446,147 Jump Securities with Auto-Callable Feature Based
Upon the Worst Performing of the S&P 500® Index and the Russell 2000® Index Due July 6, 2028
| KEY TERMS |
| Issuer: |
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. |
| Guarantee: |
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc. |
| Underlying indices: |
Underlying indices |
Initial index level* |
Trigger level** |
| |
S&P 500® Index |
3,785.38 |
3,028.304 |
| |
Russell 2000® Index |
1,707.990 |
1,366.392 |
| |
* For each underlying index, its closing level on the pricing date
** For each underlying index, 80% of its initial index level |
| Aggregate stated principal amount: |
$4,461,470 |
| Stated principal amount: |
$10 per security |
| Pricing date: |
June 30, 2022 |
| Issue date: |
July 6, 2022 |
| Maturity date: |
July 6, 2028 |
| Automatic early redemption: |
If, on any valuation date prior to the final valuation date, the closing level of the worst performing underlying index is greater than or equal to its initial index level, the securities will be automatically redeemed on the third business day following that valuation date for an amount in cash per security equal to $10 plus the premium applicable to that valuation date. If the securities are automatically redeemed following any valuation date prior to the final valuation date, they will cease to be outstanding and you will not be entitled to receive the premium applicable to any later valuation date. |
| Payment at maturity: |
If the securities have not previously been redeemed, you will receive
at maturity, for each $10 stated principal amount security you then hold, an amount in cash equal to:
§
If the final index level of the worst performing underlying index on the final valuation date is greater than or equal to
its initial index level: $10 + the premium applicable to the final valuation date
§
If the final index level of the worst performing underlying index on the final valuation date is less than its initial index
level but greater than or equal to its trigger level: $10
§
If the final index level of the worst performing underlying index on the final valuation date is less than its trigger level:
§
$10 + ($10 × the index return of the worst performing underlying index on the final valuation date)
If the securities are not automatically redeemed prior to maturity
and the final index level of the worst performing underlying index on the final valuation date is less than its trigger level, your payment
at maturity will be less, and possibly significantly less, than $8.00 per security. You should not invest in the securities unless you
are willing and able to bear the risk of losing a significant portion or all of your investment. |
| Listing: |
The securities will not be listed on any securities exchange, may have limited or no liquidity and are designed to be held to maturity |
| Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
| Underwriting fee and issue price: |
Issue price(1)(2) |
Underwriting fee |
Proceeds to issuer |
| Per security: |
$10.00 |
$0.30(2) |
$9.65 |
| |
|
$0.05(3) |
|
| Total: |
$4,461,470.00 |
$156,151.45 |
$4,305,318.55 |
(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the securities
is $9.153 per security, which is less than the issue price. The estimated value of the securities is based on CGMI’s proprietary
pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an
indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance.
See “Valuation of the Securities” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.35 for each $10.00 security
sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management, and their financial advisors will collectively
receive from CGMI a fixed selling concession of $0.30 for each $10.00 security they sell. Additionally, it is possible that CGMI and its
affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. See “Use of
Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management
by CGMI of $0.05 for each security.
Investing in the securities involves risks not associated with an investment
in conventional debt securities. See “Summary Risk Factors” beginning on page PS-9.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary
is a criminal offense. You should read this pricing supplement
together with the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below.
Product
Supplement No. EA-02-09 dated May 11, 2021 Underlying
Supplement No. 10 dated May 11, 2021
Prospectus
Supplement and Prospectus each dated May 11, 2021
The securities are not bank deposits and are not
insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed
by, a bank.
| Citigroup Global Markets Holdings Inc. |
| 446,147 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index and the Russell 2000® Index Due July 6, 2028 Principal at Risk Securities |
| |
| KEY TERMS (continued) |
| Valuation dates and premiums: |
The premium applicable to each valuation date is the amount indicated
below. The premium may represent a return that is significantly less than the appreciation of any underlying index from the pricing
date to the applicable valuation date. |
| |
|
| |
Valuation Date* |
|
Premium |
| |
· |
July 7, 2023: |
|
10.00% of the stated principal amount |
| |
· |
October 2, 2023: |
|
12.50% of the stated principal amount |
| |
· |
January 2, 2024: |
|
15.00% of the stated principal amount |
| |
· |
April 1, 2024: |
|
17.50% of the stated principal amount |
| |
· |
July 1, 2024: |
|
20.00% of the stated principal amount |
| |
· |
September 30, 2024: |
|
22.50% of the stated principal amount |
| |
· |
December 30, 2024: |
|
25.00% of the stated principal amount |
| |
· |
March 31, 2025: |
|
27.50% of the stated principal amount |
| |
· |
June 30, 2025: |
|
30.00% of the stated principal amount |
| |
· |
September 30, 2025: |
|
32.50% of the stated principal amount |
| |
· |
December 30, 2025: |
|
35.00% of the stated principal amount |
| |
· |
March 30, 2026: |
|
37.50% of the stated principal amount |
| |
· |
June 30, 2026: |
|
40.00% of the stated principal amount |
| |
· |
September 30, 2026: |
|
42.50% of the stated principal amount |
| |
· |
December 30, 2026: |
|
45.00% of the stated principal amount |
| |
· |
March 30, 2027: |
|
47.50% of the stated principal amount |
| |
· |
June 30, 2027: |
|
50.00% of the stated principal amount |
| |
· |
September 30, 2027: |
|
52.50% of the stated principal amount |
| |
· |
December 30, 2027: |
|
55.00% of the stated principal amount |
| |
· |
March 30, 2028: |
|
57.50% of the stated principal amount |
| |
· |
June 30, 2028 (the “final valuation date”): |
|
60.00% of the stated principal amount |
| |
*Each valuation date is subject to postponement if such date is not
a scheduled trading day or certain market disruption events occur with respect to any of the underlying indices |
| Final index level: |
For each underlying index, its closing level on the final valuation date |
| Index return: |
For each underlying index on any valuation date, (i) its closing level on such valuation date minus its initial index level, divided by (ii) its initial index level |
| Worst performing underlying index: |
On any valuation date, the underlying index with the lowest index return on such valuation date |
| CUSIP / ISIN: |
17330N179 / US17330N1798 |
Additional Information
The terms of the securities are set forth in the accompanying product
supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus
supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain events
may occur that could affect whether the securities are automatically redeemed or your payment at maturity. These events and their consequences
are described in the accompanying product supplement in the sections “Description of the Securities—Consequences of a Market
Disruption Event; Postponement of a Valuation Date” and “Description of the Securities—Certain Additional Terms for
Securities Linked to an Underlying Index—Discontinuance or Material Modification of an Underlying Index,” and not in this
pricing supplement. The accompanying underlying supplement contains important disclosures regarding each underlying index that are not
repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus together with this pricing supplement in connection with your investment in the securities. Certain terms used
but not defined in this pricing supplement are defined in the accompanying product supplement.
| Citigroup Global Markets Holdings Inc. |
| 446,147 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index and the Russell 2000® Index Due July 6, 2028 Principal at Risk Securities |
| |
Investment Summary
The securities do not provide for the regular payment of interest. Instead,
beginning approximately one year after issuance, the securities will be automatically redeemed if the closing level of the worst performing
underlying index on any valuation date prior to the final valuation date is greater than or equal to its initial index level, for an amount
in cash per security equal to $10 plus a premium that will increase over the term of the securities, as described below. No further
payments will be made on the securities once they have been redeemed. At maturity, if the securities have not previously been redeemed
and the final index level of the worst performing underlying index on the final valuation date is greater than or equal to its
initial index level, investors will receive an amount in cash per security equal to $10 plus the premium applicable to the final valuation
date, as set forth below. If the securities have not previously been redeemed and the final index level of the worst performing underlying
index on the final valuation date is less than its initial index level but greater than or equal to its trigger level, investors
will receive the stated principal amount of $10 per security. However, if the securities are not redeemed prior to maturity and the final
index level of the worst performing underlying index on the final valuation date is less than its trigger level, investors will
be exposed to the depreciation of the worst performing underlying index from its initial index level to its final index level on a 1-to-1
basis, and will receive a payment at maturity that is less than 80% of the stated principal amount of the securities and could be zero.
Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial investment. Investors
will not participate in any appreciation of any underlying index.
| Maturity: |
Approximately 6 years |
| Automatic early redemption: |
If, on any valuation date prior to the final valuation date, the closing level of the worst performing underlying index is greater than or equal to its initial index level, the securities will be automatically redeemed on the third business day following that valuation date for an amount in cash per security equal to $10 plus the premium applicable to that valuation date. If the securities are automatically redeemed following any valuation date prior to the final valuation date, they will cease to be outstanding and you will not be entitled to receive the premium applicable to any later valuation date. |
| Payment at maturity: |
If the securities have not previously been redeemed, you will receive
at maturity, for each $10 stated principal amount security you then hold, an amount in cash equal to:
§
If the final index level of the worst performing underlying index on the final valuation date is greater than or equal to
its initial index level:
$10 + the premium applicable to the final valuation
date
§
If the final index level of the worst performing underlying index on the final valuation date is less than its initial
index level but greater than or equal to its trigger level:
$10
§
If the final index level of the worst performing underlying index on the final valuation date is less than its trigger
level:
$10 + ($10 × the index return of the worst performing
underlying index on the final valuation date) |
| |
|
| Citigroup Global Markets Holdings Inc. |
| 446,147 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index and the Russell 2000® Index Due July 6, 2028 Principal at Risk Securities |
| |
Key Investment Rationale
The securities do not provide for the regular payment of interest. Instead,
beginning approximately one year after issuance, the securities will be automatically
redeemed if the closing level of the worst performing underlying index on
any valuation date prior to the final valuation date is greater than or equal to its initial index level.
The following scenarios are for illustrative purposes only to demonstrate
how an automatic early redemption payment or the payment at maturity (if the securities have not previously been redeemed) are calculated,
and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be redeemed prior to maturity
and the payment at maturity may be less than 80% of the stated principal amount of the securities and may be zero.
| Scenario 1: The securities are automatically redeemed prior to maturity |
Beginning approximately one year following the issuance of the securities, if the closing level of the worst performing underlying index is greater than or equal to its initial index level on any valuation date prior to the final valuation date, the securities will be automatically redeemed for an amount in cash per security equal to $10 plus the premium applicable to that valuation date. Investors do not participate in any appreciation of either underlying index. |
| Scenario 2: The securities are not automatically redeemed prior to maturity, and investors receive an amount in cash per security equal to $10 plus the premium applicable to the final valuation date at maturity |
This scenario assumes that the closing level of the worst performing underlying index is less than its initial index level on each valuation date prior to the final valuation date (beginning approximately one year after issuance). Consequently, the securities are not redeemed prior to maturity. The final index level of the worst performing underlying index on the final valuation date is greater than or equal to its initial index level. At maturity, investors will receive a cash payment equal to $10 plus the applicable premium per security. Investors do not participate in any appreciation of either underlying index. |
| Scenario 3: The securities are not automatically redeemed prior to maturity, and investors receive the stated principal amount at maturity |
This scenario assumes that the closing level of the worst performing underlying index is less than its initial index level on each valuation date prior to the final valuation date (beginning approximately one year after issuance). Consequently, the securities are not redeemed prior to maturity. The final index level of the worst performing underlying index on the final valuation date is less than its initial index level, but greater than or equal to its trigger level. At maturity, investors will receive a cash payment equal to the $10 stated principal amount per security. |
| Scenario 4: The securities are not automatically redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity |
This scenario assumes that the closing level of the worst performing underlying index is less than its initial index level on each valuation date prior to the final valuation date (beginning approximately one year after issuance). Consequently, the securities are not redeemed prior to maturity. The final index level of the worst performing underlying index on the final valuation date is less than its trigger level. At maturity, investors will lose 1% for every 1% decline in the value of the worst performing underlying index on the final valuation date from its initial index level to its final index level (e.g., a 50% depreciation in the worst performing underlying index as of the final valuation date will result in a payment at maturity of $5 per security). Under these circumstances, the payment at maturity will be significantly less than the stated principal amount and could be zero. |
| Citigroup Global Markets Holdings Inc. |
| 446,147 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index and the Russell 2000® Index Due July 6, 2028 Principal at Risk Securities |
| |
Hypothetical Examples
The following table illustrates how the amount payable per security
will be calculated if the closing level of the worst performing underlying index is greater than or equal to its initial index level on
one of the valuation dates prior to the final valuation date. Figures below have been rounded for ease of analysis.
Investors in the securities will not receive any dividends on the
stocks that constitute the underlying indices. The examples below do not show any effect of lost dividend yield over the term of the securities.
See “Summary Risk Factors—Investing in the securities is not equivalent to investing in the underlying indices or the stocks
that constitute the underlying indices” below.
| If the first valuation date on which the closing level of the worst performing underlying index is greater than or equal to its initial index level is . . . |
. . . then you will receive the following payment per security upon automatic early redemption: |
| 1st valuation date |
$10 + applicable premium = $10 + $1.00 = $11.00 |
| 2nd valuation date |
$10 + applicable premium = $10 + $1.25 = $11.25 |
| 3rd valuation date |
$10 + applicable premium = $10 + $1.50 = $11.50 |
| 4th valuation date |
$10 + applicable premium = $10 + $1.75 = $11.75 |
| 5th valuation date |
$10 + applicable premium = $10 + $2.00 = $12.00 |
| 6th valuation date |
$10 + applicable premium = $10 + $2.25 = $12.25 |
| 7th valuation date |
$10 + applicable premium = $10 + $2.50 = $12.50
|
| 8th valuation date |
$10 + applicable premium = $10 + $2.75 = $12.75 |
| 9th valuation date |
$10 + applicable premium = $10 + $3.00 = $13.00 |
| 10th valuation date |
$10 + applicable premium = $10 + $3.25 = $13.25 |
| 11th valuation date |
$10 + applicable premium = $10 + $3.50 = $13.50 |
| 12th valuation date |
$10 + applicable premium = $10 + $3.75 = $13.75 |
| 13th valuation date |
$10 + applicable premium = $10 + $4.00 = $14.00 |
| 14th valuation date |
$10 + applicable premium = $10 + $4.25 = $14.25 |
| 15th valuation date |
$10 + applicable premium = $10 + $4.50 = $14.50 |
| 16th valuation date |
$10 + applicable premium = $10 + $4.75 = $14.75 |
| 17th valuation date |
$10 + applicable premium = $10 + $5.00 = $15.00 |
| 18th valuation date |
$10 + applicable premium = $10 + $5.25 = $15.25 |
| 19th valuation date |
$10 + applicable premium = $10 + $5.50 = $15.50 |
| 20th valuation date |
$10 + applicable premium = $10 + $5.75 = $15.75 |
Even if, on any valuation date prior to the final valuation date,
the closing level of one underlying index is greater than or equal to its initial index level, if the closing level of the other underlying
index is less than its initial index level, you will not receive the premium indicated above following that valuation date. In order to
receive the premium indicated above, the closing level of each underlying index must be greater than or equal to its initial index
level on the applicable valuation date.
| Citigroup Global Markets Holdings Inc. |
| 446,147 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index and the Russell 2000® Index Due July 6, 2028 Principal at Risk Securities |
| |
The examples below illustrate how the payment at maturity will be calculated
if the securities are not automatically redeemed prior to maturity. The examples are based on the following hypothetical values and do
not reflect the actual initial index levels of any of the underlying indices or their applicable trigger levels. For the actual initial
index and trigger level of each underlying index, see the cover page of this pricing supplement. We have used these hypothetical values,
rather than actual values, to simplify calculations and aid understanding of how the securities work. However, you should understand that
the actual payment at maturity on the securities will be calculated based on the actual initial index level and trigger level of each
underlying index, and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded.
The examples are based on, for each underlying index, a hypothetical
initial index level of 100.00 and a hypothetical trigger level of 80.000 and the hypothetical final index levels indicated below. If the
securities are not automatically redeemed prior to maturity, your actual payment at maturity will depend on the actual final index level
of the worst performing underlying index on the final valuation date.
Example 1—Upside Scenario. The hypothetical final index
level of the S&P 500® Index is 120.00 (a 20% increase from its hypothetical initial index level) and the hypothetical
final index level of the Russell 2000® Index is 110.00 (a 10% increase from its hypothetical initial index level). Because
the index return of the Russell 2000® Index on the final valuation date is lower than the index return of the S&P 500®
Index on the final valuation date in this example, the Russell 2000® Index would be the worst performing underlying index
on the final valuation date.
In this scenario, because the final index level of the worst performing
underlying index on the final valuation date is greater than its initial index level, the
payment at maturity per security would be calculated as follows:
| Payment at maturity per security |
= $10 + the premium applicable to the final valuation date |
| |
= $10 + $6.00 |
| |
= $16.00 |
In this scenario, because the
final index level of the worst performing underlying index on the final valuation date is
greater than its initial index level, you would be repaid the stated principal amount of $10 per security at maturity plus the
premium applicable to the final valuation date.
Example 2—Par Scenario.
The hypothetical final index level of the S&P 500® Index is 93.00 (a 7% decrease from its hypothetical initial
index level) and the hypothetical final index level of the Russell 2000® Index is 95.00 (a 5% decrease from its hypothetical
initial index level). Because the index return of the S&P 500® Index on the final valuation date is lower than the
index return of the Russell 2000® Index on the final valuation date in this example, the S&P 500® Index
would be the worst performing underlying index on the final valuation date.
In this scenario, because the
final index level of the worst performing underlying index is less than its initial index level but greater than its trigger level, you
would be repaid the stated principal amount of $10 per security at maturity but would not receive any premium.
Example 3—Downside Scenario. The hypothetical final index
level of the S&P 500® Index is 105.00 (a 5% increase from its hypothetical initial index level) and the hypothetical
final index level of the Russell 2000® Index is 40.00 (a 60% decrease from its hypothetical initial index level). Because
the index return of the Russell 2000® Index on the final valuation date is lower than the index return of the S&P 500®
Index on the final valuation date in this example, the Russell 2000® Index would be the worst performing underlying index
on the final valuation date.
In this scenario, because the final index level of the worst performing
underlying index on the final valuation date is less than its trigger level, the payment at maturity per security would be calculated
as follows:
| Payment at maturity per security |
= $10 + ($10 × the index return of the worst performing underlying index on the final valuation date) |
| |
= $10 + ($10 × -60%) |
| |
= $10 + -$6 |
| |
= $4 |
In this scenario, the worst performing underlying index on the final
valuation date has depreciated by more than 20% from its initial index level to its final index level, which is less than its trigger
level. Accordingly, your payment at maturity in this scenario would reflect 1-to-1 downside exposure to the depreciation of the worst
performing underlying index from its initial index level to its final index level, and you would incur a significant loss on your investment.
| Citigroup Global Markets Holdings Inc. |
| 446,147 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index and the Russell 2000® Index Due July 6, 2028 Principal at Risk Securities |
| |
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with each of the underlying indices. 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 a significant portion or all of your investment. Unlike conventional debt securities, the securities do not guarantee
repayment of the stated principal amount at maturity. If the securities are not automatically redeemed prior to maturity, your payment
at maturity will depend on the final index level of the worst performing underlying index on the final valuation date. If the final index
level of the worst performing underlying index on the final valuation date is less than its trigger level, you will lose 1% of the stated
principal amount of the securities for every 1% by which the worst performing underlying index has declined from its initial index level,
regardless of the performance of the other underlying index. There is no minimum payment at maturity on the securities, and you may lose
your entire investment in the securities. |
| § | The trigger feature of the securities exposes you to particular risks. If the final index level of the worst performing underlying
index on the final valuation date is less than its trigger level, you will lose 1% of the stated principal amount of the securities for
every 1% by which the worst performing underlying index has declined from its initial index level. Although you will be repaid your stated
principal amount at maturity if the worst performing underlying index on the final valuation date depreciates by 20% or less from its
initial index level, you will have full downside exposure to the worst performing underlying index if it depreciates by more than 20%.
As a result, you may lose your entire investment in the securities. |
| § | The securities do not pay interest. You should not invest in the securities if you seek current income during the term of the
securities. |
| § | Your potential return on the securities is limited. Your potential return on the securities is limited to the applicable premium
payable upon automatic early redemption or at maturity. If the closing level of the worst performing underlying index on any valuation
date prior to the final valuation date is greater than or equal to its initial index level, or if the securities are not automatically
redeemed prior to maturity and the closing level of the worst performing underlying index on the final valuation date is greater than
or equal to its initial index level, you will be repaid the stated principal amount of your securities and will receive the fixed premium
applicable to that valuation date, regardless of how significantly the closing level of the worst performing underlying index on that
valuation date may exceed its initial index level. Accordingly, the premium may result in a return on the securities that is significantly
less than the return you could have achieved on a direct investment in any or all of the underlying indices. |
| § | The securities are subject to the risks of both of the underlying indices and will be negatively affected if either one of the
underlying indices performs poorly, even if the other performs well. You are subject to risks associated with both of the underlying
indices. If either of the underlying indices performs poorly, you will be negatively affected, even if the other underlying index performs
well. The securities are not linked to a basket composed of the underlying indices, where the better performance of one could ameliorate
the poor performance of the other. Instead, you are subject to the full risks of whichever of the underlying indices is the worst performing
underlying index. |
| § | You will not benefit in any way from the performance of the better performing underlying index. The return on the securities
depends solely on the performance of the worst performing underlying index, and you will not benefit in any way from the performance of
the better performing underlying index. The securities may underperform a similar investment in each of the underlying indices or a similar
alternative investment linked to a basket composed of the underlying indices, since in either such case the performance of the better
performing underlying index would be blended with the performance of the worst performing underlying index, resulting in a better return
than the return of the worst performing underlying index. |
| § | The term of the securities may be as short as one year. If the closing level of the worst performing underlying index on any
valuation date prior to the final valuation date, including the valuation date expected to occur approximately one year after the pricing
date, is greater than or equal to its initial index level, the securities will be automatically redeemed. The earlier the automatic redemption,
the lower the premium you will receive. Additionally, if the securities are redeemed prior to maturity, you may not be able to reinvest
at comparable terms or returns. |
| § | You will be subject to risks relating to the relationship between the underlying indices. It is preferable from your perspective
for the underlying indices to be correlated with each other, in the sense that they tend to increase or decrease at similar times and |
| Citigroup Global Markets Holdings Inc. |
| 446,147 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index and the Russell 2000® Index Due July 6, 2028 Principal at Risk Securities |
| |
by similar magnitudes. By investing in
the securities, you assume the risk that the underlying indices will not exhibit this relationship. The less correlated the underlying
indices, the more likely it is that either one of the underlying indices will perform poorly over the term of the securities. All that
is necessary for the securities to perform poorly is for one of the underlying indices to perform poorly; the performance of the underlying
index that is not the worst performing underlying index is not relevant to your return on the securities at maturity or on an earlier
automatic redemption date. It is impossible to predict what the relationship between the underlying indices will be over the term of the
securities. The S&P 500® Index represents large capitalization stocks in the United States and the Russell 2000®
Index represents small capitalization stocks in the United States. Accordingly, the underlying
indices represent markets that differ in significant ways and, therefore, may not be correlated with each other.
| § | Investing in the securities is not equivalent to investing in the underlying indices or the stocks that constitute the underlying
indices. You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect
to any of the stocks that constitute the underlying indices. It is important to understand that, for purposes of measuring the performance
of the underlying indices, the levels used will not reflect the receipt or reinvestment of dividends or distributions on the stocks that
constitute the underlying indices. Dividend or distribution yield on the stocks that constitute the underlying indices would be expected
to represent a significant portion of the overall return on a direct investment in the stocks that constitute the underlying indices,
but will not be reflected in the performance of the underlying indices as measured for purposes of the securities (except to the extent
that dividends and distributions reduce the levels of the underlying indices). Moreover, unlike a direct investment in the underlying
indices, the appreciation potential of the securities is limited, as described above. |
| § | Your return on the securities depends on the closing levels of the underlying indices on a limited number of days. Because
your payment upon automatic early redemption, if applicable, or at maturity depends on the closing levels of the underlying indices solely
on one of the valuation dates, you are subject to the risk that the closing levels of the underlying indices on those days may be lower,
and possibly significantly lower, than on one or more other dates during the term of the securities. If you had invested in another instrument
linked to the underlying indices that you could sell for full value at a time selected by you, or if the return on the securities was
based on an average of closing levels of the underlying indices, you might have achieved better returns. |
§
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive any amounts owed
to you under the securities.
| § | The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity. |
| § | The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the securities that are included in the issue price. These costs include (i) the selling concessions and structuring fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below. |
| § | The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of and correlation between the underlying indices,
dividend yields on the stocks that constitute the underlying indices 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. |
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| § | The estimated value of the securities would be lower if it were calculated based on our secondary market
rate. The estimated value of the securities included in this pricing supplement is calculated based on our internal funding rate,
which is the rate at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally
lower than our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of
any purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate
based on factors such as the costs associated with the securities, which are generally higher than the costs associated with conventional
debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors
in the securities, which do not bear interest. |
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject
to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our
creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted for discretionary
factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
| § | The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price. |
| § | The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the level and volatility of the underlying indices and a number of other factors, including
the price and volatility of the stocks that constitute the underlying indices, the correlation between the underlying indices, dividend
yields on the stocks that constitute the underlying indices, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the levels of the underlying indices may not result
in a comparable change in the value of your securities. You should understand that the value of your securities at any time prior to maturity
may be significantly less than the issue price. |
| § | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement. |
| § | The Russell 2000® Index is subject to risks associated with small capitalization stocks. The stocks that constitute
the Russell 2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller
companies may be more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than
large market capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and
competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks,
and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions. |
| § | Governmental regulatory actions, such as sanctions, could adversely affect your investment in the securities. Governmental
regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise
restrict persons from holding the securities or underlying shares, or engaging in transactions in them, and any such action could adversely
affect the value of underlying shares. These regulatory actions could result in restrictions on the securities and could result
in the loss of a significant portion or all of your initial investment in the securities, including if you are forced to divest the securities
due to the government mandates, especially if such divestment must be made at a time when the value of the securities has declined. |
§
Our offering of the securities does not constitute a recommendation of either underlying index. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying indices is likely to achieve favorable
returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the
stocks that constitute the underlying indices or in instruments related to the underlying indices or the stocks that constitute the underlying
indices, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying
indices. These and other activities of our affiliates may affect the levels of the underlying indices in a way that has a negative impact
on your interests as a holder of the securities.
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| § | The levels of the underlying indices may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions directly in the
stocks that constitute the underlying indices or in instruments related to the underlying indices and may adjust such positions during
the term of the securities. Our affiliates also trade the stocks that constitute the underlying indices and other financial instruments
related to the underlying indices 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 levels of the underlying
indices in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates
while the value of the securities declines. |
| § | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates may currently or from time to time engage in business with the issuers of the stocks that constitute the underlying
indices, including extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this
business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose to you. Moreover, if
any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against such issuer that are available
to them without regard to your interests. |
| § | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur, such as market disruption events or the discontinuance of any of the underlying indices, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your return on the securities. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities. |
| § | Adjustments to the underlying indices may affect the value of your securities. S&P Dow Jones Indices LLC, as publisher
of the S&P 500®, and FTSE Russell, as publisher of the Russell 2000® Index, may add, delete or substitute
the stocks that constitute the underlying indices or make other methodological changes that could affect the levels of the underlying
indices. S&P Dow Jones Indices LLC or FTSE Russell may discontinue or suspend calculation or publication of the underlying indices
at any time without regard to your interests as holders of the securities. |
§
The U.S. federal tax consequences of an investment in the securities
are unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we
do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax
treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid forward
contracts. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and
disposition of the securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance
could adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.
If you are a non-U.S. investor, you should
review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
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Information About the S&P 500® Index
The S&P 500® Index consists of the common stocks
of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index is reported by Bloomberg L.P. under the ticker
symbol “SPX.”
“Standard & Poor’s,” “S&P” and
“S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC and have been licensed
for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The S&P U.S. Indices—License
Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for important disclosures
regarding the S&P 500® Index.
Historical Information
The closing level of the S&P 500® Index on June
30, 2022 was 3,785.38.
The graph below shows the closing levels of the S&P 500®
Index for each day such level was available from January 3, 2012 to June 30, 2022. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical levels of the S&P 500® Index as an indication
of future performance.
|
S&P 500®
Index – Historical Closing Levels
January 3, 2012 to June
30, 2022 |
 |
* The red line indicates the trigger level with respect to the S&P
500® Index of 3,028.304, equal to 80.00% of the closing level of the S&P 500® Index on June 30, 2022.
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Information About the Russell 2000® Index
The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded
on a major U.S. exchange. It is calculated and maintained by FTSE Russell, a subsidiary of the London Stock Exchange Group. The Russell
2000® Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark of FTSE
Russell and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
Russell Indices—Disclaimers” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000® Index.
Historical Information
The closing level of the Russell 2000® Index on June
30, 2022 was 1,707.990.
The graph below shows the closing levels of the Russell 2000®
Index for each day such level was available from January 3, 2012 to June 30, 2022. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical levels of the Russell 2000® Index as an indication
of future performance.
|
Russell 2000®
Index – Historical Closing Levels
January 3, 2012 to June
30, 2022 |
 |
* The red line indicates the trigger level with respect to the Russell
2000® Index of 1,366.392, equal to 80.00% of the closing level of the Russell 2000® Index on June 30, 2022.
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| |
United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, which
is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income tax purposes.
By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment.
There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
| · | You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange. |
| · | Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to the difference
between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain or loss if you held
the security for more than one year. |
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta” of one.
Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities should not
be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying
Equity and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend
on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application
of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be required
to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
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Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.35 for each $10.00 security
sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including Morgan Stanley Wealth
Management, and their financial advisors collectively a fixed selling concession of $0.30 for each $10.00 security they sell. In addition,
Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security they sell. 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.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately four months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the four-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and issued
by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor,
such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings
Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that
such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed the
legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets
Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc. In addition, this opinion is subject
to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021, which has been filed as an exhibit to
a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been duly authorized, executed and delivered
by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the securities nor the issuance and
delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc.
with the terms of the securities and the related guarantee respectively, will result in a violation of any provision of any instrument
or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by
any court or governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has
duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup Global
Markets Holdings Inc. is validly existing and in good
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standing under the laws of the State of New York; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such
indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup
Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation
or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws
of the State of New York.
Alexia Breuvart, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all documents submitted to her or such persons
as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the
guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly
existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered
by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination,
she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers
of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents
of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
© 2022 Citigroup Global Markets, Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
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