Citigroup Global Markets Holdings Inc. |
August
11, 2022
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2022-USNCH13394
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-255302 and 333-255302-03 |
Market-Linked Notes Based on the Citi Dynamic
Asset Selector 5 Excess Return Index Due August 14, 2025
Overview
| ▪ | The notes offered by this pricing supplement are unsecured senior
debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The notes offer a periodic coupon in
the amount specified below and the potential for an additional positive return at maturity based on the performance of the Citi Dynamic
Asset Selector 5 Excess Return Index (the “Index”) from the initial index level to the final index level. |
| ▪ | If the Index appreciates from the initial index level to the
final index level, in addition to the final coupon payment, you will receive a positive return at maturity equal to that appreciation
multiplied by the upside participation rate specified below. However, if the Index remains the same or depreciates, you will be
repaid the stated principal amount of your notes at maturity and your total return on the notes will be limited to the sum of the coupon
payments paid over the term of the notes. Even if the Index appreciates from the initial index level to the final index level, so that
you do receive a positive return at maturity in addition to the final coupon payment, there is no assurance that your total return at
maturity on the notes will compensate you for the effects of inflation or be as great as the yield you could have achieved on a conventional
debt security of ours of comparable maturity. |
| ▪ | In order to obtain the exposure to the Index that the notes
provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving
any amount due under the notes if we and Citigroup Inc. default on our obligations. All payments on the notes are subject to the credit
risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. |
KEY TERMS |
|
Issuer: |
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. |
Guarantee: |
All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc. |
Index: |
The Citi Dynamic Asset Selector 5 Excess Return Index (ticker symbol: “CIISDA5N”) |
Aggregate stated principal amount: |
$318,000 |
Stated principal amount: |
$1,000 per note |
Pricing date: |
August 11, 2022 |
Issue date: |
August 16, 2022. See “Supplemental Plan of Distribution” in this pricing supplement for additional information. |
Valuation date: |
August 11, 2025, subject to postponement if such date is not an index business day |
Maturity date: |
August 14, 2025 |
Coupon: |
On each coupon payment date, the notes will pay a coupon equal to $10.00 per note (1.00% of the stated principal amount of the notes) |
Coupon payment dates: |
August 16, 2023, August 15, 2024 and the maturity date |
Payment at maturity: |
For each $1,000 stated principal amount note you hold at maturity,
you will receive the final coupon payment plus an amount in cash determined as follows:
▪
If the final index level is greater than the initial index level:
$1,000 + ($1,000 × the index return × the upside participation rate)
▪ If the final index level is less than or equal to the initial index level:
$1,000 |
Initial index level: |
224.09, the closing level of the Index on the pricing date |
Final index level: |
The closing level of the Index on the valuation date |
Index return: |
The percentage change in the closing level of the Index from the pricing date to the valuation date, calculated as follows: (i) final index level minus initial index level, divided by (ii) initial index level |
Upside participation rate: |
100% |
Listing: |
The notes will not be listed on any securities exchange |
CUSIP / ISIN: |
17330R6S9 / US17330R6S90 |
Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
Underwriting fee and issue price: |
Issue price(1) |
Underwriting fee(2) |
Proceeds to issuer(3) |
Per note: |
$1,000.00 |
$25.00 |
$975.00 |
Total: |
$318,000.00 |
$7,950.00 |
$310,050.00 |
(1) On the date of this pricing supplement,
the estimated value of the notes is $921.30 per note, which is less than the issue price. The estimated value of the notes 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 notes from you
at any time after issuance. See “Valuation of the Notes” in this pricing supplement.
(2) CGMI
will receive an underwriting fee of up to $25.00 for each note sold in this offering. The total underwriting fee and proceeds to issuer
in the table above give effect to the actual total underwriting fee. From this underwriting fee, CGMI will pay selected dealers not affiliated
with CGMI a variable selling concession of up to $25.00 for each note they sell. For more information on the distribution of the notes,
see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates
may profit from hedging activity related to this offering, even if the value of the notes declines. See “Use of Proceeds and Hedging”
in the accompanying prospectus.
(3) The per
note proceeds to issuer indicated above represent the minimum per note proceeds to issuer for any note, assuming the maximum per note
underwriting fee. As noted above, the underwriting fee is variable.
Investing in the notes involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-7.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or determined that this pricing supplement and the accompanying
index 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 index supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks
below:
Index Supplement No. IS-02-03 dated May 11, 2021 Prospectus Supplement and Prospectus each dated May 11, 2021
The notes are not bank deposits and are not insured
or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed
by, a bank.
Citigroup Global Markets Holdings Inc. |
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Additional Information
This pricing supplement is intended to be read
together with the accompanying index supplement, prospectus supplement and prospectus, which are available via the hyperlinks on the cover
page of this pricing supplement. The accompanying index supplement, prospectus supplement and prospectus contain important information
that is not included in this pricing supplement, including:
| · | a more detailed description of the Index, beginning on page IS-24 of the accompanying index supplement; |
| · | more detailed risk factors relating to the Index, beginning on page IS-12 of the accompanying index supplement; |
| · | the Index rules that govern the calculation of the Index, beginning on page IS-59 of the accompanying
index supplement; |
| · | general terms of the notes, including terms relating to the potential postponement of a valuation date
and the maturity date upon the occurrence of a market disruption event and terms specifying the consequences of the discontinuance of
the Index, beginning on page IS-19 of the accompanying index supplement; |
| · | considerations for certain employee benefit plans or investors that are investing with assets of such
plans, beginning on page IS-41 of the accompanying index supplement; and |
| · | descriptions of the constituents of the Index, beginning on page IS-51 of the accompanying index supplement. |
Certain terms used but not defined in this pricing
supplement are defined in the accompanying index supplement.
Summary Index Description
The Index is published by Citigroup Global Markets Limited (the “Index
Administrator”), which is an affiliate of ours. The Index tracks the hypothetical performance of a rules-based investment
methodology that, on each Index Business Day, seeks to identify current U.S. equity market conditions as falling within one of four possible
“Market Regimes” based on trend and volatility signals (the “Signals”). Depending on the identified
Market Regime, Index exposure is allocated to one of three possible hypothetical investment “Portfolios”, each consisting
of varying degrees of exposure to the following two “Constituents”:
Asset Class |
Constituent |
Ticker |
Underlying Futures Contract |
Reference Asset |
Market Sector |
Equity futures |
S&P 500 Futures Excess Return Index (the “U.S. Equity Futures Constituent”) |
SPXFP<Index> |
E-mini S&P 500 Futures |
S&P 500® Index |
U.S. large-cap equities |
Fixed income futures |
S&P 10-Year U.S. Treasury Note Futures Excess Return Index (the “U.S. Treasury Futures Constituent”) |
SPUSTTP<Index> |
10-Year U.S. Treasury Note Futures |
10-Year U.S. Treasury Notes |
U.S. 10-year treasuries |
The U.S. Equity Futures Constituent tracks the performance of a hypothetical
investment, rolled quarterly, in the nearest-to-expiration E-mini S&P 500 futures contract, which provides exposure to U.S. large-cap
equities. The U.S. Treasury Futures Constituent tracks the performance of a hypothetical investment, rolled quarterly, in the nearest-to-expiration
10-Year U.S. Treasury Note futures contract, which provides exposure to U.S. Treasury notes with a remaining maturity of at least 6.5
years and an original maturity not exceeding 10 years (all of which are referred to collectively as “10-Year U.S. Treasury Notes”).
Because each Constituent is a futures-based index, the performance of each Constituent is expected to reflect not only the performance
of its underlying Reference Asset (as indicated in the table above), but also the implicit cost of a financed position in that Reference
Asset, which will reduce the performance of each Constituent. See “Descriptions of the Constituents” in the accompanying Index
Supplement for more information.
The Index relies on backward-looking trend and volatility Signals to
determine which Market Regime is currently in effect and, in turn, which Portfolio to track until there is a change in the Market Regime
(the Portfolio tracked at any time being referred to as the “Selected Portfolio” at that time). On each Index Business
Day, the Index calculates:
| · | The trend of the performance of the U.S. Equity Futures Constituent over a look-back period of 21 Index Business Days, measured by
the linear regression methodology described in the accompanying Index Supplement (the “Trend Signal”). The Trend Signal
will be either “upward” or “downward”. |
| · | The realized volatility of the U.S. Equity Futures Constituent over a look-back period of 63 Index Business Days (the “Volatility
Signal”). |
Citigroup Global Markets Holdings Inc. |
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The following table indicates the Market Regime that will be identified
for each possible combination of the Signals and, for each Market Regime, the corresponding Portfolio that will be selected as the Selected
Portfolio to be tracked by the Index until there is a change in the Market Regime.
Signals |
Market Regime |
Selected Portfolio (consisting of the Constituents with the percentage weights indicated below) |
Ø
Trend Signal: Upward
Ø
Volatility Signal: Less than or equal to 15% |
Stable-Trending Up |
Equity-Focused Portfolio
Ø
U.S. Equity Futures Constituent: 66.66%
Ø
U.S. Treasury Futures Constituent: 33.33% |
Ø
Trend Signal: Upward
Ø
Volatility Signal: Greater than 15% |
Unstable-Trending Up |
Intermediate Portfolio
Ø
U.S. Equity Futures Constituent: 33.33%
Ø
U.S. Treasury Futures Constituent: 66.66% |
Ø
Trend Signal: Downward
Ø
Volatility Signal: Less than or equal to 15% |
Stable-Trending Down |
Ø
Trend Signal: Downward
Ø
Volatility Signal: Greater than 15% |
Unstable-Trending Down |
Treasury Portfolio
Ø
U.S. Equity Futures Constituent: 0.00%
Ø
U.S. Treasury Futures Constituent: 100.00% |
Once a Selected Portfolio has been selected, the Index will continue
to have exposure to that Selected Portfolio until the Signals indicate that there has been a change in the Market Regime, at which point
the Index exposure will be allocated to a different Selected Portfolio. However, if the Trend Signal fails to meet a test of statistical
significance, then a change in the Market Regime will not occur and the Selected Portfolio will not change even if the Signals would otherwise
call for a change. This test of statistical significance is described in more detail in the accompanying Index Supplement.
The Index includes a volatility-targeting feature, pursuant to which
the Index may reduce its exposure to the Selected Portfolio if necessary in an attempt to maintain a volatility target of 5%. On any Index
Business Day, if the realized volatility of the current Selected Portfolio was greater than 5% over a look-back period of 21 Index Business
Days, the Index will have less than 100% exposure to the Selected Portfolio. The difference between 100% and the exposure that the Index
has to the Selected Portfolio will be hypothetically allocated to cash and will accrue no interest or other return.
The performance of the Index will be reduced by an index fee of 0.85%
per annum.
This section contains only a summary description of the Index and does
not describe all of its important features in detail. Before investing in the notes, you should carefully review the more detailed description
of the Index contained in the section “Description of the Citi Dynamic Asset Selector 5 Excess Return Index” in the accompanying
Index Supplement.
The Index is subject to important risks, including the following:
| · | The Index is a trend-following index and is subject to the limitations inherent in all trend-following methodologies, including the
fact that past performance is no guarantee of future performance. Furthermore, the Index’s trend-following methodology may be unsuccessful
even if past trends do prove to be indicative of future performance, because the Trend Signal may not accurately capture the trend or
the Index may not change its Selected Portfolio quickly enough in response to changes in the Market Regime. |
| · | Each Constituent is a futures-based index and is therefore expected to reflect the implicit cost of a financed position in its Reference
Asset. This implicit financing cost will adversely affect the level of each Constituent and cause each Constituent to underperform its
Reference Asset. Any increase in market interest rates will be expected to increase this implicit financing cost and will further adversely
affect the performance of the Constituents and, therefore, the performance of the Index. |
| · | The Index rules limit the exposure the Index may have to the U.S. Equity Futures Constituent and, as a result, the Index is likely
to significantly underperform equities in rising equity markets. |
| · | The Index will have significant exposure to the U.S. Treasury Futures Constituent, which has limited return potential and significant
downside potential, particularly in times of rising interest rates. |
Citigroup Global Markets Holdings Inc. |
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| · | The volatility-targeting feature significantly reduces the potential for Index gains. At any time when the Index has less than 100%
exposure to the Selected Portfolio, the Index will participate in only a limited degree of the performance of the Selected Portfolio. |
| · | The performance of the Index will be reduced by an index fee. The index fee will place a drag on the performance of the Index, offsetting
any appreciation of the Selected Portfolio, exacerbating any depreciation of the Selected Portfolio and causing the level of the Index
to decline steadily if the value of the Selected Portfolio remains relatively constant. |
| · | The Index was launched on June 13, 2016 and, therefore, has a limited performance history. |
For more information about the important
risks affecting the Index, you should carefully read the section “Summary Risk Factors—Key Risks Relating to the Index”
in this pricing supplement and “Key Risks Relating to the Index” in the accompanying Index Supplement.
The Selected Portfolio is a hypothetical investment portfolio. There
is no actual portfolio of assets to which any investor is entitled or in which any investor has any ownership or other interest. The Index
is merely a mathematical calculation that is performed by reference to hypothetical positions in the Constituents.
Citigroup Global Markets Holdings Inc. |
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Payout Diagram
The diagram below illustrates your payment at maturity for a range of
hypothetical index returns. The diagram below does not include the final coupon payment.
Market-Linked Notes
Payment at Maturity Diagram |
|
Hypothetical Examples
The examples below illustrate how to determine the payment at maturity
on the notes, assuming the various hypothetical final index levels indicated below. The examples are solely for illustrative purposes,
do not show all possible outcomes and are not a prediction of what the actual payment at maturity on the notes will be. The actual payment
at maturity will depend on the actual final index level.
The examples below are based on a hypothetical initial index level of
100 and do not reflect the actual initial index level. For the actual initial index level, see the cover page of this pricing supplement.
We have used this hypothetical level, rather than the actual level, to simplify the calculations and aid understanding of how the notes
work. However, you should understand that the actual payment at maturity on the notes will be calculated based on the actual initial index
level, and not the hypothetical level indicated below.
Example 1—Upside Scenario. The final index level is 110
(a 10% increase from the initial index level), which is greater than the initial index level.
Payment at maturity per note = $1,000 + ($1,000 × the index return
× the upside participation rate) + the final coupon payment
= $1,000 + ($1,000 × 10% × 100%) + $10.00
= $1,000 + $100 + $10.00
= $1,110.00
In this scenario, because the Index has appreciated from the initial
index level to the final index level, you would receive a positive return at maturity equal to the index return multiplied by the
upside participation rate (in addition to the final coupon payment).
Example 2—Par Scenario. The final index level is 90 (a
10% decrease from the initial index level), which is less than the initial index level.
Payment at maturity per note = $1,000 + the final coupon payment
= $1,000 + $10.00
= $1,010.00
In this scenario, the Index depreciated from the initial index level
to the final index level. As a result, you would be repaid the stated principal amount of your notes at maturity plus the final
coupon payment but would not receive any additional positive return on your investment.
Citigroup Global Markets Holdings Inc. |
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Summary Risk Factors
An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes 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 notes, and are
also subject to risks associated with the Index. Accordingly, the notes are suitable only for investors who are capable of understanding
the complexities and risks of the notes. You should consult your own financial, tax and legal advisors as to the risks of an investment
in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the notes
contained in the section “Risk Factors Relating to the Notes” beginning on page IS-8 in the accompanying index 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.
Key Risks Relating to the Notes
| ▪ | Your return on the notes may be limited to the sum of the coupon payments. You will receive
a positive return on your investment in the notes in excess of the sum of the coupon payments only if the Index appreciates from the initial
index level to the final index level. If the final index level is equal to or less than the initial index level, you will only receive,
at maturity, the stated principal amount for each note plus the final coupon payment. As the coupon rate payable on the notes is
less than we would pay on a conventional debt security of comparable maturity, even if the Index appreciates from the initial index level
to the final index level, there is no assurance that your total return at maturity on the notes will be as great as could have been achieved
on conventional debt securities of ours of comparable maturity. |
| ▪ | Although the notes provide for the repayment of the stated principal amount at maturity and
coupon payments, you may nevertheless suffer a loss on your investment in real value terms if the Index declines or does not appreciate
sufficiently from the initial index level to the final index level. This is because inflation may cause the real value of the stated
principal amount to be less at maturity than it is at the time you invest, and because an investment in the notes represents a forgone
opportunity to invest in an alternative asset that does generate a positive real return greater than the coupon rate payable on the notes.
This potential loss in real value terms is significant given the term of the notes. You should carefully consider whether an investment
that may provide a return that is lower than the return on alternative investments is appropriate for you. |
| ▪ | Your payment at maturity depends on the closing level of the Index on a single day. Because your payment at maturity depends
on the closing level of the Index solely on the valuation date, you are subject to the risk that the closing level of the Index on that
day may be lower, and possibly significantly lower, than on one or more other dates during the term of the notes. If you had invested
in another instrument linked to the Index that you could sell for full value at a time selected by you, or if the payment at maturity
were based on an average of closing levels of the Index, you might have achieved better returns. |
| ▪ | The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our
obligations under the notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you under the
notes. |
| ▪ | The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The notes will
not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently intends
to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily basis. Any indicative
bid price for the notes 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 notes 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 notes because it is likely that CGMI will be the only broker-dealer that
is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity. |
| ▪ | Sale of the notes prior to maturity may result in a loss of principal. You will be entitled to receive at least the full stated
principal amount of your notes, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., only if you hold
the notes to maturity. The value of the notes may fluctuate during the term of the notes, and if you are able to sell your notes prior
to maturity, you may receive less than the full stated principal amount of your notes. |
| ▪ | Because the notes provide for repayment of the principal amount at maturity regardless of the performance of the Index, you may
not receive a meaningful incremental benefit from the Index’s volatility-targeting feature even though you will be subject to its
significant drawbacks. One potential benefit of the Index’s volatility-targeting feature is that it may reduce the potential
for large Index declines in volatile equity markets. However, that reduced potential for large Index declines comes at a price: as discussed
in more detail below, the volatility-targeting feature is likely to significantly reduce the potential for Index gains in rising equity
markets. Because the notes provide for repayment of the principal amount at maturity even if the Index experiences a large decline, any
reduced potential for large Index declines resulting from the volatility-targeting feature may not provide a |
Citigroup Global Markets Holdings Inc. |
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meaningful incremental benefit to an investor
in the notes. Investors in the notes will, however, be fully subject to the drawbacks of the volatility-targeting feature, in the form
of the reduced participation in rising equity markets and the other risks described below under “—Key Risks Relating to the
Index”. As a result, you should understand that any benefit you receive from the Index’s volatility-targeting feature may
be outweighed by its drawbacks.
| ▪ | 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. The difference is attributable to certain costs associated with selling, structuring and hedging
the notes that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection with
the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes
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 notes. These costs adversely affect the economic terms of the notes because, if they were lower, the economic
terms of the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use
of our internal funding rate, rather than our secondary market rate, to price the notes. See “The estimated value of the notes would
be lower if it were calculated based on our secondary market rate” below. |
| ▪ | The estimated value of the notes 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 the Index 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 notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement may differ from the value
that we or our affiliates may determine for the notes for other purposes, including for accounting purposes. You should not invest in
the notes because of the estimated value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the
initial estimated value. |
| ▪ | The estimated value of the notes would be lower if it were calculated based on our secondary market rate. The estimated value
of the notes 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 notes. 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 notes for purposes of any purchases of the notes 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 notes, which
are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal
funding rate is not the same as the coupon that is payable on the notes. |
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.
| ▪ | The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing to
buy the notes from you in the secondary market. Any such secondary market price will fluctuate over the term of the notes 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 notes 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 notes than if our internal funding rate were used. In addition, any secondary market price for
the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the notes 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 notes will be less than the issue price. |
| ▪ | The value of the notes prior to maturity will fluctuate based on many unpredictable factors. The value of your notes prior
to maturity will fluctuate based on the closing levels and volatility of the Index and a number of other factors, including general market
interest rates, the time remaining to maturity of the notes and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary
market rate. Changes in the closing levels of the Index may not result in a comparable change in the value of your notes. You should understand
that the value of your notes 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 Notes” in this pricing
supplement. |
| ▪ | Our affiliates may have published research, expressed opinions or provided recommendations that are inconsistent with investing
in the notes and may do so in the future, and any such research, opinions or recommendations could adversely affect the level of the Index.
CGMI and other of our affiliates may publish research from time to time relating to the financial |
Citigroup Global Markets Holdings Inc. |
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markets, any of the Constituents of the
Index or the hypothetical investment methodology of the Index. Any research, opinions or recommendations provided by CGMI may influence
the level of any Constituent, and they may be inconsistent with purchasing or holding the notes. CGMI and other of our affiliates may
have published or may publish research or other opinions that call into question the investment view implicit in an investment in the
notes. Any research, opinions or recommendations expressed by such affiliates of ours may not be consistent with each other and may be
modified from time to time without notice. Investors should make their own independent investigation of the constituents of the Index,
the Index itself and the merits of investing in the notes.
| ▪ | The level of a Constituent or of the Index may be affected by our or our affiliates’ hedging and other trading activities.
In connection with the sale of the notes, we have hedged our obligations under the notes directly or through one of our affiliates, which
involves taking positions directly in the futures contracts underlying the Constituents of the Index or other instruments that may affect
the levels of the Constituents. We or our counterparties may also adjust this hedge during the term of the notes and close out or unwind
this hedge on or before the valuation date, which may involve, among other things, us or our counterparties purchasing or selling such
futures contracts or other instruments. This hedging activity on or prior to the pricing date could potentially affect the levels of the
Constituents on the pricing date and, accordingly, potentially increase the initial index level, which may adversely affect your return
on the notes. Additionally, this hedging activity during the term of the notes, including on or near the valuation date, could negatively
affect the level of the Index and, therefore, adversely affect your payment at maturity on the notes. This hedging activity may present
a conflict of interest between your interests as a holder of the notes and the interests we and/or our counterparties, which may be our
affiliates, have in executing, maintaining and adjusting hedging transactions. These hedging activities could also affect the price, if
any, at which CGMI or, if applicable, any other entity may be willing to purchase your notes in a secondary market transaction.
We and our affiliates may also trade the futures contracts underlying the Constituents and/or other instruments that may affect the levels
of the Constituents on a regular basis (taking long or short positions or both), for our or their accounts, for other accounts under management
or to facilitate transactions, including block transactions, on behalf of customers. As with our or our affiliates’ hedging activity,
this trading activity could affect the levels of the Constituents on the valuation date and, therefore, adversely affect the performance
of the Index and the notes.
It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the value of
the notes declines. |
| ▪ | We and our affiliates may have economic interests that are adverse to those of the holders of the notes as a result of our or our
affiliates’ business activities. We or our affiliates may currently or from time to time engage in business with the issuers
of the stocks that constitute the Reference Asset of the U.S. Equity Futures Constituent, 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. We do not make any representation or warranty to any purchaser of the
notes with respect to any matters whatsoever relating to our or our affiliates’ business with any such issuer. Moreover, if we or
any of our affiliates are or become a creditor of any such issuer or otherwise enter into any transaction with any such issuer in the
regular course of business, we or such affiliate may exercise any remedies against such issuer that are available to them without regard
to the impact on your interests as a holder of the notes. |
| ▪ | The notes calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes. If
certain events occur, CGMI, as notes calculation agent, will be required to make discretionary judgments that could significantly affect
your payment at maturity. In making these judgments, the notes calculation agent’s interests as an affiliate of ours could be adverse
to your interests as a holder of the notes. Such judgments could include, among other things: |
| ▪ | determining whether a market disruption event exists on the
valuation date with respect to any Constituent then included in the Index; |
| ▪ | if the Index Level is not published by the Index Calculation
Agent or if a market disruption event exists with respect to any Constituent then included in the Index on the valuation date, determining
the closing level of the Index with respect to that date, which may require us to make a good faith estimate of the closing level of
one or both Constituents if the market disruption event is continuing on the Backstop Date; and |
| ▪ | selecting a Successor Index or performing an alternative
calculation of the closing level of the Index if the Index is discontinued. |
Any of these determinations made by our
affiliate, in its capacity as notes calculation agent, may adversely affect any payment owed to you under the notes.
| ▪ | Discontinuance of the Index could adversely affect the value of the notes. The Index Administrator is not required to publish the
Index throughout the term of the notes. The Index Administrator may determine to discontinue the Index, among other reasons, as a
result of the occurrence of a material Regulatory Event. See “Description of the Citi Dynamic Asset Selector 5 Excess Return Index”
in the accompanying index supplement for more information. If the Index is discontinued, the notes calculation agent will have the sole
discretion to substitute a successor index that is comparable to the discontinued Index and is |
Citigroup Global Markets Holdings Inc. |
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not precluded from considering other indices
that are calculated and published by the notes calculation agent or any of its affiliates. Any such successor index may not perform favorably.
If the notes calculation agent does not
select a successor index, then the closing level of the Index will be calculated from and after the time of discontinuance based solely
on the Selected Portfolio tracked by the Index at the time of discontinuance, without any rebalancing after such discontinuance even if
there is a change in the Market Regime. In such an event, the substitute level that is used as the closing level of the Index will cease
to reflect the Index’s portfolio selection methodology and instead will track the performance of a fixed portfolio of notional assets,
which will consist of the Selected Portfolio tracked by the Index (or the Selected Portfolio that would have been tracked by the Index
but for the event that resulted in such discontinuance of the Index) immediately prior to such discontinuance. That level may perform
unfavorably after the discontinuance. For example, if the Selected Portfolio at the time of discontinuance is the Treasury Portfolio,
the substitute closing level of the Index will reflect only the performance of the treasury portfolio thereafter and will not reflect
any exposure to the U.S. Equity Futures Constituent even if there is a bull market in equities. Alternatively, if the Selected Portfolio
at the time of discontinuance is the Equity-Focused Portfolio, the substitute closing level of the Index will reflect significant exposure
to equities thereafter even if there is a significant equity market decline. In such an event, even though the Index will no longer apply
its portfolio selection methodology, the index fee will continue to be deducted.
Key Risks Relating to the Index
The following is a summary of key risks relating to the Index. The
summary below should be read together with the more detailed risk factors relating to the Index described in “Risk Factors Relating
to the Notes” in the accompanying index supplement. The following discussion of risks should also be read together with the section
“Description of the Citi Dynamic Asset Selector 5 Excess Return Index” in the accompanying index supplement, which defines
and further describes a number of the terms and concepts referred to below.
| ▪ | The Index may not be successful and may underperform alternative investment strategies. There can be no assurance that the
Index will achieve positive returns. The Index tracks the hypothetical performance of a rules-based investment methodology that, based
on signals, selects a hypothetical investment Portfolio (the Selected Portfolio) to track until the signals determine that a change in
U.S. equity market conditions (or Market Regimes) has occurred. The performance of the Index over that period will depend on the performance
of the Selected Portfolio over that time period, minus the index fee and subject to the Index’s volatility-targeting feature,
all as more fully described in the accompanying index supplement. In general, if the Selected Portfolio appreciates over that period by
more than the index fee, the level of the Index will increase, and if the Selected Portfolio depreciates over that period or appreciates
by less than the index fee, the level of the Index will decrease. The performance of the Index may be less favorable than alternative
investment strategies that could have been implemented, including an investment in a passive index fund. |
| ▪ | The Index’s Signal-based allocation methodology has
significant limitations. The Index will allocate exposure to the U.S. Equity Futures Constituent and/or the U.S. Treasury Futures
Constituent based on two backward-looking Signals measured on each Index Business Day: one based on the trend of the performance of the
U.S. Equity Futures Constituent, measured by the linear regression methodology described in the accompanying index supplement, over a
look-back period of 21 Index Business Days (the Trend Signal) and one based on the realized volatility of the U.S. Equity Futures Constituent
over a look-back period of 63 Index Business Days (the Volatility Signal). Based on these Signals, the Portfolio tracked by the Index
during any given period (the Selected Portfolio for that period) will be the Equity-Focused Portfolio, the Treasury Portfolio or the
Intermediate Portfolio, each of which has a predetermined degree of exposure to the U.S. Treasury Futures Constituent and/or the U.S.
Equity Futures Constituent. |
| ▪ | Limitations of the Trend Signal. The Index’s allocation
methodology is premised on the assumption that, on an Index Business Day, the Trend Signal may provide an accurate indicator of the performance
of the U.S. Equity Futures Constituent until the next Change in Market Regime (i.e., when the Signals indicate that another Selected
Portfolio should be selected). In other words, the methodology assumes that the U.S. Equity Futures Constituent is likely to appreciate
until the next Change in Market Regime if there is an upward Trend Signal. There is no guarantee that this will be the case, however.
The Trend Signal is subject to a number of important limitations, including the following: |
| § | Past performance may not predict future performance. On any given Index
Business Day, the fact that the U.S. Equity Futures Constituent may have performed favorably over the prior 21 Index Business Days (approximately
one month) does not necessarily mean that it will continue to perform favorably going forward. Future market conditions may differ from
past market conditions, and the conditions that may have caused the favorable performance over the prior month may no longer exist. |
| § | Markets may be efficient. Past appreciation may not necessarily be
an indicator of future appreciation even if future market conditions do not differ materially from past market conditions. The efficient
market hypothesis, a well-known theory in academic financial literature, states that the market is efficient and that current asset prices
reflect all available relevant information. If true, the efficient market hypothesis implies that any perceived historical trend in the
performance of the U.S. Equity Futures Constituent should not be an accurate predictor of its future performance. If the past performance
of the U.S. Equity Futures Constituent proves not to be an accurate indicator of its actual performance over the next period, then the
Index’s trend-following allocation methodology may perform poorly. |
Citigroup Global Markets Holdings Inc. |
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| § | Time lag. The Trend Signal measures the performance of the U.S. Equity
Futures Constituent over the last month and therefore suffers from a time lag, which may cause it to be late both in signaling an allocation
to the U.S. Equity Futures Constituent and in signaling an allocation away from the U.S. Equity Futures Constituent. The Index determines
the trend of the U.S. Equity Futures Constituent based on its levels over an observation period of 21 Index Business Days. If the trend
in the performance of the U.S. Equity Futures Constituent changes, it may be a significant period of time before the Trend Signal reflects
the change. As a result of this time lag, the Trend Signal may signal an allocation to the U.S. Equity Futures Constituent long after
the U.S. Equity Futures Constituent begins to decline, potentially resulting in a significant decline in the level of the Index over a
significant period of time. Alternatively, the Trend Signal may not identify the U.S. Equity Futures Constituent as being in an upward
trend until long after the upward trend began. By the time the Trend Signal finally signals an allocation to the U.S. Equity Futures Constituent,
the trend may already have run its course, and a period of decline may even have already begun. Because the Trend Signal may signal an
allocation to the U.S. Equity Futures Constituent after it has already been trending upward for a significant period of time, the Trend
Signal may effectively reflect a “buy high” strategy; and because the Trend Signal may signal an allocation away from the
U.S. Equity Futures Constituent only after it has already been trending downward for a significant period of time, it may effectively
reflect a “sell low” strategy. This combination of buying high and selling low may result in poor Index performance. |
| § | Measurement error. Even if the historical trend in the level of the
U.S. Equity Futures Constituent proves to be a predictor of the future performance of the U.S. Equity Futures Constituent, the way in
which the Index measures the trend may not effectively capture it. For example, the Index uses a fixed rule for determining whether the
U.S. Equity Futures Constituent is deemed to be in an upward trend or a downward trend: if the straight line that results from a linear
regression of the levels of the U.S. Equity Futures Constituent (expressed logarithmically) on each of the Index Business Days in the
relevant look-back period slopes upward, the Index interprets that as an indicator of an upward trend, and if that line slopes downward,
the Index interprets that as an indication of a downward trend. If the U.S. Equity Futures Constituent appreciated during the first half
of that period and then depreciated over the next half – but the depreciation was not quite as pronounced as the appreciation –
the Index may identify an upward trend even though the most recent trend has been downward. In addition, the Index will not change its
Selected Portfolio if the Trend Signal is not deemed to be statistically significant, even if the Signals would otherwise call for a change.
The Index also uses an arbitrary cut-off, which may not be the optimal cut-off to use for the Index, for determining whether the Trend
Signal is statistically significant or not. Any fixed rule for determining whether the U.S. Equity Futures Constituent is in an upward
or downward trend and whether such trend will signal a Change in Market Regime will necessarily be a blunt tool and, accordingly, may
have a high rate of inaccuracy. The particular ways in which the Index operates may produce a lower return than other rules that could
have been adopted for the identification of the trend in the level of the U.S. Equity Futures Constituent or its statistical significance.
There is nothing inherent in the particular methodology used by the Index that makes it a more or less accurate predictor of a trend.
It is possible that the rules used by the Index may not identify the trend as effectively as other rules that might have been adopted,
or at all. |
| § | Whipsaws. Trend-following methodologies may perform particularly poorly
in “choppy” markets, where they may be subject to “whipsaws.” Choppy markets are characterized by short-term volatility
and the absence of consistent long-term performance trends. In choppy markets, whipsaws occur when the market reverses and does the opposite
of what is indicated by past performance. The Index may experience a significant decline in these market conditions because, for example,
if the Index identifies the U.S. Equity Futures Constituent as being in an upward trend (and the realized volatility of the U.S. Equity
Futures Constituent over the relevant look-back period is less than or equal to 15%), the Selected Portfolio tracked by the Index will
provide more exposure to the U.S. Equity Futures Constituent than any other possible Portfolio. If, after being allocated exposure, the
U.S. Equity Futures Constituent suddenly declines significantly, the level of the Index may also decline significantly. |
| § | Mean reversion. The Trend Signal is particularly likely to be ineffective
if the U.S. Equity Futures Constituent exhibits mean reversion tendencies. Mean reversion is the theory that asset prices tend to fluctuate
around, and revert to, a particular level (the “mean”) over time. If the U.S. Equity Futures Constituent exhibits a high degree
of mean reversion, its level may increase for a sufficient period of time to cause the Trend Signal to identify it as being in an upward
trend, but then rapidly fall back toward its long-term mean after the Index allocates exposure to it, leading to declines in the level
of the Selected Portfolio and therefore declines in the level of the Index. |
| ▪ | Limitations of the Volatility Signal. The Volatility Signal is based on the assumption that the volatility of the U.S. Equity
Futures Constituent over a look-back period of 63 Index Business Days (approximately three months) may be an indicator of future volatility
of the U.S. Equity Futures Constituent. Based on this assumption, on a Selection Date, the Index will determine to allocate the most exposure
to the U.S. Equity Futures Constituent when the Volatility Signal is less than 15% (and if there is an upward Trend Signal). There is
no guarantee that this assumption will be correct, however. The Volatility Signal is subject to significant limitations, including the
following: |
| § | Time lag. The Volatility Signal measures volatility over the last three
months and therefore suffers from a time lag, which may cause it to be late both in signaling an allocation to the U.S. Equity Futures
Constituent and in signaling an allocation away from the U.S. Equity Futures Constituent. The Index determines the volatility of the U.S.
Equity Futures Constituent over a look-back period of 63 Index Business Days. If the volatility of the U.S. Equity Futures Constituent
changes, it may be a significant period of time before the Volatility Signal reflects the change. As a result of this time lag, the Volatility
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Signal may signal an allocation to the U.S. Equity Futures
Constituent long after the U.S. Equity Futures Constituent has become increasingly volatile, which can result in a significant decline
in the level of the Index over a significant period of time. Alternatively, the Volatility Signal may not identify the volatility of the
U.S. Equity Futures Constituent as being low until long after volatility decreased. By the time the Volatility Signal finally signals
an allocation to the U.S. Equity Futures Constituent, the volatility may have increased again. This may result in poor Index performance.
| § | Historical measure. The 63-Day Realized Volatility measure used by
the Index is a historical measure of volatility and does not reflect volatility going forward. Realized volatility is not the same as
implied volatility, which is an estimation of future volatility and may better reflect market expectations. |
| ▪ | The performance of each Constituent is expected to be reduced by an implicit financing cost and any increase in this cost will
adversely affect the performance of the Index. Each Constituent is a futures-based index. As a futures-based index, each Constituent
is expected to reflect not only the performance of its corresponding Reference Asset (the S&P 500® Index in the case
of the U.S. Equity Futures Constituent and 10-year U.S. Treasury Notes in the case of the U.S. Treasury Futures Constituent), but also
the implicit cost of a financed position in that Reference Asset. The cost of this financed position will adversely affect the level of
each Constituent and, therefore, the Index. Any increase in market interest rates will be expected to further increase this implicit financing
cost and will increase the negative effect on the performance of the Constituents and, therefore, the performance of the Index. Because
of this implicit financing cost, the U.S. Equity Futures Constituent will underperform the total return performance of the S&P 500®
Index and the U.S. Treasury Futures Constituent will underperform a direct investment in 10-Year U.S. Treasury Notes. |
We estimate that, in the period since January
1, 2006, this implicit financing cost has been as high as 7.03% per annum for the U.S. Equity Futures Constituent and as high as 6.77%
per annum for the U.S. Treasury Futures Constituent. The implicit financing cost in the future will vary, particularly in response to
changes in market interest rates, and may equal or exceed these levels. If the Reference Asset for a Constituent does not achieve returns
that are at least as great as the implicit financing cost, the level of the Constituent will decline, even if the Reference Asset has
appreciated. Even if the Reference Asset for a Constituent does achieve returns that exceed the implicit financing cost, the Constituent
will achieve positive returns only to the extent that the positive returns of the Reference Asset exceed the implicit financing cost.
If the Reference Asset for a Constituent declines, the implicit financing cost will exacerbate the decline in the level of the Constituent.
We have estimated the implicit financing cost for each Constituent set forth in this paragraph based on a comparison of rolling 1-year
returns of each Constituent with rolling 1-year returns of its Reference Asset.
| ▪ | The Index rules limit the exposure the Index may have to the U.S. Equity Futures Constituent, and, as a result, the Index is likely
to significantly underperform equities in rising equity markets. In no event will the weight of the U.S. Equity Futures Constituent
exceed 66.66%, and in two of the three possible Portfolios, the weight of the U.S. Equity Futures Constituent will only be either 33.33%
or 0%. In addition, the Index uses 15% as a threshold for elevated volatility, which is not unusually elevated from a historical perspective
and may result in reduced or eliminated exposure to the U.S. Equity Futures Constituent at a time when equity markets are in fact relatively
stable and rising. Furthermore, even at a time when the Selected Portfolio is the Equity-Focused Portfolio, the Index’s volatility-targeting
feature may result in significantly reduced Index exposure to the Selected Portfolio (and, in turn, to the U.S. Equity Futures Constituent)
because the Equity-Focused Portfolio is likely to have a realized volatility significantly exceeding 5%. As a result, the Index is likely
to significantly underperform the U.S. Equity Futures Constituent in rising equity markets. |
| ▪ | The Index’s allocation methodology may not be successful
if the U.S. Equity Futures Constituent and the U.S. Treasury Futures Constituent decline at the same time. The Index’s allocation
methodology is premised on the U.S. Equity Futures Constituent and the U.S. Treasury Futures Constituent being either uncorrelated or
inversely correlated. The thesis underlying the Index’s allocation methodology is that, if the Index determines that the U.S. Equity
Futures Constituent is likely to decline, the Index may avoid losses and even potentially generate positive returns by allocating exposure
to the U.S. Treasury Futures Constituent instead of the U.S. Equity Futures Constituent. If, however, the U.S. Treasury Futures Constituent
also declines, then the Index will decline regardless of whether its exposure is allocated to the U.S. Equity Futures Constituent or
the U.S. Treasury Futures Constituent. If the U.S. Equity Futures Constituent and the U.S. Treasury Futures Constituent tend to decline
at the same time—in other words, if they prove to be positively correlated—the Index’s allocation methodology will
not be successful, and the Index may experience significant declines. |
| ▪ | The Index will have significant exposure to the U.S. Treasury Futures Constituent, which has limited return potential and significant
downside potential, particularly in times of rising interest rates. The U.S. Treasury Futures Constituent will be included in all
three of the possible Portfolios, and in two of the three possible Portfolios it will be either 66.66% or 100% of the weight of that Portfolio.
Accordingly, the Index will always be significantly allocated, and will frequently be predominantly or even 100% allocated, to the U.S.
Treasury Futures Constituent. U.S. Treasury notes are generally viewed as low risk, low reward assets. Accordingly, the U.S. Treasury
Futures Constituent offers only limited return potential, which in turn limits the return potential of the Index. Although U.S. Treasury
notes themselves are generally viewed as safe assets, the U.S. Treasury Futures Constituent tracks the value of a futures contract on
10-Year U.S. Treasury Notes, which may be subject to significant fluctuations and declines. In particular, the value of a futures contract
on 10-Year U.S. Treasury Notes is likely to decline if there is a general rise in interest rates. A general rise in interest rates is
likely to lead to particularly large losses on the U.S. Treasury Futures |
Citigroup Global Markets Holdings Inc. |
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Constituent because, in addition to reducing
the value of the underlying U.S. Treasury notes, the rise in interest rates will increase the implicit financing cost discussed above.
You should understand that the futures
contract underlying the U.S. Treasury Futures Constituent provides exposure to U.S. Treasury notes with a remaining maturity of at least
6.5 years and an original maturity not exceeding 10 years, all of which we refer to collectively as “10-Year U.S. Treasury Notes”.
It is important to note that the remaining maturity of the U.S. Treasury notes underlying the 10-Year U.S. Treasury Note futures contract
may be as short as 6.5 years. The price and yield performance of a U.S. Treasury note with a 6.5-year remaining maturity may differ significantly
from that of a U.S. Treasury note with a 10-year remaining maturity. For example, an increase in market interest rates is expected to
affect the performance of U.S. Treasury notes with a remaining maturity of 6.5 years differently than the performance of U.S. Treasury
notes with a remaining maturity of 10 years. As a result, the performance of the U.S. Treasury Futures Constituent may be significantly
different than it would be if it were instead based solely on the “on-the-run” 10-Year U.S. Treasury note (i.e., the most
recently issued U.S. Treasury note with an original maturity of 10 years).
| ▪ | The Index fee will adversely affect Index performance. An index fee of 0.85% per annum is deducted in the calculation of the
Index. The index fee will place a drag on the performance of the Index, offsetting any appreciation of the Selected Portfolio, exacerbating
any depreciation of the Selected Portfolio and causing the level of the Index to decline steadily if the value of the Selected Portfolio
remains relatively constant. The Index will not participate in any appreciation of the Selected Portfolio unless it is sufficiently great
to offset the negative effects of the index fee, and then only to the extent that the favorable performance of the Selected Portfolio
is greater than the index fee (and subject to the volatility-targeting feature). As a result of this deduction, the level of the Index
may decline even if the Selected Portfolio appreciates. |
| ▪ | The Index may fail to maintain its volatility target and may experience large declines as a result. The Index adjusts its
exposure to the Selected Portfolio as often as daily in an attempt to maintain a volatility target of 5%. If the volatility of the Selected
Portfolio increases, the Index will reduce its exposure to the Selected Portfolio to the extent necessary to maintain a trailing 21-Day
Realized Volatility of 5%. However, because this exposure adjustment is backward-looking, based on realized volatility over a prior period
of 21 Index Business Days, there may be a time lag of several weeks before a sudden increase in volatility of the Selected Portfolio is
sufficiently reflected in the trailing 21-Day Realized Volatility measure to result in a meaningful reduction in exposure to the Selected
Portfolio. In the meantime, the Index may experience significantly more than 5% volatility and, if the increase in volatility is accompanied
by a decline in the value of the Selected Portfolio, the Index may incur significant losses. |
| ▪ | The volatility-targeting feature is likely to cause the Index to significantly underperform the Selected Portfolio in rising equity
markets. The performance of the Index will be based on the performance of the Selected Portfolio, but only to the extent that
the Index has exposure to the Selected Portfolio. The Index will have less than 100% exposure to the Selected Portfolio at any time when
the 21-Day Realized Volatility of the Selected Portfolio is greater than the Index’s volatility target of 5%. The Index attempts
to select the Equity-Focused Portfolio to be the Selected Portfolio during rising equity markets. The volatility of the Equity-Focused
Portfolio is likely to be greater than the volatility target of 5% because the Equity-Focused Portfolio has 66.66% exposure to the U.S.
Equity Futures Constituent, and based on historical data the volatility of the U.S. Equity Futures Constituent is likely to be significantly
greater than 5%. As a result, at any time where the Selected Portfolio is the Equity-Focused Portfolio (if past patterns hold), the Index
is likely to have less than 100% exposure to the performance of that Selected Portfolio. An exposure of less than 100% would mean that
the Index will participate in only a limited degree of the performance of the Selected Portfolio, and the difference between 100% and
that exposure would be hypothetically allocated to cash, on which no interest or other return will accrue. Limited exposure to the performance
of the Selected Portfolio means that the Index is likely to underperform the Selected Portfolio in rising equity markets. The index fee
will exacerbate this underperformance. |
| ▪ | A significant portion of the Index may be hypothetically
allocated to cash, which may dampen returns. At any time when the Index has less than 100% exposure to the Selected Portfolio, a
portion of the Index (corresponding to the difference between the exposure to the Selected Portfolio and 100%) will be hypothetically
allocated to cash and will not accrue any interest or other return. A significant hypothetical allocation to cash will significantly
reduce the Index’s potential for gains. In addition, the index fee will be deducted from the entire Index, including the portion
hypothetically allocated to cash. As a result, after taking into account the deduction of the index fee, any portion of the Index that
is hypothetically allocated to cash will experience a net decline at a rate equal to the index fee. |
| ▪ | The volatility-targeting feature may cause the Index to perform poorly in temporary market crashes. A temporary market crash
is an event in which the volatility of the Selected Portfolio spikes suddenly and the Selected Portfolio declines sharply in value over
a short period of time, but the decline is short-lived and the Selected Portfolio soon recovers its losses. In this circumstance, although
the value of the Selected Portfolio after the recovery may return to its value before the crash, the level of the Index may not fully
recover its losses. This is because of the time lag that results from using a look-back period of 21 Index Business Days as the basis
for the Index’s volatility-targeting feature. Because of the time lag, the Index may not meaningfully reduce its exposure to the
Selected Portfolio until the crash has already occurred, and by the time the reduced exposure does take effect, the recovery may have
already begun. For example, if the Index has 50% exposure to the decline in the Selected Portfolio, and then reduces its exposure so that
it has only 20% exposure to the recovery, the Index will end up significantly lower after the crash and recovery than it was before the
crash. |
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| ▪ | The performance of the Index will be highly sensitive to the specific parameters by which it is calculated. The Index is calculated
pursuant to a rules-based methodology that contains a number of specific parameters. These parameters will be significant determinants
of the performance of the Index. |
| ▪ | The Index will be calculated pursuant to a set of fixed rules
and will not be actively managed. If the Index performs poorly, the Index Administrator will not change the rules in an attempt to
improve performance. If the rules-based investment methodology tracked by the Index performs poorly, the Index Administrator will not
change the rules in an attempt to improve performance. |
| ▪ | The Index has limited actual performance information. The Index launched on June 13, 2016. Accordingly, the Index has
limited actual performance data. Because the Index is of recent origin with limited performance history, an investment linked to the Index
may involve a greater risk than an investment linked to one or more indices with an established record of performance. A longer history
of actual performance may have provided more reliable information on which to assess the validity of the Index’s hypothetical investment
methodology. However, any historical performance of the Index is not an indication of how the Index will perform in the future. |
| ▪ | Hypothetical back-tested Index performance information is subject to significant limitations. All information regarding the
performance of the Index prior to June 13, 2016 is hypothetical and back-tested, as the Index did not exist prior to that time. It is
important to understand that hypothetical back-tested Index performance information is subject to significant limitations, in addition
to the fact that past performance is never a guarantee of future performance. In particular: |
| § | The Index Administrator developed the rules of the Index with the benefit
of hindsight—that is, with the benefit of being able to evaluate how the Index rules would have caused the Index to perform had
it existed during the hypothetical back-tested period. The fact that the Index generally appreciated over the hypothetical back-tested
period may not therefore be an accurate or reliable indication of any fundamental aspect of the Index methodology. |
| § | The hypothetical back-tested performance of the Index might look different
if it covered a different historical period. The market conditions that existed during the historical period covered by the hypothetical
back-tested Index performance information are not necessarily representative of the market conditions that will exist in the future. |
| § | Because the Constituents were not published during the entire period for which
the Index Administrator has prepared hypothetical back-tested Index performance information, the hypothetical back-tested Index levels
have been calculated by the Index Administrator based in part on hypothetical back-tested levels of the Constituents that were prepared
by the index sponsor of the Constituents. The Index Administrator is not aware of the assumptions made by the index sponsor of the Constituents
when it calculated the hypothetical back-tested index levels for the Constituents. |
It is impossible to predict whether the
Index will rise or fall. The actual future performance of the Index may bear no relation to the historical or hypothetical back-tested
levels of the Index.
| ▪ | The Index Administrator, which is our affiliate, and the
Index Calculation Agent may exercise judgments under certain circumstances in the calculation of the Index. Although the Index is
rules-based, there are certain circumstances under which the Index Administrator or Index Calculation Agent may be required to exercise
judgment in calculating the Index as described in more detail in “Description of the Citi Dynamic Asset Selector 5 Excess Return
Index” in the accompanying index supplement. |
In exercising these judgments, the Index
Administrator’s status as our affiliate may cause its interests to be adverse to yours. The Index Administrator and Index Calculation
Agent are not your fiduciaries and are not obligated to take your interests into account in calculating the Index. Any actions taken by
the Index Administrator or Index Calculation Agent in calculating the level of the Index could adversely affect the performance of the
Index.
| ▪ | Investors in the notes will not have any ownership or other
interest in the futures contracts underlying the Constituents. The Selected Portfolio is described as a hypothetical investment
portfolio because there is no actual portfolio of assets to which any investor is entitled or in which any investor has any ownership
or other interest. The Index is merely a mathematical calculation that is performed by reference to hypothetical positions in the Constituents
included in the Selected Portfolio, and the other Index rules, and each Constituent is merely a mathematical calculation that is performed
by reference to hypothetical positions in the futures contracts included in such Constituent. |
Citigroup Global Markets Holdings Inc. |
|
Hypothetical Back-Tested and Historical Index Performance
Information
This section contains hypothetical back-tested performance information
for the Index. All Index performance information prior to June 13, 2016 is hypothetical and back-tested, as the Index did not exist prior
to that date. Hypothetical back-tested Index performance information is subject to significant limitations. The Index Administrator developed
the Index rules with the benefit of hindsight—that is, with the benefit of being able to evaluate how the Index rules would have
caused the Index to perform had it existed during the hypothetical back-tested period. The fact that the Index generally appreciated over
the hypothetical back-tested period may not therefore be an accurate or reliable indication of any fundamental aspect of the Index methodology.
Furthermore, the hypothetical back-tested performance of the Index might look different if it covered a different historical period. The
market conditions that existed during the hypothetical back-tested period may not be representative of market conditions that will exist
in the future.
The hypothetical back-tested Index performance information has been
calculated by the Index Administrator. The S&P 500 Futures Excess Return Index was not published prior to August 11, 2010 and the
S&P 10-Year U.S. Treasury Note Futures Index was not published prior to March 28, 2011. For the periods before the Constituents were
first published, the index sponsor of the Constituents prepared hypothetical back-tested index levels for each Constituent. The hypothetical
back-tested Index levels have been calculated by the Index Administrator by applying the Index methodology to the actual Constituent Closing
Levels of the Constituents for the periods since their initial publication and to the hypothetical back-tested index levels of the Constituents
prepared by the index sponsor of the Constituents for the periods prior to their initial publication. The Index Administrator is not aware
of the assumptions made by the index sponsor of the Constituents when it calculated the hypothetical back-tested index levels for the
Constituents.
Accordingly, the hypothetical back-tested Index performance information,
to the extent that it utilizes hypothetical back-tested data of the Constituents, may not reflect how the Index would have performed had
the Constituents existed during the relevant time period. See “Description of the Citi Dynamic Asset Selector 5 Excess Return Index—Hypothetical
Back-Tested Index Performance Information” in the accompanying Index Supplement for more information.
It is impossible to predict whether the Index will rise or fall.
By providing the hypothetical back-tested and historical Index performance information below, we are not representing that the Index is
likely to achieve gains or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance
results and the actual results subsequently achieved by any particular investment. One of the limitations of hypothetical performance
information is that it did not involve financial risk and cannot account for all factors that would affect actual performance. The actual
future performance of the Index may bear no relation to the hypothetical back-tested or historical performance of the Index.
Hypothetical Back-Tested and
Historical Index Performance
The graph below depicts the hypothetical back-tested performance of
the Index for the period from January 1, 2006 to June 12, 2016 and historical Index performance for the period from June 13, 2016 to August
11, 2022.
On August 11, 2022, the closing level of the Index was 224.09.
The graph below illustrates the hypothetical back-tested composition
of the Selected Portfolio by Constituent, based on the target percentage weight of each Constituent included in the Selected Portfolio
as of the relevant Rebalancing Date, from January 1, 2006 to June 12, 2016. The historical composition of the Selected Portfolio, determined
in the same way, is shown for the period from June 13, 2016 to August 11, 2022. The graph does not indicate the percentage weight of the
Constituents in the Index, which would depend not only on the percentage weight in the Selected Portfolio but also on the degree of exposure
(between 0% and 100%) that the Index had
Citigroup Global Markets Holdings Inc. |
|
to the performance of the Selected Portfolio during the periods shown.
At any time when the exposure of the Index to the performance of the Selected Portfolio was less than 100%, the Index would have had a
hypothetical cash allocation (accruing no interest or other return, but subject to the index fee) to the extent of the difference between
the exposure and 100%. The hypothetical back-tested compositions of the Selected Portfolio shown below are subject to the significant
limitations on hypothetical back-tested Index information discussed above. The hypothetical back-tested and historical compositions alike
may not be indicative of the future compositions of the Selected Portfolio.
The following graph indicates the hypothetical back-tested rolling 21-Day
Realized Volatility and the exposure that the Index has to the performance of the Selected Portfolio at any time from January 1, 2006
to June 12, 2016. The historical rolling 21-Day Realized Volatility and the exposure are shown for the period from June 13, 2016 to August
11, 2022. The hypothetical back-tested 21-Day Realized Volatility and past exposure levels of the Index shown below are subject to the
significant limitations on hypothetical back-tested Index information discussed above. The hypothetical back-tested and historical data
alike may not be indicative of future volatility and exposure levels.
Citigroup Global Markets Holdings Inc. |
|
Comparative Information
The graph below depicts the hypothetical back-tested performance of
the Index for the period from January 1, 2006 to June 12, 2016 and historical Index performance for the period from June 13, 2016 to August
11, 2022. For information purposes, the graph also depicts the performance of an excess return version of the S&P 500 Index and an
excess return version of the Barclays U.S. Aggregate Bond Index (a bond index that is intended to track the total U.S. investment grade
bond market) since January 1, 2006. The excess return versions of each of the S&P 500 Index and the Barclays U.S. Aggregate Bond Index
have been calculated by the Index Administrator by subtracting from the published daily performance of the total return versions of each
a notional rate equal to 3-month U.S. dollar LIBOR as in effect as of the prior calendar month end.
The relationship between the performance of the Index and the performance
of the other indices shown in the graph above is not an indication of how the performance of the Index may compare to the performance
of these other indices in the future. By including performance information for these other indices, no suggestion is made that these are
the only alternative indices to which the hypothetical back-tested performance of the Index should be compared. You should independently
evaluate an investment linked to the Index as compared to other investments available to you. In particular, you should note that the
comparison in the graph above is against the “excess return” performance of the other indices, which reflects the performance
of a hypothetical investment in these other indices made with borrowed funds and thus bears a hypothetical interest cost. You should note
that an investment linked to these other indices that is not made with borrowed funds would not be reduced by any interest cost. Accordingly,
the performance of the other indices shown in the graph above is less than the performance that could be achieved by a fully funded direct
investment (i.e., an investment not made with borrowed funds) in these other indices (or a related index fund).
Using the same information
as the graph above, the table below shows the annualized (annually compounded) performance of the Index as compared to excess return versions
of the S&P 500 Index and the Barclays U.S. Aggregate Bond Index for the last year, for the last three years and for the last five
years.
|
Citi Dynamic Asset Selector 5 Excess Return Index |
S&P 500 Index (ER) |
Barclays U.S. Aggregate Bond Index (ER) |
Last 1 Year (since August 31, 2021) |
-8.4 |
-6.7% |
-11.3% |
Last 3 Years (since August 30, 2019) |
0.3% |
14.1% |
-2.2% |
Last 5 Years (since August 31, 2017) |
1.4% |
11.8% |
-0.5% |
Citigroup Global Markets Holdings Inc. |
|
United States Federal
Tax Considerations
In the opinion of our counsel,
Davis Polk & Wardwell LLP, the notes will be treated as “contingent payment debt instruments” for U.S. federal income
tax purposes, as described in the section of the accompanying index supplement called “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,” and the remaining discussion is based
on this treatment.
If you are a U.S. Holder (as defined
in the accompanying index supplement), you will be required to recognize interest income during the term of the notes at the “comparable
yield,” which generally is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of the notes,
including the level of subordination, term, timing of payments and general market conditions, but excluding any adjustments for the riskiness
of the contingencies or the liquidity of the notes. We are required to construct a “projected payment schedule” in respect
of the notes representing a series of payments the amount and timing of which would produce a yield to maturity on the notes equal to
the comparable yield. Assuming you hold the notes until their maturity, the amount of interest you include in income based on the comparable
yield in the taxable year in which the notes mature will be adjusted upward or downward to reflect the difference, if any, between the
actual and projected payment on the notes at maturity as determined under the projected payment schedule.
Upon the sale, exchange or retirement
of the notes prior to maturity, you generally will recognize gain or loss equal to the difference between the proceeds received and your
adjusted tax basis in the notes. Your adjusted tax basis will equal your purchase price for the notes, increased by interest previously
included in income on the notes and decreased by payments previously made under the projected payment schedule. Any gain generally will
be treated as ordinary income, and any loss generally will be treated as ordinary loss to the extent of prior interest inclusions on the
note and as capital loss thereafter.
We have determined that the comparable
yield for a note is a rate of 4.284%, compounded semi-annually, and that the projected payment schedule with respect to a note consists
of fixed payments of 1.00% per annum, paid annually, and a payment of $1,114.023 at maturity (including the fixed payment received at
maturity).
Neither the comparable yield
nor the projected payment schedule constitutes a representation by us regarding the actual amounts that we will pay on the notes.
Non-U.S. Holders. Subject
to the discussions below regarding Section 871(m) and in “United States Federal Tax Considerations—Tax Consequences to Non-U.S.
Holders” and “—FATCA” in the accompanying index supplement, if you are a Non-U.S. Holder (as defined in the accompanying
index supplement) of the notes, under current law you generally will not be subject to U.S. federal withholding or income tax in respect
of any payment on or any amount received on the sale, exchange or retirement of the notes, provided that (i) income in respect of the
notes 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. See “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the
accompanying index supplement for a more detailed discussion of the rules applicable to Non-U.S. Holders of the notes.
As discussed under “United
States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying index supplement, Section 871(m)
of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”) generally
impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities (“Underlying Securities”) or indices that include Underlying Securities. Section 871(m) generally
applies to instruments that substantially replicate the economic performance of one or more Underlying Securities, as determined based
on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an Internal Revenue Service (“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 notes and representations provided by us, our counsel is of the opinion that the notes should not be treated as transactions that
have a “delta” of one within the meaning of the regulations with respect to any Underlying Security and, therefore, should
not be subject to withholding tax under Section 871(m).
A determination that the notes
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 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 index 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.
Citigroup Global Markets Holdings Inc. |
|
Supplemental Plan
of Distribution
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 $25.00 for each note sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected
dealers, as described in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable
selling concession of up to $25.00 for each note they sell. For the avoidance of doubt, the fees and selling concessions described in
this pricing supplement will not be rebated if the notes are automatically redeemed prior to maturity.
See “Plan of Distribution” in each of the accompanying prospectus
supplement and prospectus for additional information.
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 “Summary 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 or Citigroup Inc.’s creditworthiness. These inputs may be market-observable
or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately three months following issuance of the
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 three-month temporary adjustment
period. However, CGMI is not obligated to buy the notes from investors at any time. See “Summary 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. |
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the notes 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 notes 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 notes.
Citigroup Global Markets Holdings Inc. |
|
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 notes nor the issuance and delivery
of the notes and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc. with the terms
of the notes 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 notes 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 notes 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 notes 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 notes 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.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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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