Although we expect U.S. monetary policy
to influence the rate of inflation and, accordingly, the level of the CPI, inflation is influenced by a number of unpredictable factors
and there can be no assurance that the Federal Reserve’s policies or actions will be effective. For example, in 2009, despite multiple
measures taken by the Federal Reserve to provide liquidity to the economy, inflation rates remained extremely low. Other factors that
influence interest rates or inflation rates generally may include sentiment regarding underlying strength in the U.S., European and global
economies, expectations regarding the level of price inflation, sentiment regarding credit quality in U.S., European and global credit
markets, supply and demand of various consumer goods, services and energy resources and the performance of capital markets generally.
fluctuate, if you are able to sell your
notes in the secondary market prior to maturity, you may receive less than the stated principal amount.
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
notes, 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 notes prior to maturity.
Citigroup Global Markets Holdings Inc. |
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conduct of a trade or business in the United States,
and (ii) you comply with the applicable certification requirements. See “United States Federal Tax Considerations—Tax Consequences
to Non-U.S. Holders” in the accompanying prospectus supplement for a more detailed discussion of the rules applicable to Non-U.S.
Holders of the notes.
If withholding tax applies to the notes, 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 prospectus 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 notes.
You should also consult your tax adviser regarding
all aspects of the U.S. federal tax consequences of an investment in the notes and any tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
|
Fees and selling concessions: |
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the notes, is acting as principal and will receive an underwriting fee of up to $15 for each note sold in this
offering. The actual underwriting fee will be equal to $15 for each note sold by CGMI directly to the public and will otherwise be equal
to the selling concession provided to selected dealers, as described in this paragraph. From this underwriting fee, CGMI will pay selected
dealers not affiliated with CGMI a variable selling concession of up to $15 for each note 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 notes declines. You should refer to “Risk Factors”
above and the section “Use of Proceeds and Hedging” in the accompanying prospectus. |
Supplemental information regarding plan of distribution; conflicts of interest: |
The terms and conditions set forth in the Amended and Restated Global
Selling Agency Agreement dated April 7, 2017 among Citigroup Global Markets Holdings Inc., Citigroup Inc. and the agents named therein,
including CGMI, govern the sale and purchase of the notes.
The notes will not be listed on any securities exchange.
In order to hedge its obligations under the notes, Citigroup Global
Markets Holdings Inc. has entered into one or more swaps or other derivatives transactions with one or more of its affiliates. You should
refer to the sections “Risk Factors—The estimated value of the notes on the pricing date, based on CGMI’s proprietary
pricing models and our internal funding rate, is less than the issue price,” and the section “Use of Proceeds and Hedging”
in the accompanying prospectus.
CGMI is an affiliate of Citigroup Global Markets Holdings Inc.
Accordingly, the offering of the notes will conform with the requirements addressing conflicts of interest when distributing the securities
of an affiliate set forth in Rule 5121 of the Conduct Rules of the Financial Industry Regulatory Authority, Inc. Client accounts over
which Citigroup Inc., its subsidiaries or affiliates of its subsidiaries have investment discretion are not permitted to purchase the
notes, either directly or indirectly,
without the prior written consent of the client.
See
“Plan of Distribution; Conflicts of Interest” in the accompanying prospectus supplement for more information. |
Calculation agent: |
Citibank, N.A., an affiliate of Citigroup Global Markets Holdings Inc., will serve as calculation agent for the notes. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes and binding on Citigroup Global Markets Holdings Inc., Citigroup Inc. and the holders of the notes. Citibank, N.A. is obligated to carry out its duties and functions as calculation agent in good faith and using its reasonable judgment. |
Citigroup Global Markets Holdings Inc. |
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How Interest Payments on the Notes Work
During the first year of the term of the notes, the notes will bear
interest at a fixed rate. After the first year, the notes will bear interest during each monthly interest period at a per annum rate equal
to the CPI percent change determined on the interest determination date for that interest period, subject to the minimum interest rate
of 2.00% per annum.
The CPI percent change applicable to any monthly interest
period will be the percentage change in the level of the CPI measured over the one-year period ending three months prior to the month
of the interest payment date that begins that interest period. For example, the interest payment that you will receive on August 6, 2023
will depend on the year-over-year percentage change in the level of the CPI from April 2022 to April 2023.
During each interest period, interest payments will be calculated on
the basis of a 360-day year consisting of twelve 30-day months. The amount of each interest payment will equal (i) the stated principal
amount of the notes multiplied by the interest rate in effect during the applicable interest period divided by (ii) 12.
The following table sets forth hypothetical per annum interest rates
based on various levels of the CPI, assuming a hypothetical initial CPI level of 100.00. The hypothetical CPI percent changes and the
hypothetical per annum interest rates have been rounded for ease of analysis.
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Hypothetical
Final CPI Level |
Hypothetical
CPI Percent Change(1) |
Hypothetical
Per Annum Interest Rate(2) |
97.000 |
-3.00% |
2.00% |
98.000 |
-2.00% |
2.00% |
98.500 |
-1.50% |
2.00% |
99.000 |
-1.00% |
2.00% |
100.000 |
0.00% |
2.00% |
101.000 |
1.00% |
2.00% |
102.000 |
2.00% |
2.00% |
103.000 |
3.00% |
3.00% |
104.000 |
4.00% |
4.00% |
105.000 |
5.00% |
5.00% |
106.000 |
6.00% |
6.00% |
107.000 |
7.00% |
7.00% |
108.000 |
8.00% |
8.00% |
_______________________________
(1) Hypothetical CPI percent change = The percentage change in the level
of the CPI measured over the one-year period ending three months prior to the month of the interest payment date that begins that interest
period.
(2) Hypothetical per annum interest rate = the hypothetical CPI percent
change determined on the interest determination date for that interest period, subject to a minimum of 2.00% per annum for any interest
period.
|
Citigroup Global Markets Holdings Inc. |
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Determination of the Level of the Consumer Price Index
The CPI refers to the non-seasonally adjusted U.S. City Average All
Items Consumer Price Index for All Urban Consumers, as published on Bloomberg page “CPURNSA” (or any successor page) or any
successor index as described below. The U.S. Bureau of Labor Statistics (“BLS”), an agency within the United States Department
of Labor, publishes CPI data monthly.
If the CPI for any relevant month is not published on Bloomberg page
“CPURNSA” (or any successor page) by 3:00 p.m. New York City time on the relevant interest determination date, but has otherwise
been reported by the BLS, then the calculation agent will determine the CPI as reported by the BLS for such month using such other source
as on its face, after consultation with Citigroup Global Markets Holdings Inc., appears to accurately set forth the CPI as reported by
the BLS.
To determine each initial CPI level and each final CPI level, the calculation
agent will use the most recently available level of the CPI, determined as described above, on the relevant interest determination date,
even if such level has been adjusted from a previously reported level for the relevant month. However, if an initial CPI level or final
CPI level used by the calculation agent on any interest determination date to determine the applicable interest rate for the related interest
period is subsequently revised by the BLS, the interest rate determined on such interest determination date will not be revised.
If the CPI is rebased to a different year or period and the 1982-1984
CPI is no longer used, the base reference period for the notes will continue to be the 1982-1984 reference period as long as the 1982-1984
CPI continues to be published.
If, while the notes are outstanding, the CPI is discontinued or is substantially
altered, as determined in the sole discretion of the calculation agent, the level of the CPI will be determined by reference to (a) the
substitute index chosen by the Secretary of the Treasury for the United States Department of the Treasury’s Inflation-Protected
Securities, as described in Appendix B, Section I, Paragraph B.4 of Part IV of 69 Federal Register, No. 144 (July 28, 2004), or (b) if
no such index is chosen, the successor index chosen by the calculation agent, in its sole discretion, acting in good faith and using its
reasonable judgment. If the calculation agent determines at that time, in its sole discretion, that there is no appropriate successor
index, or that the level of the CPI is not available for any other reason, the calculation agent will determine the level of the CPI by
a computation methodology that the calculation agent determines will replicate the CPI as closely as reasonably possible under the circumstances.
Upon any selection of a successor index by the calculation agent, the
calculation agent will cause notice to be furnished to us and to the trustee, who will provide notice of such selection to the registered
holders of the notes.
Citigroup Global Markets Holdings Inc. |
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Description of the Consumer Price Index
Unless otherwise stated, we have derived all information regarding the
non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers provided in this pricing supplement,
including its composition and method of calculation, from publicly available sources. Such information reflects the policies of, and is
subject to change by, the BLS. The BLS is under no obligation to continue to produce, and may discontinue or suspend the production of,
the CPI at any time. We have not independently verified any information relating to the CPI.
The BLS began calculating and publishing the CPI in January 1978 and
publishes CPI data every month. The CPI level for any particular month is published during the following month. The CPI is a measure of
the average change in consumer prices over time for a fixed market basket of goods and services, including food, clothing, shelter, fuels,
transportation, charges for doctors’ and dentists’ services and drugs. In calculating the index, price changes for the various
items are averaged together with weights that represent their importance in the spending of urban households in the United States. The
contents of the market basket of goods and services and the weights assigned to the various items are updated periodically by the BLS
to take into account changes in consumer expenditure patterns. The CPI is expressed in relative terms in relation to a time base reference
period for which the level is set at 100.0. The base reference period for these notes is the 1982-1984 average.
The notes are linked to the non-seasonally adjusted CPI. Consequently,
there is no elimination of the effect of changes that tend to occur at the same time and with approximately the same magnitude each year
(e.g., those changes relating to holidays or climate patterns).
The notes represent obligations of Citigroup Global Markets Holdings
Inc. The notes have not been passed on by BLS. The notes are not sponsored, endorsed, sold or promoted by BLS and BLS makes no warranties
and bears no liability with respect to the notes.
Citigroup Global Markets Holdings Inc. |
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Historical Information on the Consumer Price Index
The following table sets forth the published levels of the CPI as reported
by the BLS for the period from January 2012 through May 2022. We obtained the information in the table below from Bloomberg Financial
Markets, without independent verification. The historical levels of the CPI should not be taken as an indication of future levels, and
no assurance can be given as to the level of the CPI for any relevant month.
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Historical Levels of the CPI |
|
Month |
2012 |
2013 |
2014 |
2015 |
2016 |
2017 |
2018 |
2019 |
2020 |
2021 |
2022 |
January |
226.665 |
230.28 |
233.916 |
233.707 |
236.916 |
242.839 |
247.867 |
251.712 |
257.971 |
261.582 |
281.148 |
February |
227.663 |
232.166 |
234.781 |
234.722 |
237.111 |
243.603 |
248.991 |
252.776 |
258.678 |
263.014 |
283.716 |
March |
229.392 |
232.773 |
236.293 |
236.119 |
238.132 |
243.801 |
249.554 |
254.202 |
258.115 |
264.877 |
287.504 |
April |
230.085 |
232.531 |
237.072 |
236.599 |
239.261 |
244.524 |
250.546 |
255.548 |
256.389 |
267.054 |
289.109 |
May |
229.815 |
232.945 |
237.9 |
237.805 |
240.236 |
244.733 |
251.588 |
256.092 |
256.394 |
269.195 |
292.296 |
June |
229.478 |
233.504 |
238.343 |
238.638 |
241.038 |
244.955 |
251.989 |
256.143 |
257.797 |
271.696 |
n/a |
July |
229.104 |
233.596 |
238.25 |
238.654 |
240.647 |
244.786 |
252.006 |
256.571 |
259.101 |
273.003 |
n/a |
August |
230.379 |
233.877 |
237.852 |
238.316 |
240.853 |
245.519 |
252.146 |
256.558 |
259.918 |
273.567 |
n/a |
September |
231.407 |
234.149 |
238.031 |
237.945 |
241.428 |
246.819 |
252.439 |
256.759 |
260.28 |
274.31 |
n/a |
October |
231.317 |
233.546 |
237.433 |
237.838 |
241.729 |
246.663 |
252.885 |
257.346 |
260.388 |
276.589 |
n/a |
November |
230.221 |
233.069 |
236.151 |
237.336 |
241.353 |
246.669 |
252.038 |
257.208 |
260.229 |
277.948 |
n/a |
December |
229.601 |
233.049 |
234.812 |
236.525 |
241.432 |
246.524 |
251.233 |
256.974 |
260.474 |
278.802 |
n/a |
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The following table sets forth the year-over-year
percentage change in the level of the CPI given the historical levels reported above. The historical figures below should not be taken
as an indication of any future value of the CPI percent change that would apply during the term of the notes.
|
Historical Year-Over-Year Percentage Change in the Level of the CPI |
|
Month |
2012 |
2013 |
2014 |
2015 |
2016 |
2017 |
2018 |
2019 |
2020 |
2021 |
2022 |
January |
2.93% |
1.59% |
1.58% |
-0.09% |
1.37% |
2.50% |
2.07% |
1.55% |
2.49% |
1.40% |
7.48% |
February |
2.87% |
1.98% |
1.13% |
-0.03% |
1.02% |
2.74% |
2.21% |
1.52% |
2.33% |
1.68% |
7.87% |
March |
2.65% |
1.47% |
1.51% |
-0.07% |
0.85% |
2.38% |
2.36% |
1.86% |
1.54% |
2.62% |
8.54% |
April |
2.30% |
1.06% |
1.95% |
-0.20% |
1.13% |
2.20% |
2.46% |
2.00% |
0.33% |
4.16% |
8.26% |
May |
1.70% |
1.36% |
2.13% |
-0.04% |
1.02% |
1.87% |
2.80% |
1.79% |
0.12% |
4.99% |
8.58% |
June |
1.66% |
1.75% |
2.07% |
0.12% |
1.01% |
1.63% |
2.87% |
1.65% |
0.65% |
5.39% |
n/a |
July |
1.41% |
1.96% |
1.99% |
0.17% |
0.84% |
1.72% |
2.95% |
1.81% |
0.99% |
5.37% |
n/a |
August |
1.69% |
1.52% |
1.70% |
0.20% |
1.06% |
1.94% |
2.70% |
1.75% |
1.31% |
5.25% |
n/a |
September |
1.99% |
1.18% |
1.66% |
-0.04% |
1.46% |
2.23% |
2.28% |
1.71% |
1.37% |
5.39% |
n/a |
October |
2.16% |
0.96% |
1.66% |
0.17% |
1.64% |
2.04% |
2.52% |
1.76% |
1.18% |
6.22% |
n/a |
November |
1.76% |
1.24% |
1.32% |
0.50% |
1.69% |
2.20% |
2.18% |
2.05% |
1.17% |
6.81% |
n/a |
December |
1.74% |
1.50% |
0.76% |
0.73% |
2.07% |
2.11% |
1.91% |
2.29% |
1.36% |
7.04% |
n/a |
The following graph shows the published levels of
the CPI as reported by the BLS for the period from January 2012 through May 2022. Past movements of the CPI are not indicative of future
CPI levels. Changes in the CPI will affect the value of the notes and the interest payments on the notes but it is impossible to predict
whether the CPI will rise or fall.
Citigroup Global Markets Holdings Inc. |
|
Valuation of the Notes
CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the notes,
which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying the economic
terms of the notes (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 “Risk Factors—The value of the notes prior to maturity will fluctuate based on many unpredictable
factors” in this pricing supplement, but not including our and 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
notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated for the
notes 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 notes.
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 notes from investors at any time. See “Risk Factors—The notes will not be
listed on any securities exchange and you may not be able to sell them prior to maturity.”
Certain Selling Restrictions
Prohibition of Sales to EEA Retail Investors
The notes may not be offered, sold or otherwise made available to any
retail investor in the European Economic Area. 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 2002/92/EC, where that customer would not qualify as a professional client as defined in
point (10) of Article 4(1) of MiFID II; or |
| (iii) | not a qualified investor as defined in Directive 2003/71/EC; and |
| (b) | the expression “offer” includes the communication in any form and by any means of sufficient information on the terms
of the offer and the notes offered so as to enable an investor to decide to purchase or subscribe the notes. |