the European Union (Withdrawal) Act 2018 (the “EUWA”) and the regulations made
under the EUWA; or |
| (ii) | a customer within the meaning of the provisions of the Financial Services and Markets Act 2000 (as amended)
(the “FSMA”) and any rules or regulations made under the FSMA to implement Directive (EU) 2016/97, where that customer would
not qualify as a professional client, as defined in point (8) of Article 2(1) of Regulation (EU) No 600/2014 as it forms part of United
Kingdom domestic law by virtue of the EUWA and the regulations made under the EUWA; or |
| (iii) | not a qualified investor as defined in Regulation (3)(e) of the Prospectus Regulation; and |
| (b) | the expression an “offer” includes the communication in any form and by any means
of sufficient information on the terms of the offer and the securities to be offered so as to enable an investor to decide to purchase
or subscribe for the securities. |
Consequently no key information document required
by Regulation (EU) No 1286/2014 as it forms part of domestic law by virtue of the EUWA (the “UK PRIIPs Regulation”) for offering
or selling any securities or otherwise making them available to retail investors in the United Kingdom has been prepared and therefore
offering or selling any securities or otherwise making them available to any retail investor in the United Kingdom may be unlawful under
the UK PRIIPs Regulation.
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.
We have been advised that, for a period of approximately
three months following issuance of the securities, the price, if any, at which Wells Fargo 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 Wells Fargo or its
affiliates, will reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary
upward adjustment represents a portion of the costs associated with selling, structuring and hedging the securities that are included
in the public offering price 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
However, Wells Fargo 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 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
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P® Regional Banking ETF and the S&P 500® Index due June 27, 2025 | |
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.
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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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