(1) On the date of this pricing supplement, the
estimated value of the securities is $947.30 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 2.175% ($21.75) 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust 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 VanEck® Gold Miners ETF: $27.38,
its closing value on the pricing date.
With respect to the iShares® Silver Trust: $18.64, its closing value on the pricing date.
|
Coupon Barrier
Value:
|
With respect to the VanEck® Gold Miners ETF: $19.166,
which is equal to 70% of its initial underlying value.
With respect to the iShares® Silver Trust: $13.048, which is equal to 70% of its initial underlying value.
|
Final Barrier
Value:
|
With respect to the VanEck® Gold Miners ETF: $19.166,
which is equal to 70% of its initial underlying value.
With respect to the iShares® Silver Trust: $13.048, which is equal to 70% of its initial underlying value.
|
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: |
17330P6Y0 / US17330P6Y05 |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust 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, 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. It is important that you read the accompanying product 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 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):
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust 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 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 companies involved
in the mining of gold and silver in both the United States and foreign equity markets; |
| · | 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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.
Fluctuations
In Exchange Rates Will Affect The Closing Value Of The VanEck® Gold Miners ETF.
Because
the VanEck® Gold Miners ETF includes securities that trade outside the United States and the closing value of the VanEck®
Gold Miners ETF is based on the U.S. dollar value of those securities, holders of the securities will be exposed to currency exchange
rate risk with respect to each of the currencies in which such securities trade. Exchange rate movements for a particular currency are
volatile and are the result of numerous factors specific to the relevant country, including the supply of, and the demand for, those currencies,
as well as government policy, intervention or actions, but are also influenced significantly from time to time by political or economic
developments, and by macroeconomic factors and speculative actions related to each applicable region. An investor’s net exposure
will depend on the extent to which the currencies of the applicable countries strengthen or weaken against the U.S. dollar and the relative
weight of each currency. If, taking into account such weighting, the dollar strengthens against the currencies of the securities held
by the VanEck® Gold Miners ETF, the price of the underlying shares of the VanEck® Gold Miners ETF will be
adversely affected for that reason alone and your return on the securities may be reduced. Of particular importance to potential currency
exchange risk are: existing and expected rates of inflation; existing and expected interest rate levels; the balance of payments; and
the extent of governmental surpluses or deficits in the applicable countries and the United States. All of these factors are in turn sensitive
to the monetary, fiscal and trade policies pursued by the governments of the applicable countries and the United States. and other countries
important to international trade and finance.
The VanEck®
Gold Miners ETF Is Subject To Risks Associated With The Gold And Silver Mining Industries.
The equity
securities included in the NYSE Arca Gold Miners Index and that are generally tracked by the VanEck® Gold Miners ETF are
common stocks and American depositary receipts (“ADRs”) of companies primarily engaged in mining for gold and silver. The
shares of the VanEck® Gold Miners ETF may be subject to increased price volatility as they are linked to a single industry,
market or sector and may be more susceptible to adverse economic, market, political or regulatory occurrences affecting that industry,
market or sector.
Because
the VanEck® Gold Miners ETF invests primarily in common stocks and ADRs of companies that are involved in the gold mining
industries, the underlying shares of the VanEck® Gold Miners ETF are subject to certain risks associated with such companies.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
Competitive
pressures may have a significant effect on the financial condition of such companies in the gold mining industry. Also, gold mining companies
are highly dependent on the price of gold. The price of gold is primarily affected by the global demand for and supply of gold. The market
for gold bullion is global, and gold prices are subject to volatile price movements over short periods of time and are affected by numerous
factors, including macroeconomic factors, such as the structure of and confidence in the global monetary system, expectations regarding
the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is
usually quoted), interest rates, gold borrowing and lending rates and global or regional economic, financial, political, regulatory, judicial
or other events. Gold prices may be affected by industry factors, such as industrial and jewelry demand as well as lending, sales and
purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions that hold
gold. Additionally, gold prices may be affected by levels of gold production, production costs and short-term changes in supply and demand
due to trading activities in the gold market. From time to time, above-ground inventories of gold may also influence the market. It is
not possible to predict the aggregate effect of all or any combination of these factors. The price of gold has recently been, and may
continue to be, extremely volatile.
The VanEck®
Gold Miners ETF invests to a lesser extent in common stocks and ADRs of companies involved in the silver mining industry. Silver mining
companies are highly dependent on the price of silver. The price of silver is primarily affected by global demand for and supply of silver.
Silver prices can fluctuate widely and may be affected by numerous factors. These include general economic trends, technical developments,
substitution issues and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to
the rate of inflation, the relative strength of the U.S. dollar (the currency in which the price of silver is generally quoted) and other
currencies, interest rates, central bank sales, forward sales by producers, global or regional political or economic events and production
costs and disruptions in major silver-producing countries, such as Mexico, China and Peru. The demand for and supply of silver affect
silver prices, but not necessarily in the same manner as supply and demand affect the prices of other commodities. The supply of silver
consists of a combination of new mine production and existing stocks of bullion and fabricated silver held by governments, public and
private financial institutions, industrial organizations and private individuals. In addition, the price of silver has on occasion been
subject to very rapid short-term changes due to speculative activities. From time to time, above-ground inventories of silver may also
influence the market. The major end uses for silver include industrial applications, jewelry and silverware.
In addition,
the VanEck® Gold Miners ETF is classified as “non-diversified.” A non-diversified fund generally may invest
a larger percentage of its assets in the securities of a smaller number of issuers. As a result, the VanEck® Gold Miners
ETF may be more susceptible to the risks associated with these particular companies, or to a single economic, political or regulatory
occurrence affecting these companies.
An Investment
In The Securities Is Subject To Risks Associated With Foreign Securities Markets.
Some of
the securities held by the VanEck® Gold Miners ETF are issued by foreign companies and you should be aware that investments
in securities linked to the value of foreign equity securities involve particular risks. Foreign securities markets may have less liquidity
and may be more volatile than the U.S. securities markets, and market developments may affect foreign markets differently than U.S. securities
markets. Direct or indirect government intervention to stabilize a foreign securities market, as well as cross-shareholdings in foreign
companies, may affect trading prices and volumes in those markets. Also, there is generally less publicly available information about
non-U.S. companies that are not subject to the reporting requirements of the Securities and Exchange Commission, and non-U.S. companies
are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting
companies.
The prices
and performance of securities of non-U.S. companies are subject to political, economic, financial, military and social factors which could
negatively affect foreign securities markets, including the possibility of recent or future changes in a foreign government’s economic,
monetary and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable
to foreign companies or investments in foreign equity securities, the possibility of imposition of withholding taxes on dividend income,
the possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks of hostility or political instability
and the possibility of natural disaster or adverse public health developments. Moreover, the relevant non-U.S. economies may differ favorably
or unfavorably from the U.S. economy in important respects, such as growth of gross national product, rate of inflation, trade surpluses
or deficits, capital reinvestment, resources and self-sufficiency.
In addition,
the VanEck® Gold Miners ETF may include companies in countries with emerging markets. Countries with emerging markets may
have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions
on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries
with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions (due
to economic dependence upon commodity prices and international trade), and may suffer from extreme and volatile debt burdens, currency
devaluations or inflation rates. Local securities markets may trade a small
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
number of
securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings
difficult or impossible at times.
The securities
included in the VanEck® Gold Miners ETF may be listed on a foreign stock exchange. A foreign stock exchange may impose
trading limitations intended to prevent extreme fluctuations in individual security prices and may suspend trading in certain circumstances.
These actions could limit variations in the closing value of the VanEck® Gold Miners ETF which could, in turn, adversely
affect the value of the securities.
The Securities
Are Subject To Risks Associated With Silver.
The iShares®
Silver Trust seeks to reflect generally the performance of the price of silver, less the iShares® Silver Trust’s
expenses and liabilities. The price of silver is primarily affected by global demand for and supply of silver. Silver prices can fluctuate
widely and may be affected by numerous factors. These include general economic trends, technical developments, substitution issues and
regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation, the
relative strength of the U.S. dollar (the currency in which the price of silver is generally quoted) and other currencies, interest rates,
central bank sales, forward sales by producers, global or regional political or economic events and production costs and disruptions in
major silver-producing countries, such as Mexico, China and Peru. The demand for and supply of silver affect silver prices, but not necessarily
in the same manner as supply and demand affect the prices of other commodities. The supply of silver consists of a combination of new
mine production and existing stocks of bullion and fabricated silver held by governments, public and private financial institutions, industrial
organizations and private individuals. In addition, the price of silver has on occasion been subject to very rapid short-term changes
due to speculative activities. From time to time, above-ground inventories of silver may also influence the market. The major end uses
for silver include industrial applications, jewelry and silverware. It is not possible to predict the aggregate effect of all or any combination
of these factors.
You Will
Not Have Any Rights With Respect To The Commodities Held By The iShares® Silver Trust.
The iShares®
Silver Trust Is Not An Investment Company Or Commodity Pool And Will Not Be Subject To Regulation Under The Investment Company Act Of
1940, As Amended, Or The Commodity Exchange Act.
Accordingly,
you will not benefit from any regulatory protections afforded to persons who invest in regulated investment companies or commodity pools.
The Performance
And Market Value Of The iShares® Silver Trust, Particularly During Periods Of Market Volatility, May Not Correlate With
The Performance Of Its Underlying Commodity As Well As The Net Asset Value Per Share.
The iShares®
Silver Trust does not fully replicate the performance of its underlying commodity, which is silver, due to the fees and expenses charged
by the iShares® Silver Trust or by restrictions on access to its underlying commodity due to other circumstances. The iShares®
Silver Trust does not generate any income, and as the iShares® Silver Trust regularly sells its underlying commodity to
pay for ongoing expenses, the amount of its underlying commodity represented by each share gradually declines over time. The iShares®
Silver Trust sells its underlying commodity to pay expenses on an ongoing basis irrespective of whether the trading price of the shares
rises or falls in response to changes in the price of its underlying commodity. The sale by the iShares® Silver Trust of
its underlying commodity to pay expenses at a time of low prices for its underlying commodity could adversely affect the value of the
securities. Additionally, there is a risk that some or all of the iShares® Silver Trust’s holdings in its underlying
commodity could be lost, damaged or stolen. Access to the iShares® Silver Trust’s underlying commodity could
also be restricted by natural events (such as an earthquake) or human actions (such as a terrorist attack). All of these factors
may lead to a lack of correlation between the performance of the iShares® Silver Trust and its underlying commodity.
In addition, because the underlying shares of the iShares® Silver Trust are traded on a securities exchange and are subject
to market supply and investor demand, the market value of one share of the iShares® Silver Trust may differ from the net
asset value per share of the iShares® Silver Trust.
During periods
of market volatility, the iShares® Silver Trust’s underlying commodity may be unavailable in the secondary market,
market participants may be unable to calculate accurately the net asset value per share of the shares of the iShares® Silver
Trust and the liquidity of the shares of the iShares® Silver Trust may be adversely affected. This kind of market
volatility may also disrupt the ability of market participants to create and redeem shares of the shares of the iShares®
Silver Trust. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are
willing to buy and sell shares of the iShares® Silver Trust. As a result, under these circumstances, the market value
of the shares of the iShares® Silver Trust may vary substantially from the net asset value per share of the shares of the
iShares® Silver Trust. For all of the foregoing reasons, the performance of the iShares® Silver Trust
may not correlate with the performance of its underlying commodity as well as the net asset value per share of the iShares®
Silver Trust, which could materially and adversely affect the value of the securities in the secondary market and/or reduce any payment
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 VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
There
Are Risks Relating To Commodities Trading On The London Bullion Market Association.
The iShares®
Silver Trust seeks to reflect generally the performance of the price of silver, less the iShares® Silver Trust’s
expenses and liabilities. The price of silver is determined by the London Bullion Market Association (“LBMA”) or an independent
service provider appointed by the LBMA. The LBMA is a self-regulatory association of bullion market participants. Although
all market-making members of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy test, the LBMA
itself is not a regulated entity. If the LBMA should cease operations, or if bullion trading should become subject to a value added
tax or other tax or any other form of regulation currently not in place, the role of the LBMA silver price as a global benchmark for the
value of silver may be adversely affected. The LBMA is a principals’ market, which operates in a manner more closely analogous
to an over-the-counter physical commodity market than regulated futures markets, and certain features of U.S. futures contracts are not
present in the context of LBMA trading. For example, there are no daily price limits on the LBMA which would otherwise restrict
fluctuations in the prices of LBMA contracts. In a declining market, it is possible that prices would continue to decline without
limitation within a trading day or over a period of trading days. The LBMA may alter, discontinue or suspend calculation or dissemination
of the LBMA silver price, which could adversely affect the value of the securities. The LBMA, or an independent service provider
appointed by the LBMA, will have no obligation to consider your interests in calculating or revising the LBMA silver price.
Single Commodity Prices Tend
To Be More Volatile Than, And May Not Correlate With, The Prices Of Commodities Generally.
The iShares®
Silver Trust is linked to a single commodity and not to a diverse basket of commodities or a broad-based commodity index. The iShares®
Silver Trust’s underlying commodity may not correlate to the price of commodities generally and may diverge significantly from the
prices of commodities generally. As a result, the securities carry greater risk and may be more volatile than securities linked
to the prices of more commodities or a broad-based commodity index.
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 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
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
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.
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 the 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.
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.
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 An Underlying.
For example,
if an underlying enters into a merger agreement that provides for holders of the shares of such underlying to receive shares of another
entity and such shares are marketable securities, the closing value of the 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.
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.
An 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 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 the underlying and its underlying index. Finally, because the underlying shares of an underlying
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 the 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 the underlying and the liquidity of the underlying
may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem underlying
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 of an underlying. As a result, under these circumstances, the closing value of an underlying
may vary substantially from the net asset value per share of the 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 |
VanEck® Gold Miners ETF |
$100.00 |
$70.00 (70% of its hypothetical initial underlying value) |
$70.00 (70% of its hypothetical initial underlying value) |
iShares® Silver Trust |
$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 VanEck® Gold Miners ETF on hypothetical valuation date |
Hypothetical closing value of iShares® Silver Trust 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) |
$32.50
(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) |
$1,032.50
(contingent coupon is paid; securities redeemed) |
Example 1: On the hypothetical
valuation date, the iShares® Silver Trust 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 $32.50 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 iShares® Silver Trust 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
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. 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 VanEck® Gold Miners 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
$1,032.50 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 VanEck® Gold Miners ETF on final valuation date |
Hypothetical closing value of iShares® Silver Trust 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) |
$1,032.50 |
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 iShares® Silver Trust 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 $1,032.50 per security, but you would not participate in the appreciation of any of the underlyings.
Example 5: On the final
valuation date, the VanEck® Gold Miners 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 iShares® Silver Trust 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
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
= $200
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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 each underlying
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 each underlying are its shares that are traded on a U.S. national securities exchange
on the pricing date.
“Closing price” means, with respect
to any underlying shares (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 such 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
such 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 such 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 such underlying shares (or such other securities) obtained from as many dealers in such 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 such 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
any underlying shares, 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 an
underlying 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
an underlying 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.
The “related futures or options exchange”
for an underlying 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 Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
Market Disruption Events
A “market disruption event” with respect to each underlying
means any of the following events as determined by the calculation agent in its sole discretion:
| (A) | The occurrence or existence of a material suspension of or limitation
imposed on trading by the relevant stock 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 an underlying:
| (1) | “close of trading” means the scheduled closing
time of the relevant stock exchange with respect to such underlying or any successor underlying; and |
| (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 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. 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
Delisting,
Liquidation or Termination of an Underlying
If a termination event occurs with respect to
the iShares® Silver Trust 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 if as of any date of determination the calculation agent has not selected any successor
ETF that is available on such date of determination, the closing value with respect to the iShares® Silver Trust on such
date of determination will be determined by the calculation agent in good faith and in a commercially reasonable manner.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
Information About the VanEck® Gold Miners ETF |
The VanEck®
Gold Miners ETF is an exchange-traded fund that seeks to provide investment results that correspond generally to the performance, before
fees and expenses, of publicly traded securities involved primarily in the mining of gold or silver, as measured by the NYSE Arca Gold
Miners Index. The NYSE Arca Gold Miners Index is a modified market capitalization weighted index composed of publicly traded companies
involved primarily in the mining of gold or silver.
The VanEck®
Gold Miners ETF is an investment portfolio of VanEck® ETF Trust. Information provided to or filed with the SEC by VanEck®
ETF 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 333-123257 and 811-10325, 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 VanEck® Gold Miners ETF trade on the NYSE Arca under the ticker symbol “GDX.”
We have
derived all information regarding the VanEck® Gold Miners ETF from publicly available information and have not independently
verified any information regarding the VanEck® Gold Miners ETF. This pricing supplement relates only to the securities
and not to the VanEck® Gold Miners ETF. We make no representation as to the performance of the VanEck® Gold
Miners 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 VanEck®
Gold Miners 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 VanEck® Gold Miners ETF on
June 30, 2022 was $27.38.
The graph below shows the closing value of the
VanEck® Gold Miners 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 VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
Information About the iShares® Silver Trust |
The iShares®
Silver Trust is an exchange-traded fund that seeks to provide investment results that correspond generally to the performance of the price
of silver (an “underlying commodity”), less the iShares® Silver Trust’s expenses. The assets of the iShares®
Silver Trust consist primarily of silver held by a custodian on behalf of the iShares® Silver Trust. The iShares®
Silver Trust issues shares in exchange for deposits of silver and distributes silver in connection with the redemption of shares. The
shares of the iShares® Silver Trust are designed for investors who want a cost-effective and convenient way to invest in
silver.
The shares
of the iShares® Silver Trust represent units of fractional undivided beneficial interest in and ownership of the iShares®
Silver Trust. The iShares® Silver Trust is a passive investment vehicle and the trustee of the iShares®
Silver Trust does not actively manage the silver held by the iShares® Silver Trust. The trustee of the iShares®
Silver Trust sells silver held by the iShares® Silver Trust to pay the iShares® Silver Trust’s expenses
on an as-needed basis irrespective of then-current silver prices. Currently, the iShares® Silver Trust’s only recurring
fixed expense is iShares Delaware Trust Sponsor LLC’s fee which accrues daily at an annual rate equal to 0.50% of the daily net
asset value of the iShares® Silver Trust, in exchange for iShares Delaware Trust Sponsor LLC assuming the responsibility
to pay all ordinary fees and expenses of the iShares® Silver Trust.
Information
provided to or filed with the SEC by the iShares® Silver 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 333-237679 and 001-32863, respectively,
through the SEC’s website at http://www.sec.gov. The underlying shares of the iShares® Silver Trust trade on the
NYSE Arca under the ticker symbol “SLV.”
We have
derived all information regarding the iShares® Silver Trust from publicly available information and have not independently
verified any information regarding the iShares® Silver Trust. This pricing supplement relates only to the securities and
not to the iShares® Silver Trust. We make no representation as to the performance of the iShares® Silver
Trust 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 iShares®
Silver Trust 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 iShares® Silver Trust on June
30, 2022 was $18.64.
The graph below shows the closing value of the
iShares® Silver Trust 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 2.175% ($21.75) 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, 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, 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 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 |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck® Gold Miners ETF and the iShares® Silver Trust due June 27, 2025 | |
| (iii) | not a qualified investor as defined in Regulation (3)(e) (EU) 2017/1129 (as amended, the “Prospectus
Regulation”); and |
| (b) | the expression an “offer” includes the communication in any form and by any means of sufficient
information on the terms of the offer and the 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 VanEck® Gold Miners ETF and the iShares® Silver Trust 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 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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