Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain
events may occur that could affect the amount of any variable coupon payment you receive and your payment at maturity. These events and
their consequences are described in the accompanying product supplement in the sections “Description of the Securities—Terms
Related to the Underlying Index—Discontinuance or Material Modification of the Underlying Index” and “Description of
the Securities—Terms Related to the Underlying Index—Consequences of a Market Disruption Event; Postponement of the Final
Valuation Date,” and not in this pricing supplement. In addition, the accompanying underlying supplement contains important disclosures
regarding the underlying indices that are not repeated in this pricing supplement. It is important that you read the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement before deciding whether
to invest in the securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Although the accompanying product supplement contemplates only a single
underlying index, the securities are linked to three underlying indices. Each of the provisions in the accompanying product supplement
referring to the underlying index shall apply separately to each of the underlying indices to which the securities are linked. For provisions
related to the SOFR CMS rates, see “Additional Terms of the Securities” in this pricing supplement.
Postponement of the final valuation date. If the scheduled final
valuation date is not a scheduled trading day for any underlying index or if a market disruption event occurs with respect to any underlying
index on the scheduled final valuation date, the final valuation date will be subject to postponement as described in the accompanying
product supplement in the section “Description of the Securities—Terms Related to the Underlying Index—Consequences
of a Market Disruption Event; Postponement of the Final Valuation Date.” If the scheduled final valuation date is postponed, the
closing level of each underlying index in respect of the final valuation date will be determined based on (i) for any underlying index
for which the originally scheduled final valuation date is a scheduled trading day and as to which a market disruption event does not
occur on the originally scheduled final valuation date, the closing level of such underlying index on the originally scheduled final valuation
date and (ii) for any other underlying index, the closing level of such underlying index on the final valuation date as postponed (or,
if earlier, the first scheduled trading day for such underlying index following the originally scheduled final valuation date on which
a market disruption event did not occur with respect to such underlying index).
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Hypothetical Examples
Variable Coupon Payments
The following table presents examples
of hypothetical variable coupon payments after the second year following issuance of the securities based on the number of accrual days
in a particular accrual period. For illustrative purposes only, the table assumes an accrual period that contains 90 elapsed days. Your
actual coupon payments for any coupon payment date after the second year will depend on the actual number of elapsed days during the relevant
accrual period and the actual SOFR CMS spread and closing levels of the underlying indices on each elapsed day. The applicable variable
coupon rate for each accrual period will be determined on a per annum basis but will apply only to that accrual period.
Hypothetical Number of Accrual Days in Accrual Period* |
Hypothetical Variable Coupon Rate (per Annum)** |
Hypothetical Variable Coupon Payment per Security*** |
0 |
0.000% |
$0.000 |
1 |
0.111% |
$0.278 |
10 |
1.111% |
$2.778 |
15 |
1.667% |
$4.167 |
20 |
2.222% |
$5.556 |
25 |
2.778% |
$6.944 |
30 |
3.333% |
$8.333 |
35 |
3.889% |
$9.722 |
40 |
4.444% |
$11.111 |
45 |
5.000% |
$12.500 |
50 |
5.556% |
$13.889 |
55 |
6.111% |
$15.278 |
60 |
6.667% |
$16.667 |
65 |
7.222% |
$18.056 |
70 |
7.778% |
$19.444 |
75 |
8.333% |
$20.833 |
80 |
8.889% |
$22.222 |
85 |
9.444% |
$23.611 |
90 |
10.000% |
$25.000 |
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* An accrual day is an elapsed day on which the accrual
condition is satisfied (i.e., on which the SOFR CMS spread is greater than or equal to the SOFR CMS spread barrier and the closing level
of each underlying index is greater than or equal to its accrual barrier level)
** The hypothetical variable coupon rate per annum is
equal to (i) the contingent rate of 10.00% per annum multiplied by (ii) (a) the hypothetical number of accrual days in the related
accrual period, divided by (b) 90
*** The hypothetical variable coupon payment per security
is equal to (i) $1,000 multiplied by the hypothetical variable coupon rate per annum, multiplied by (ii) day count fraction
The following four examples illustrate the calculation of
the variable coupon rate for a given accrual period based on different hypothetical SOFR CMS spread values and underlying index levels.
For illustrative purposes only, the examples assume an accrual period that contains 90 elapsed days. Your actual variable coupon payments
will depend on the actual number of elapsed days during the relevant accrual period and the actual SOFR CMS spread and closing levels
of the underlying indices on each elapsed day. The applicable variable coupon rate for each accrual period will be determined on a per
annum basis but will apply only to that accrual period.
Example 1
The SOFR CMS spread is greater than or equal to the SOFR CMS
spread barrier and the closing level of each underlying index is greater than its accrual barrier level for each elapsed
day during the entire accrual period. Because the accrual condition is therefore satisfied for each elapsed day during the entire accrual
period, the hypothetical variable coupon rate would be 10.00% per annum for that accrual period.
Example 2
The closing level of one of the underlying indices is less
than its accrual barrier level for each elapsed day during the entire accrual period and the SOFR CMS spread is greater than or equal
to the SOFR CMS spread barrier for each elapsed day during the entire accrual
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period. Because the accrual condition is not satisfied on
any elapsed day during the accrual period, the hypothetical variable coupon rate would be 0.00% per annum for that accrual period.
Example 3
The closing level of each underlying index is greater than
its accrual barrier level for each elapsed day during the entire accrual period but the SOFR CMS spread is less than the SOFR CMS
spread barrier for each elapsed day during the entire accrual period. Because the accrual condition is not satisfied on any elapsed day
during the accrual period, the hypothetical variable coupon rate would be 0.00% per annum for that accrual period.
Example 4
The closing level of each underlying index is greater than
its accrual barrier level for 45 elapsed days during the hypothetical 90-day accrual period and the SOFR CMS spread is greater
than or equal to the SOFR CMS spread barrier for each elapsed day during the entire accrual period. Because the accrual condition is only
satisfied for half of the accrual period, the hypothetical variable coupon rate for that accrual period would be 5.000% per annum.
Payment at Maturity
The diagram below illustrates your payment at maturity for a range of
hypothetical index returns of the worst performing underlying index (excluding the final coupon payment, if any, and assuming we do not
redeem the securities prior to maturity).
Callable Range Accrual Securities
Payment at Maturity Diagram |
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Your actual payment at maturity per security, excluding the final coupon
payment, if any, will depend on the actual initial index level, the actual final barrier level and the actual final index level of the
worst performing underlying index. The examples below are intended to illustrate how your payment at maturity will depend on whether the
final index level of the worst performing underlying index is greater than or less than its final barrier level and, if less, how much
less. 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 securities will be.
The examples below are based on hypothetical initial index levels of
100 and hypothetical final barrier levels of 55 and do not reflect the actual initial index levels or final barrier levels. For the actual
initial index levels and final barrier levels, see the cover page of this pricing supplement. We have used these hypothetical levels,
rather than the actual levels, to simplify the calculations and aid understanding of how the securities work. However, you should understand
that the actual payment at maturity on the securities will be calculated based on the actual initial index levels and final barrier levels,
and not these hypothetical levels.
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Example 1—Par Scenario A.
Underlying Index |
Hypothetical Initial Index Level |
Hypothetical Final Barrier Level |
Hypothetical Final Index Level |
Hypothetical Index Return |
EURO STOXX® Banks Index |
100 |
55 |
110 |
10% |
Dow Jones Industrial AverageTM |
100 |
55 |
120 |
20% |
S&P 500® Index |
100 |
55 |
130 |
30% |
In this example, the EURO STOXX® Banks Index is the worst
performing underlying index. Its hypothetical final index level is 110 (a 10% increase from its hypothetical initial index level), which
is greater than its hypothetical final barrier level.
Payment at maturity per security = $1,000 (excluding the final coupon
payment, if any)
Because the final index level of the worst performing underlying index
is greater than its final barrier level, you would be repaid the stated principal amount of your securities in this example. Even though
all of the underlying indices have appreciated from their respective initial index levels in this example, you would not participate in
the appreciation of any underlying index.
Example 2—Par Scenario B.
Underlying Index |
Hypothetical Initial Index Level |
Hypothetical Final Barrier Level |
Hypothetical Final Index Level |
Hypothetical Index Return |
EURO STOXX® Banks Index |
100 |
55 |
90 |
-10% |
Dow Jones Industrial AverageTM |
100 |
55 |
120 |
20% |
S&P 500® Index |
100 |
55 |
80 |
-20% |
In this example, the S&P 500® Index is the worst
performing underlying index. Its hypothetical final index level is 80 (a 20% decrease from its hypothetical initial index level), which
is greater than its hypothetical final barrier level.
Payment at maturity per security = $1,000 (excluding the final coupon
payment, if any)
Because the worst performing underlying index did not depreciate from
its hypothetical initial index level to its hypothetical final index level by more than 45% (that is, it did not depreciate below its
hypothetical final barrier level), your payment at maturity in this scenario would be equal to the $1,000 stated principal amount per
security (excluding the final coupon payment, if any).
Example 3—Downside Scenario.
Underlying Index |
Hypothetical Initial Index Level |
Hypothetical Final Barrier Level |
Hypothetical Final Index Level |
Hypothetical Index Return |
EURO STOXX® Banks Index |
100 |
55 |
50 |
-50% |
Dow Jones Industrial AverageTM |
100 |
55 |
30 |
-70% |
S&P 500® Index |
100 |
55 |
60 |
-40% |
In this example, the Dow Jones Industrial AverageTM is the
worst performing underlying index. Its hypothetical final index level is 30 (a 70% decrease from its hypothetical initial index level),
which is less than its hypothetical final barrier level. As a result, your payment at maturity (excluding the final coupon payment, if
any) would be calculated as follows:
Payment at maturity per security = $1,000 + ($1,000 × the index
return of the worst performing underlying index)
= $1,000 + ($1,000 × -70%)
= $1,000 + -$700
= $300
Because the worst performing underlying index depreciated from its hypothetical
initial index level to its hypothetical final index level by more than 45% (that is, it depreciated below its hypothetical final barrier
level), your payment at maturity in this scenario would reflect 1-to-1 exposure to the negative performance of the worst performing underlying
index from its initial index level to its final index level.
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Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with SOFR CMS30, SOFR CMS2 and each of the underlying indices. Accordingly, the securities are
suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult your own
financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities in light of
your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
| § | You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount
of principal at maturity. Instead, your payment at maturity will depend on the performance of the worst performing underlying index. If
we do not redeem the securities prior to maturity, you may receive significantly less than the stated principal amount of the securities
at maturity, but in no circumstance will you receive more than the stated principal amount of the securities (excluding the final coupon
payment, if any). If the final index level of the worst performing underlying index is less than its final barrier level, you will lose
1% of the stated principal amount of the securities for every 1% by which the final index level of the worst performing underlying index
is less than its initial index level. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment. |
| § | The barrier feature of the securities exposes you to particular risks. If the final index level of the worst performing underlying
index is less than its final barrier level, you will not be repaid the stated principal amount of your securities at maturity and instead
will lose 1% of the stated principal amount of the securities for every 1% by which the final index level of the worst performing underlying
index is less than its initial index level. Therefore, the securities offer no protection at all if the worst performing underlying index
depreciates by more than 45% from its initial index level to its final index level. As a result, you may lose your entire investment in
the securities. |
| § | The securities offer a variable coupon rate after the second year following issuance, and you may not receive any coupon payment
on one or more coupon payment dates. Any variable coupon payment you receive will be paid at a per annum rate equal to the contingent
rate for the applicable coupon payment date only if the accrual condition is satisfied on each elapsed day during the related
accrual period. The accrual condition will be satisfied on any elapsed day only if (i) the SOFR CMS spread is greater than or equal
to the SOFR CMS spread barrier on that elapsed day and (ii) the closing level of each underlying index on that elapsed day
is greater than or equal to its accrual barrier level. If, on any elapsed day during an accrual period, the accrual condition is not satisfied,
the applicable variable coupon payment will be paid at a rate that is less, and possibly significantly less, than the contingent rate.
If, on each elapsed day during an accrual period, the accrual condition is not satisfied, no variable coupon payment will be made on the
related coupon payment date. Accordingly, there can be no assurance that you will receive a variable coupon payment on any coupon payment
date or that any variable coupon payment you do receive will be calculated at the full contingent rate. Thus, the securities are not a
suitable investment for investors who require regular fixed income payments. |
| § | The higher potential yield offered by the securities is associated with greater risk than conventional debt securities. The
securities offer coupon payments with the potential to result in a higher yield than the yield on our conventional debt securities of
the same maturity. You should understand that, in exchange for this potentially higher yield, you will be exposed to significantly greater
risks than investors in our conventional debt securities (guaranteed by Citigroup Inc.). These risks include the risk that the variable
coupon payments you receive, if any, will result in a yield on the securities that is lower, and perhaps significantly lower, than the
yield on our conventional debt securities of the same maturity that are guaranteed by Citigroup Inc., and the risk that you will incur
a significant loss on the securities at maturity. The volatility of the SOFR CMS spread and each of the underlying indices, and the
correlation between the underlying indices and between the SOFR CMS spread and each underlying index, are important factors affecting
this risk. Greater expected volatility and/or lower expected correlation as of the pricing date may contribute to the higher yield potential,
but would also represent a greater expected likelihood as of the pricing date that, after the second year, you will receive low or no
coupon payments on the securities and that you would incur a significant loss on the securities at maturity. |
| § | The securities are subject to risks associated with the SOFR CMS spread
and each of the underlying indices and may be negatively affected by adverse movements in any one of these variables, regardless
of the performance of the others. The amount of any variable coupon payments you receive will depend on the performance of the SOFR
CMS spread and each of the underlying indices. If the SOFR CMS spread is less than the SOFR CMS spread barrier, the securities will pay
no coupon even if the closing levels of the underlying indices are consistently greater than their respective accrual barrier levels.
Conversely, even if the SOFR CMS spread is consistently greater than or equal to the SOFR CMS spread barrier, the securities will pay
no coupon if the closing level of any of the underlying indices is less than its accrual barrier level. Moreover, if the closing
level of any one of the underlying indices is less than its accrual barrier level, the accrual condition will not be satisfied, and no
interest will accrue on the securities, even if the closing level of the other underlying index is significantly greater than its accrual
barrier level. Accordingly, you will be subject to risks associated with the SOFR CMS spread and each of the underlying indices, and your
return on the securities will depend significantly on the relationship between such risks over the term of the securities. If any one
performs sufficiently poorly, you |
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may receive low or no variable coupon payments
for an extended period of time, or even throughout the entire period following the second year of
the term of the securities, even if the others perform favorably. Furthermore, if the final index level of one underlying index
is less than its final barrier level, you will incur a significant loss at maturity, even if the final index level of the other underlying
index is greater than its final barrier level.
| § | The accrual condition and the payment at maturity depend on multiple variables,
and you are therefore exposed to greater risks of receiving no variable coupon payments after the second year, and to a greater risk of
loss at maturity, than if the securities were linked to just one variable. The risk that you will receive no variable coupon payment
on one or more coupon payment dates after the second year, and the risk that you will incur a significant loss at maturity, is greater
if you invest in the securities as opposed to substantially similar securities that are linked to the performance of just one variable.
With multiple variables, it is more likely that the accrual condition will not be satisfied on any day during an accrual period, or that
you will not be repaid the stated principal amount of your securities at maturity, than if payments on the securities were contingent
on only one variable. |
| § | The securities will be subject to risks associated with the SOFR CMS spread.
If the SOFR CMS spread is less than the SOFR CMS spread barrier on any elapsed day, no interest will accrue on the securities on that
elapsed day. If the SOFR CMS spread is less than the SOFR CMS spread barrier on each elapsed day during an accrual period, the accrual
condition will not be satisfied on any elapsed day during that accrual period, and you will receive no coupon payment on the related coupon
payment date. |
The accrual condition will not depend on
the absolute level of either SOFR CMS30 or SOFR CMS2, but rather on the relationship between SOFR CMS30 and SOFR CMS2—specifically,
whether SOFR CMS30 is not less than SOFR CMS2 by more than 0.25%. Many factors affect SOFR CMS30 and SOFR CMS2, such that future values
of SOFR CMS30 and SOFR CMS2 and their relationship are impossible to predict. If SOFR CMS30 is consistently less than SOFR CMS2 by more
than 0.25%, the SOFR CMS spread will be less than the SOFR CMS spread barrier and no interest will accrue on the securities.
Although there is no single factor that
determines the SOFR CMS spread, the spread between longer- and shorter-term interest rates has historically tended to fall when short-term
interest rates rise. As with USD SOFR ICE swap rates, short-term interest rates are influenced by many complex factors, and it is impossible
to predict their future performance. However, historically short-term interest rates have been highly sensitive to the monetary policy
of the Federal Reserve Board. Accordingly, one significant risk assumed by investors in the securities is that the Federal Reserve Board
may pursue a policy of raising short-term interest rates, which, if historical patterns hold, would lead to a decrease in the SOFR CMS
spread, possibly to a level that is below the SOFR CMS spread barrier. It is important to understand that, although the policies of the
Federal Reserve Board have historically had a significant influence on short-term interest rates, short-term interest rates are affected
by many factors and may increase even in the absence of a Federal Reserve Board policy to increase short-term interest rates. Furthermore,
it is important to understand that the SOFR CMS spread may decrease even in the absence of an increase in short-term interest rates because
it, too, is influenced by many complex factors. Another circumstance when the spread between longer- and shorter-term interest rates has
historically tended to fall and become negative is when the market expects an economic recession. Accordingly, another significant risk
assumed by investors in the securities is that the market may anticipate a recession or that there may be a recession.
| § | The securities may be called for mandatory redemption at our option after
the first year of their term, which limits your ability to receive coupon payments. In determining whether to redeem the securities,
we will consider various factors, including then current market interest rates and our expectations about payments we will be required
to make on the securities in the future. If we call the securities for mandatory redemption, we will do so at a time that is advantageous
to us and without regard to your interests. We are more likely to redeem the securities at a time when the SOFR CMS spread and underlying
indices are performing favorably from your perspective and when we expect them to continue to do so. Therefore, although the securities
offer coupon payments with the potential to result in a higher yield than the yield on our conventional debt securities of the same maturity,
if the securities are paying that higher yield and we expect them to continue to do so, it is more likely that we would redeem the securities.
Accordingly, the redemption feature of the securities is likely to limit the benefits you receive from the coupon payments. If we exercise
our redemption right prior to maturity, you may not be able to reinvest your funds in another investment that provides a similar yield
with a similar level of risk. Alternatively, if the SOFR CMS spread and/or any underlying index is performing unfavorably from your perspective
or when we expect it to do so in the future, we are less likely to call the securities, so that you may continue to hold securities paying
below-market or no interest for an extended period of time. |
| § | The SOFR CMS rates and the closing levels of the underlying indices will not be observed on certain days and will be assumed to
be the same as on earlier days, which will cause certain days to have a greater weight in determining the variable coupon rate. With
respect to an elapsed day on which a SOFR CMS rate or the closing level of any underlying index is not available, the applicable SOFR
CMS rate or closing level of the underlying indices for that day, as applicable, will be deemed to be the same as on the immediately preceding
elapsed day on which the rate or level, as applicable, is available. In addition, for all elapsed days from and including the fourth-to-last
day that is a scheduled trading day for each underlying index in an accrual period to and including the last elapsed day of that accrual
period, the SOFR CMS rates and the closing levels of the underlying indices will not be observed and will be assumed to be the same as
on the elapsed day immediately preceding such unobserved days. The relative weighting of the applicable preceding elapsed day will be
magnified for purposes of determining whether such elapsed day qualifies as an accrual day. Under these circumstances, if the applicable
preceding elapsed day is not an accrual day, each successive day on which the SOFR CMS rates or the closing level of that underlying index,
as applicable, is not observed will also not qualify as an accrual day. As a result, to the extent that such preceding elapsed day is
not an accrual day, such preceding elapsed day will have a greater weight in determining the number of accrual days during an accrual
period. This could adversely affect the amount of any variable coupon payment. |
| § | The return on the securities will be limited. The return on the securities will be limited to the sum of your coupon payments,
even if the closing level of any underlying index greatly exceeds its initial index level at one or more times during the term of the
securities. |
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The maximum possible return on the securities
after the second year is equal to the contingent rate per annum, which would be achieved only if (i) the SOFR CMS spread is greater than
or equal to the SOFR CMS spread barrier on each elapsed day during the term of the securities, (ii) the closing level of each underlying
index is greater than or equal to its accrual barrier level on each elapsed day during the term of the securities after the second year
and (iii) the final index level of the worst performing underlying index is greater than or equal to its final barrier level. Although
you will bear the downside risk relating to the worst performing underlying index if the worst performing underlying index depreciates
below its final barrier level on the final valuation date, you will not receive the dividend yield on, or share in any appreciation of,
any underlying index over the term of the securities.
| § | You may not be adequately compensated for assuming the downside risks of the underlying indices. The fixed coupon payments
during the two years following issuance of the securities and the variable coupon payments you receive on the securities, if any, after
the second year are the compensation you receive for assuming the downside risks of the underlying indices, as well as all the other risks
of the securities. That compensation is effectively “at risk” and may, therefore, be less than you currently anticipate. First,
the actual yield you realize on the securities could be lower than you anticipate because the coupon payments after the second year are
variable and you may not receive any variable coupon payment after the second year. Second, the fixed coupon payments during the first
two years following issuance of the securities and the variable coupon payments, if any, after the second year are the compensation you
receive not only for assuming the downside risk of the underlying indices, but also for all of the other risks of the securities, including
interest rate risk, the risk that we may call the securities and our and Citigroup Inc.’s credit risk. If those other risks increase
or are otherwise greater than you currently anticipate, the coupon payments may turn out to be inadequate to compensate you for all the
risks of the securities, including the downside risk of the underlying indices. |
| § | Your payment at maturity depends on the closing level of the worst performing underlying index on a single day. Because your
payment at maturity (assuming we do not redeem the securities prior to maturity) depends on the closing level of the worst performing
underlying index solely on the final valuation date, you are subject to the risk that the closing level of the worst performing underlying
index on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of the securities. If
you had invested in another instrument linked to the worst performing underlying 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 worst performing underlying index, you might have
achieved better returns. |
| § | The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities. |
| § | The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity. |
| § | The securities may be riskier than securities with a shorter term. The securities have a relatively long term to maturity,
subject to our right to call the securities for mandatory redemption prior to maturity. By purchasing securities with a longer term, you
are more exposed to fluctuations in market interest rates and equity markets than if you purchased securities with a shorter term. Specifically,
you will be negatively affected if the SOFR CMS spread is less than the SOFR CMS spread barrier or if the closing level of any underlying
index falls below its accrual barrier level on an elapsed day. If either (i) the SOFR CMS spread is less than the SOFR CMS spread barrier
or (ii) the closing level of any of the underlying indices is less than its accrual barrier level on each day during an entire accrual
period, you will be holding a long-dated security that does not pay any coupon for such accrual period. |
| § | The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, will be less than the issue price. The difference is attributable to certain costs associated with selling, structuring and
hedging the securities that are included in the issue price. These costs include (i) the selling concessions paid in connection with the
offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the securities
and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging
our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they were lower, the
economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely to be adversely
affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See “The estimated
value of the securities would be lower if it were calculated based on our secondary market rate” below. |
| § | The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of the underlying indices and the SOFR CMS spread,
the correlation among the underlying indices and the SOFR CMS spread, dividend yields on the stocks that constitute the underlying indices
and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering,
CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an
accurate reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the cover page of |
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this pricing supplement may differ from
the value that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should
not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to
maturity irrespective of the initial estimated value.
| § | The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs
associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not the same as the coupon that is payable on the securities. |
Because there is not an active market for
traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of
traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the
securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted
for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
| § | The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price. |
| § | The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the level and volatility of the underlying indices and the SOFR CMS spread and a number of other
factors, including the dividend yields on the stocks that constitute the underlying indices, expectations of future values of the SOFR
CMS spread, interest rates generally, the positive or negative correlation among the SOFR CMS spread and the underlying indices, the time
remaining to maturity of the securities and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate.
Changes in the levels of the SOFR CMS spread and/or the underlying indices may not result in a comparable change in the value of your
securities. You should understand that the value of your securities at any time prior to maturity may be significantly less than the issue
price. |
| § | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement. |
| § | The EURO STOXX® Banks Index is subject to risks associated with non-U.S. markets. Investments linked to the
value of non-U.S. stocks involve risks associated with the securities markets in those countries, including risks of volatility in those
markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there is generally
less publicly available information about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting
requirements of the SEC. Further, non-U.S. companies are generally subject to accounting, auditing and financial reporting standards and
requirements and securities trading rules that are different from those applicable to U.S. reporting companies. The prices of securities
in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including
changes in government, economic and fiscal policies and currency exchange laws. Moreover, the economies in such countries may differ favorably
or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation, capital
reinvestment, resources and self-sufficiency. |
| § | The performance of the EURO STOXX® Banks Index will not be adjusted for changes in the exchange rate between the
euro and the U.S. dollar. The closing level of the EURO STOXX® Banks Index is calculated in euro, the value of which
may be subject to a high degree of fluctuation relative to the U.S. dollar. However, the performance of the EURO STOXX®
Banks Index and the value of your securities will not be adjusted for exchange rate fluctuations. If the euro appreciates relative to
the U.S. dollar over the term of the securities, the performance of the EURO STOXX® Banks Index as measured for purposes
of the securities will be less than it would have been if it offered exposure to that appreciation in addition to the change in the prices
of the stocks included in the EURO STOXX® Banks Index. |
| § | The EURO STOXX® Banks Index is subject to concentrated risks associated with the banking industry. All or substantially
all of the equity securities included in the EURO STOXX® Banks Index are issued by companies whose primary line of business
is directly associated with the banking industry. As a result, the value of the securities may be subject to greater volatility and be
more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked
to securities of |
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a more broadly diversified group of issues.
The performance of bank stocks may be affected by extensive governmental regulation, which may limit both the amounts and types of loans
and other financial commitments they can make, the interest rates and fees they can charge and the amount of capital they must maintain.
Profitability is largely dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change.
Credit losses resulting from financial difficulties of borrowers can negatively impact banking companies. Banks may also be subject to
severe price competition. Competition among banking companies is high and failure to maintain or increase market share may result in lost
market share. The factors could affect the banking industry and could affect the value of the equity securities included in the EURO STOXX®
Banks Index during the term of the securities, which may adversely affect the value of your securities.
| § | The relationship between SOFR CMS30 and SOFR CMS2 may be different than the relationship between USD SOFR ICE swap rates of different
maturities. The accrual condition may be less likely to be satisfied than it would be if it were based on a USD SOFR ICE swap rates
with a longer maturity than 30 years or a shorter maturity than 2 years. |
| § | SOFR CMS30 and SOFR CMS2 will be affected by a number of factors and may be highly volatile. SOFR CMS30 and SOFR CMS2 are influenced
by many factors, including: |
| · | the monetary policies of the Federal Reserve Board; |
| · | current market expectations about future interest rates; |
| · | current market expectations about inflation; |
| · | the volatility of the foreign exchange markets; |
| · | the availability of relevant hedging instruments; |
| · | supply and demand for overnight U.S. Treasury repurchase agreements; and |
| · | general credit and economic conditions in global markets, and particularly
in the United States. |
As a result of these factors, SOFR CMS30
and SOFR CMS2 may be highly volatile. Because SOFR CMS30 and SOFR CMS2 are market rates and are influenced by many factors, it is impossible
to predict the future values of SOFR CMS30 and SOFR CMS2.
The SOFR CMS spread will be influenced
by a number of complex economic factors, including those that affect CMS rates generally. However, the SOFR CMS spread depends not on
how the relevant economic factors affect any one USD SOFR ICE swap rate or even USD SOFR ICE swap rates generally, but rather on how those
factors affect USD SOFR ICE swap rates of different maturities (i.e., SOFR CMS30 and SOFR CMS2) differently.
| § | The USD SOFR ICE swap rates and SOFR have limited histories and future
performance cannot be predicted based on historical performance. The publication of the USD SOFR ICE swap rates began in November
2021, and, therefore, have a limited history. ICE Benchmark Administration Limited (“IBA”) launched the USD SOFR ICE swap
rates for use as a reference rate for financial instruments in order to aid the market’s transition to SOFR and away from LIBOR.
However, the composition and characteristics of SOFR differ from those of LIBOR in material respects, and the historical performance of
LIBOR and the USD LIBOR-based swap rates will have no bearing on the performance of SOFR or the USD SOFR ICE swap rates. In addition,
the publication of SOFR began in April 2018, and, therefore, it has a limited history. The future performance of the USD SOFR ICE swap
rates and SOFR cannot be predicted based on the limited historical performance. The levels of USD SOFR ICE swap rates and SOFR during
the term of the securities may bear little or no relation to the historical actual or historical indicative data. Prior observed patterns,
if any, in the behavior of market variables and their relation to USD SOFR ICE swap rates and SOFR, such as correlations, may change in
the future. While some pre-publication historical data for SOFR has been released by the Federal Reserve Bank of New York (the “NY
Federal Reserve”), production of such historical indicative SOFR data inherently involves assumptions, estimates and approximations.
No future performance of USD SOFR ICE swap rates or SOFR may be inferred from any of the historical actual or historical indicative SOFR
data. Hypothetical or historical performance data are not indicative of, and have no bearing on, the potential performance of USD SOFR
ICE swap rates or SOFR. Changes in the levels of SOFR will affect USD SOFR ICE swap rates and, therefore, the return on the securities
and the value of the securities, but it is impossible to predict whether such levels will rise or fall. |
| § | A lack of input data may impact IBA’s ability to calculate and publish
the USD SOFR ICE swap rates. The input data for the USD SOFR ICE swap rates is based on swaps referencing SOFR as the floating leg.
The USD SOFR ICE swap rates are dependent on receiving sufficient eligible input data, from the trading venue sources identified by IBA
in accordance with the “Waterfall” methodology for each USD SOFR ICE swap rate. The ability of the applicable trading venues
to provide sufficient eligible input data in accordance with the Waterfall methodology depends on, among other things, there being a liquid
market in swap contracts referencing SOFR on such trading venues, which in turn depends, among other things, on there being a liquid market
in loans, floating rate notes and other financial contracts referencing SOFR. Because SOFR’s use as a reference rate for financial
contracts began relatively recently and the related market for SOFR-based swaps is relatively new, there is limited information on which
to assess potential future liquidity in SOFR-based swap markets or in the market for SOFR-based financial contracts more generally. If
the market for SOFR-based swap contracts is not sufficiently liquid, or if the liquidity in such market proves to be volatile, this could
result in the inability of IBA to calculate a USD SOFR ICE swap rate, which could adversely affect the return on and value of the securities
and the price at which you are able to sell the securities in the secondary market, if any. In addition, if SOFR does not maintain market
acceptance for use as a reference rate for U.S. dollar denominated financial contracts, uncertainty about SOFR may adversely affect the
return on and the value of the securities. |
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| § | The USD SOFR ICE swap rates may be determined by the calculation agent
in good faith using its reasonable judgment. If, on any SOFR CMS spread determination date, a USD SOFR ICE swap rate is not published
(subject to a discontinuance as described below), then the applicable USD SOFR ICE swap rate on that day will be determined by the calculation
agent in good faith and using its reasonable judgment. A USD SOFR ICE swap rate determined in this manner and used in the determination
of any amounts payable on the securities may be different from the USD SOFR ICE swap rate that would have been published by the administrator
of the USD SOFR ICE swap rate. |
| § | The manner in which USD SOFR ICE swap rates are calculated may change in
the future. The method by which USD SOFR ICE swap rates are calculated may change in the future, as a result of governmental actions,
actions by the publisher of USD SOFR ICE swap rates or otherwise. We cannot predict whether the method by which USD SOFR ICE swap rates
are calculated will change or what the impact of any such change might be. Any such change could affect USD SOFR ICE swap rates in a way
that has a significant adverse effect on the securities. |
| § | Our offering of the securities is not a recommendation of the SOFR CMS
spread or the underlying indices. The fact that we are offering the securities does not mean that we believe that investing in an
instrument linked to the SOFR CMS spread and the underlying indices is likely to achieve favorable returns. In fact, as we are part of
a global financial institution, our affiliates may have positions (including short positions) in the stocks that constitute the underlying
indices or in instruments related to the SOFR CMS spread or the underlying indices or such stocks, and may publish research or express
opinions, that in each case are inconsistent with an investment linked to the SOFR CMS spread and the underlying indices. These and other
activities of our affiliates may affect the SOFR CMS spread or the levels of the underlying indices in a way that has a negative impact
on your interests as a holder of the securities. |
| § | Investing in the securities is not equivalent to investing in any underlying
index or the stocks that constitute any underlying index. You will not have voting rights, rights to receive dividends or other distributions
or any other rights with respect to the stocks that constitute any underlying index. You will not participate in any appreciation of any
underlying index over the term of the securities. |
| § | Adjustments to any underlying index may affect the value of your securities.
The sponsors of the underlying indices may add, delete or substitute the stocks that constitute the underlying indices or make other
methodological changes that could affect the levels of the underlying indices. The sponsors of the underlying indices may discontinue
or suspend calculation or publication of the underlying indices at any time without regard to your interests as a holder of the securities. |
| § | USD SOFR ICE swap rates and the levels of the underlying indices may be
adversely affected by our or our affiliates’ hedging and other trading activities. We expect to hedge our obligations under
the securities through CGMI or other of our affiliates, who may take positions directly in the interest rate swaps that are used to determine
USD SOFR ICE swap rates and/or in stocks that constitute the underlying indices and other financial instruments related to such interest
rate swaps, the underlying indices or such stocks and may adjust such positions during the term of the securities. Our affiliates also
trade the interest rate swaps that are used to determine USD SOFR ICE swap rates and the stocks that constitute the underlying indices
and other financial instruments related to such interest rate swaps, the underlying indices or such stocks on a regular basis (taking
long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf
of customers. These activities could affect USD SOFR ICE swap rates and/or the levels of the underlying indices in a way that negatively
affects the value of the securities. They could also result in substantial returns for us or our affiliates while the value of the securities
declines. |
| § | We and our affiliates may have economic interests that are adverse to yours
as a result of our affiliates’ business activities. Our affiliates may currently or from time to time engage in business with
the issuers of the stocks that constitute the underlying indices, including extending loans to, making equity investments in or providing
advisory services to such issuers. In the course of this business, we or our affiliates may acquire non-public information about such
issuers, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise
any remedies against such issuer that are available to them without regard to your interests. |
| § | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur, such as market disruption events or the discontinuance of an underlying index or a USD SOFR ICE swap rate, CGMI,
as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities.
Any of these determinations made by Citibank, N.A. in its capacity as calculation agent may adversely affect any variable interest payment
owed to you under the securities or the amount paid to you at maturity. |
| § | The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment of the securities as described in “United States Federal Tax Considerations” below. If the IRS
were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the
securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the securities, possibly retroactively. |
Non-U.S. investors should note that persons
having withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You
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should also consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any state,
local or non-U.S. taxing jurisdiction.
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Additional Terms of the Securities
Determination of a USD SOFR ICE
Swap Rate
A USD SOFR ICE swap rate of a given maturity on any date of determination
is the swap rate for a fixed-for-floating U.S. Dollar SOFR-linked interest rate swap transaction with that maturity as published by the
administrator of the USD SOFR ICE swap rate as of 11:00 a.m. (New York City time) on that date of determination. If the applicable USD
SOFR ICE swap rate is not published on any U.S. government securities business day on which such rate is required (subject to “—Discontinuance
of a USD SOFR ICE Swap Rate” below), then the applicable USD SOFR ICE swap rate for that date will be determined by the calculation
agent in good faith and using its reasonable judgment.
In a fixed-for-floating U.S. Dollar SOFR-linked interest rate swap transaction,
one party pays a fixed rate (the “swap rate”) and the other pays a floating rate based on the secured overnight financing
rate (“SOFR”) compounded in arrears for twelve months using standard market conventions. SOFR is intended to be a broad measure
of the cost of borrowing cash overnight collateralized by Treasury securities. For more information about SOFR, see “About SOFR”
in this pricing supplement.
IBA is the current administrator of the USD SOFR ICE swap rate. According
to publicly available information (which we have not independently verified), IBA currently determines the USD SOFR ICE swap rate based
on a “waterfall” methodology using eligible input data in respect of SOFR-linked interest rate swaps. The first level of the
waterfall (“Level 1”) uses eligible, executable prices and volumes provided by regulated, electronic, trading venues. If these
trading venues do not provide sufficient eligible input data to calculate a rate in accordance with Level 1 of the methodology, then the
second level of the waterfall (“Level 2”) uses eligible dealer to client prices and volumes displayed electronically by trading
venues. If there is insufficient eligible input data to calculate a rate in accordance with Level 2 of the waterfall, then the third level
of the waterfall (“Level 3”) uses movement interpolation, where possible for applicable tenors, to calculate a rate. Where
it is not possible to calculate a USD SOFR ICE swap rate at Level 1, Level 2 or Level 3 of the waterfall on a given date, then the USD
SOFR ICE swap rate will not be published for that date.
A “U.S. government securities business day” means any day
that is not a Saturday, a Sunday or a day on which The Securities Industry and Financial Markets Association’s U.S. holiday schedule
recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities.
Discontinuance of a USD SOFR ICE
Swap Rate
If the calculation and publication of a USD SOFR ICE
swap rate is permanently canceled, then the calculation agent may identify an alternative rate that it determines, in its sole discretion,
represents the same or a substantially similar measure or benchmark as the applicable USD SOFR ICE swap rate, and the calculation agent
may deem that rate (the “successor rate”) to be the applicable USD SOFR ICE swap rate. Upon the selection of any successor
rate by the calculation agent pursuant to this paragraph, references in this pricing supplement to the original USD SOFR ICE swap rate
will no longer be deemed to refer to the original USD SOFR ICE swap rate and will be deemed instead to refer to that successor rate for
all purposes. In such event, the calculation agent will make such adjustments, if any, to any value of the applicable USD SOFR ICE swap
rate that is used for purposes of the securities and to any other terms of the securities as it determines are appropriate in the circumstances.
Upon any selection by the calculation agent of a successor rate, the calculation agent will cause notice to be furnished to us and the
trustee.
If the calculation and publication of a USD SOFR ICE
swap rate is permanently canceled and no successor rate is chosen as described above, then the calculation agent will calculate the value
of the applicable USD SOFR ICE swap rate on each subsequent date of determination in good faith and using its reasonable judgment. Such
value, as calculated by the calculation agent, will be the relevant USD SOFR ICE swap rate for all purposes.
Notwithstanding these alternative arrangements, the
cancellation of a USD SOFR ICE swap rate may adversely affect payments on, and the value of, the securities.
Day Count Fraction
Notwithstanding anything to
the contrary in the accompanying product supplement, each coupon payment per security will be equal to (i) $1,000 multiplied by the applicable
coupon rate per annum multiplied by (ii) Day Count Fraction, where Day Count Fraction will be calculated based on the following formula:
where:
“Y1” is the year, expressed
as a number, in which the first day of the interest calculation period falls;
“Y2” is the year, expressed
as a number, in which the day immediately following the last day included in the interest calculation period falls;
“M1” is the calendar
month, expressed as a number, in which the first day of the interest calculation period falls;
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“M2” is the calendar
month, expressed as a number, in which the day immediately following the last day included in the interest calculation period falls;
“D1” is the first calendar
day, expressed as a number, of the interest calculation period, unless such number would be 31, in which case D1 will
be 30; and
“D2” is the calendar
day, expressed as a number, immediately following the last day included in the interest calculation period, unless such number would be
31 and D1 is greater than 29, in which case D2 will be 30.
For purposes of the above formula, the
“interest calculation period” with respect to any coupon payment date is the period from, and including, the immediately preceding
coupon payment date (or, in the case of the first coupon payment date, the issue date) to, but excluding, the current coupon payment date.
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Information About SOFR, the USD SOFR ICE Swap Rates
and the SOFR CMS Spread
SOFR
SOFR is published by the NY Federal Reserve and is
intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. The NY Federal Reserve reports
that SOFR includes all trades in the Broad General Collateral Rate, plus bilateral Treasury repurchase agreement (“repo”)
transactions cleared through the delivery-versus-payment service offered by the Fixed Income Clearing Corporation (the “FICC”),
a subsidiary of The Depository Trust & Clearing Corporation (“DTCC”). SOFR is filtered by the NY Federal Reserve to remove
a portion of the foregoing transactions considered to be “specials”. According to the NY Federal Reserve, “specials”
are repos for specific-issue collateral which take place at cash-lending rates below those for general collateral repos because cash providers
are willing to accept a lesser return on their cash in order to obtain a particular security.
The NY Federal Reserve reports that SOFR is calculated
as a volume-weighted median of transaction-level tri-party repo data collected from The Bank of New York Mellon, which currently acts
as the clearing bank for the tri-party repo market, as well as General Collateral Finance Repo transaction data and data on bilateral
Treasury repo transactions cleared through the FICC’s delivery-versus-payment service. The NY Federal Reserve notes that it obtains
information from DTCC Solutions LLC, an affiliate of DTCC.
The NY Federal Reserve currently publishes SOFR daily
on its website. The NY Federal Reserve states on its publication page for SOFR that use of SOFR is subject to important disclaimers, limitations
and indemnification obligations, including that the NY Federal Reserve may alter the methods of calculation, publication schedule, rate
revision practices or availability of SOFR at any time without notice. Information contained in the publication page for SOFR is not incorporated
by reference in, and should not be considered part of, this pricing supplement.
The USD SOFR ICE Swap Rates
A USD SOFR ICE swap rate for a given maturity is the
annual fixed rate of interest payable on a hypothetical fixed-for-floating U.S. Dollar interest rate swap transaction with the given maturity.
In such a hypothetical swap transaction, the fixed rate of interest, payable annually on an actual / 360 basis (i.e., interest accrues
based on the actual number of days elapsed, with a year assumed to comprise 360 days), is exchangeable for a floating payment stream based
on SOFR (compounded in arrears for twelve months using standard market conventions), also payable annually on an actual / 360 basis.
Many complex economic factors may influence USD SOFR
ICE swap rates, including:
| • | the monetary policies of the Federal Reserve Board; |
| • | current market expectations about future interest rates; |
| • | current market expectations about inflation; |
| • | the volatility of the foreign exchange markets; |
| • | the availability of relevant hedging instruments; |
| • | supply and demand for overnight U.S. Treasury repurchase agreements;
and |
| • | general credit and economic conditions in global markets, and
particularly in the United States. |
Because USD SOFR ICE swap rates are market rates and
are influenced by many factors, it is impossible to predict the future value of any USD SOFR ICE swap rate.
The SOFR CMS Spread
The “SOFR CMS spread”
on any day is equal to the 30-year U.S. Dollar SOFR ICE swap rate (“SOFR CMS30”) minus the 2-year U.S. Dollar SOFR
ICE swap rate (“SOFR CMS2”) on that day. We refer to each of SOFR CMS30 and SOFR CMS2 as a “USD SOFR ICE swap rate”.
The relevant contingent
rate is based on the SOFR CMS spread, on not on the absolute level of either SOFR CMS30 or SOFR CMS2. The relevant contingent rate for
any coupon payment date after the second year following issuance of the securities will depend on the SOFR CMS spread as of the SOFR
CMS spread determination date for the related accrual period. If the SOFR CMS spread for any SOFR CMS spread determination date is less
than or equal to -0.25%, the relevant contingent rate for that accrual period will be 0.00% and you will not receive any coupon payment
on the related coupon payment date.
The
SOFR CMS spread is a measure of the difference, or spread, between two USD SOFR ICE swap rates of different maturities. The spread between
two USD SOFR ICE swap rates of different maturities may be affected by numerous complex economic factors. It is not possible to predict
whether the spread will be positive or negative at any time in the future. Investors in the securities are taking the risk that the spread
between SOFR CMS30 and SOFR CMS2 will be negative, meaning that SOFR CMS30 is less than SOFR CMS2.
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Historical Information
-The rate for SOFR CMS30 at 11:00 a.m. (New York time)
on August 12, 2022 was 2.545%. The rate for SOFR CMS2 at 11:00 a.m. (New York time) on August 12, 2022 was 3.252%. As a result, the SOFR
CMS spread on August 12, 2022 was -0.707%.
The graph below shows the daily value of the SOFR
CMS spread from November 18, 2021 to August 12, 2022. We obtained the values below from Bloomberg L.P., without independent verification.
You should not take the historical values of the SOFR CMS spread as an indication of the future values of the SOFR CMS spread during the
term of the securities. Publication of each USD SOFR ICE swap rate began on November 8, 2021, and they therefore have a limited history.
Historical SOFR CMS Spread (%)
November 18, 2021 to August 12, 2022 |
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Information About the EURO
STOXX® Banks Index
The EURO STOXX® Banks Index includes companies in the
banks supersector within the STOXX® Europe 600 Index, which tracks companies providing a broad range of financial services,
including retail banking, loans and money transmissions. The STOXX Europe 600® Supersector indices contain the 600 largest
stocks traded on the major exchanges of certain European countries. The EURO STOXX® Banks Index is calculated and maintained
by STOXX Limited.
Please refer to the section “Equity Index Descriptions—The
STOXX Benchmark Indices—The STOXX® Europe 600 Supersector Indices and the EURO STOXX® Supersector
Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the EURO STOXX®
Banks Index from publicly available information and have not independently verified any information regarding the EURO STOXX®
Banks Index. This pricing supplement relates only to the securities and not to the EURO STOXX® Banks Index. We make no
representation as to the performance of the EURO STOXX® Banks Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the EURO STOXX® Banks Index is not involved in any way in this
offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing level of the EURO STOXX® Banks Index on August
15, 2022 was 84.61.
The graph below shows the closing level of the EURO STOXX®
Banks Index for each day such level was available from January 3, 2012 to August 15, 2022. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical closing levels of the EURO STOXX® Banks Index
as an indication of future performance.
EURO STOXX® Banks Index — Historical Closing Levels
January 3, 2012 to August 15, 2022 |
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Information About the Dow Jones Industrial AverageTM
The Dow Jones Industrial AverageTM
is a price-weighted index rather than a market capitalization-weighted index. The Dow Jones Industrial AverageTM consists of
30 common stocks chosen as representative of the broad market of U.S. industry. It is calculated and maintained by S&P Dow Jones Indices
LLC.
Please refer to the section “Equity
Index Descriptions—The Dow Jones Industrial AverageTM” in the accompanying underlying supplement for additional
information.
We have derived all information
regarding the Dow Jones Industrial AverageTM from publicly available information and have not independently verified any information
regarding the Dow Jones Industrial AverageTM. This pricing supplement relates only to the securities and not to the Dow Jones
Industrial AverageTM. We make no representation as to the performance of the Dow Jones Industrial AverageTM over
the term of the securities.
The securities represent obligations
of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Dow Jones Industrial AverageTM
is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing level of the Dow Jones Industrial AverageTM
on August 15, 2022 was 33,912.44.
The graph below shows the closing level of the Dow Jones Industrial
AverageTM for each day such level was available from January 3, 2012 to August 15, 2022. We obtained the closing levels from
Bloomberg L.P., without independent verification. You should not take the historical closing levels of the Dow Jones Industrial AverageTM
as an indication of future performance.
Dow Jones Industrial AverageTM — Historical Closing Levels
January 3, 2012 to August 15, 2022 |
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Citigroup Global Markets Holdings Inc. |
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Information About the S&P 500® Index
The S&P 500® Index consists of the common stocks
of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the S&P 500®
Index from publicly available information and have not independently verified any information regarding the S&P 500®
Index. This pricing supplement relates only to the securities and not to the S&P 500® Index. We make no representation
as to the performance of the S&P 500® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index is not involved in any way in this offering
and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing level of the S&P 500® Index on August
15, 2022 was 4,297.14.
The graph below shows the closing level of the S&P 500®
Index for each day such level was available from January 3, 2012 to August 15, 2022. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical closing levels of the S&P 500® Index as an indication
of future performance.
S&P 500® Index — Historical Closing Levels
January 3, 2012 to August 15, 2022 |
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Citigroup Global Markets Holdings Inc. |
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