Citigroup Inc. |
October 3, 2022
Medium-Term Senior Notes,
Series G
Pricing Supplement No.
2022-CMTNG1312
Filed Pursuant to Rule
424(b)(2)
Registration Statement
No. 333-255302
|
Fixed to Floating Rate Notes Linked to
the 2-Year U.S. Dollar SOFR ICE Swap Rate Due October 7, 2032
| · | The notes will bear interest during each quarterly interest
period (i) during the first two years: at a fixed rate of 9.00% per annum and (ii) after the second year until maturity: at a floating
rate based on the 2-Year U.S. Dollar SOFR ICE Swap Rate (“SOFR CMS2” or, a “USD SOFR ICE swap rate”) plus
the floating rate spread specified below, subject to a minimum interest rate of 0.00% per annum. After the second year,
interest payments on the notes will vary and may be paid at a rate as low as 0.00% per annum. |
| · | The notes are designed for investors who seek fixed interest
payments for the first two years of the term of the notes and floating interest payments linked to SOFR CMS2 thereafter. |
| · | The notes are senior unsecured debt obligations of Citigroup
Inc. All payments due on the notes are subject to the credit risk of Citigroup Inc. |
KEY TERMS |
Issuer: |
Citigroup Inc. Upon at least 15 business days’ notice, any wholly owned subsidiary of Citigroup Inc. may, without the consent of any holder of the notes, assume Citigroup Inc.’s obligations under the notes, and in such event Citigroup Inc. shall be released from its obligations under the notes, subject to certain conditions, including the condition that Citigroup Inc. fully and unconditionally guarantee all payments under the notes. See “Additional Terms of the Notes” in this pricing supplement. |
Stated principal amount: |
$1,000 per note |
Pricing date: |
October 3, 2022 |
Issue date: |
October 7, 2022 |
Maturity date: |
October 7, 2032. If the maturity date is not a business day, then the payment required to be made on the maturity date will be made on the next succeeding business day with the same force and effect as if it had been made on the maturity date. No additional interest will accrue as a result of delayed payment. |
Payment at maturity: |
$1,000 per note plus accrued and unpaid interest |
Interest rate per annum: |
· During
each interest period from and including the issue date to but excluding October 7, 2024, the notes will bear interest at a fixed rate
of 9.00% per annum.
· During
each interest period commencing on or after October 7, 2024, the notes will bear interest at a floating rate equal to SOFR CMS2, as determined
on the interest determination date for that interest period, plus a spread of 1.30% (the “floating rate spread”),
subject to a minimum interest rate of 0.00% per annum.
|
SOFR CMS2: |
On any interest determination date, SOFR CMS2, as determined under “Additional Terms of the Notes—Determination of SOFR CMS2” on that interest determination date. For more information, see “Additional Terms of the Notes—Discontinuance of SOFR CMS2” and “ Information About SOFR and USD SOFR ICE Swap Rates” in this pricing supplement. |
Interest period: |
Each period from, and including, an interest payment date (or the issue date in the case of the first interest period) to, but excluding, the next succeeding interest payment date. |
Interest payment dates: |
The 7th day of each January, April, July and October commencing on January 7, 2023 and ending on the maturity date. If any interest payment date is not a business day, then the payment required to be made on that interest payment date will be made on the next succeeding business day with the same force and effect as if it had been made on that interest payment date. No additional interest will accrue as a result of delayed payment. |
Interest determination date: |
For any interest period commencing on or after October 7, 2024, the second U.S. government securities business day prior to the first day of that interest period. |
Day count convention: |
30/360. See “Determination of Interest Payments” in this pricing supplement. |
U.S. government securities business day: |
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. |
Business day: |
A business day means any day that is not a Saturday, a Sunday or a day
on which the securities exchanges or
banking institutions or trust companies in the City of New York are
authorized or obligated by law or executive order to close.
|
Business day convention: |
Following |
CUSIP / ISIN: |
17290AG87 / US17290AG872 |
Listing: |
The notes will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should not invest in the notes unless you are willing to hold them to maturity. |
Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal. See “General Information—Supplemental information regarding plan of distribution; conflicts of interest” in this pricing supplement. |
Underwriting fee and issue price: |
Issue price(1) |
Underwriting fee(2) |
Proceeds to issuer(3) |
Per note: |
$1,000.00 |
$10.00 |
$990.00 |
Total: |
$2,000,000.00 |
$20,000.00 |
$1,980,000.00 |
(1) On the date of this pricing supplement, the estimated value of the
notes is $962.20 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, an affiliate of Citigroup Inc. and the underwriter of the
sale of the notes, is acting as principal and will receive an underwriting fee of up to $10.00 per 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. You should refer to
“Risk Factors” and “General Information—Fees and selling concessions” in this pricing supplement for more
information. 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 fixed-rate debt securities. See “Risk Factors” beginning on page PS-2.
Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of the notes or determined that this pricing supplement and the accompanying 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 prospectus
supplement and prospectus, which can be accessed via the hyperlink below:
Prospectus Supplement and Prospectus 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.
Risk Factors
The following is a non-exhaustive list of certain key risk factors
for investors in the notes. You should read the risk factors below together with 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. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment
in the notes.
| · | After the second year, the notes will pay interest at a floating rate that may be as low as 0.00% per annum on one or more interest
payment dates. The rate at which the notes will bear interest during each quarterly interest period after the second year will depend
on SOFR CMS2 on the interest determination date for that interest period plus the floating rate spread. As a result, the interest
payable on the notes will vary with fluctuations in SOFR CMS2, subject to the minimum interest rate of 0.00% per annum. It is impossible
to predict whether SOFR CMS2 will rise or fall or the amount of interest payable on the notes. After the second year, you may
receive no interest for extended periods of time or even throughout the remaining term of the notes. |
| · | The notes are subject to the credit risk of Citigroup Inc., and any actual or anticipated
changes to its credit ratings or credit spreads may adversely affect the value of the notes. You are subject to the credit risk of
Citigroup Inc. If Citigroup Inc. defaults on its obligations under the notes, your investment would be at risk and you could lose some
or all of your investment. As a result, the value of the notes will be affected by changes in the market’s view of Citigroup Inc.’s
creditworthiness. Any decline, or anticipated decline, in Citigroup Inc.’s credit ratings or increase, or anticipated increase,
in the credit spreads charged by the market for taking Citigroup Inc. credit risk is likely to adversely affect the value of 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. |
| · | 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, if any, 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 SOFR CMS2 and interest rates. CGMI’s views on
these inputs and assumptions 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 the market rate implied by traded
instruments referencing our debt obligations in the secondary market for those debt obligations, which we refer to as our secondary market
rate. 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 rate at which interest is payable on the notes. |
| · | 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 level and volatility of SOFR CMS2, interest and yield rates in the market generally, the
time remaining to maturity of the notes and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. Changes
in the level of SOFR CMS2 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 offering of the notes does not constitute a recommendation to invest in an instrument linked to SOFR CMS2. You should not
take our offering of the notes as an expression of our views about how SOFR CMS2 will perform in the future or as a recommendation to
invest in any instrument linked to SOFR CMS2, including the notes. As we are part of a global financial institution, our affiliates
may, and often do, have positions (including short positions), and may publish research or express opinions, that in each case conflict
with an investment in the notes. You should undertake an independent determination of whether an investment in the notes is
suitable for you in light of your specific investment objectives, risk tolerance and financial resources. |
| · | Secondary market sales of the notes 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 Inc., only if you hold the notes to maturity. If you are able
to sell your notes in the secondary market prior to maturity, you are likely to receive less than the stated principal amount of the notes. |
| · | SOFR CMS2 will be affected by a number of factors and may be highly volatile. SOFR CMS2 is 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 CMS2
may be highly volatile. Because SOFR CMS2 is a market rate and is influenced by many factors, it is impossible to predict the future value
of SOFR CMS2.
| · | USD SOFR ICE swap rates and SOFR have limited histories and future performance cannot be predicted based on historical performance.
The publication of USD SOFR ICE swap rates began in November 2021, and, therefore, have a limited history. ICE Benchmark Administration
Limited (“IBA”) launched 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 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 USD SOFR ICE swap rates and SOFR cannot be predicted based on the limited historical performance. The
level of SOFR CMS2 and SOFR during the term of the notes 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 SOFR CMS2 and, therefore, the return on the
notes and the value of the notes, 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 USD SOFR ICE swap rates. The input data for USD
SOFR ICE swap rates is based on swaps referencing SOFR as the floating leg. 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
SOFR CMS2, which could adversely affect the return on and value of the notes and the price at which you are able to sell the notes 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 notes.
| · | The way SOFR CMS2 is calculated may change in the future, which could adversely affect the value of the notes. 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 SOFR CMS2 in a way that has a significant adverse effect
on the notes. |
| · | SOFR CMS2 may be determined by the calculation agent in good faith using its reasonable judgment. If, on any interest determination
date SOFR CMS2 is not published (subject to a discontinuance as described below), then SOFR CMS2 on that day will be determined by the
calculation agent in good faith and using its reasonable judgment. SOFR CMS2 determined in this manner and used in the determination of
any interest payment may be different from SOFR CMS2 that would have been published by the administrator of SOFR CMS2. |
| · | The calculation agent, which is our affiliate, will make important determinations with respect to the notes. If
certain events occur, Citibank, N.A., as calculation agent, will be required to make certain discretionary judgments that could significantly
affect one or more payments owed to you under the notes. Such judgments could include, among other things, determining SOFR
CMS2 under the circumstances described herein, selecting a successor rate if SOFR CMS2 is discontinued and, if no successor rate is selected,
calculating SOFR CMS2 in good faith and using its reasonable judgment. Any of these determinations made by Citibank, N.A. in its capacity
as calculation agent may adversely affect any interest payment owed to you under the notes. |
| · | The U.S. federal tax consequences of an assumption of the notes are unclear. The notes may be assumed by a successor
issuer, as discussed in “Additional Terms of the Notes.” The law regarding whether or not such an assumption would be considered
a taxable modification of the notes is not entirely clear and, if the Internal Revenue Service (the “IRS”) were to treat the
assumption as a taxable modification, a U.S. Holder would generally be required to recognize gain (if any) on the notes and the timing
and character of income recognized with respect to the notes after the assumption could be affected significantly. You should read carefully
the discussion under “United States Federal Income Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an assumption of the notes. |
Additional Terms of the Notes
The notes are intended to qualify as eligible debt securities for purposes
of the Federal Reserve’s total loss-absorbing capacity (“TLAC”) rule. As a result, in the event of a Citigroup Inc.
bankruptcy, Citigroup Inc.’s losses and any losses incurred by its subsidiaries would be imposed first on Citigroup Inc.’s
shareholders and then on its unsecured creditors, including the holders of the notes. Further, in a bankruptcy proceeding of Citigroup
Inc. any value realized by holders of the notes may not be sufficient to repay the amounts owed on the notes. For more information about
the consequences of “TLAC” on the notes, you should refer to the “Citigroup Inc.” section beginning on page 13
of the accompanying prospectus.
Upon at least 15 business days’ notice, any wholly owned subsidiary
(the “successor issuer”) of Citigroup Inc. may, without the consent of any holder of the notes, assume all of Citigroup Inc.’s
obligations under the notes, and in such event Citigroup Inc. shall be released from its obligations under the notes (in each case, except
as described below), subject to the following conditions:
| (a) | Citigroup Inc. shall enter into a supplemental indenture under which Citigroup Inc. fully and unconditionally guarantees all payments
on the notes when due, agrees to comply with the covenants described in the section “Description of Debt Securities—Covenants—Limitations
on Liens” and “—Limitations on Mergers and Sales of Assets” in the accompanying prospectus as applied to itself
and retains certain reporting obligations under the indenture; |
| (b) | the successor issuer shall be organized under the laws of the United States of America, any State thereof or the District of Columbia;
and |
| (c) | immediately after giving effect to such assumption of obligations, no default or event of default shall have occurred and be continuing. |
Upon any such assumption, the successor issuer shall succeed to and
be substituted for, and may exercise every right and power of, Citigroup Inc. under the notes with the same effect as if such successor
issuer had been named as the original issuer of the notes, and Citigroup Inc. shall be relieved from all obligations and covenants under
the notes, except that Citigroup Inc. shall have the obligations described in clause (a) above. For the avoidance of doubt,
the successor issuer shall not be responsible for Citigroup Inc.’s compliance with the covenants described in clause (a) above.
If a successor issuer assumes the obligations of Citigroup Inc. under
the notes as described above, events of bankruptcy or insolvency or resolution proceedings relating to Citigroup Inc. will not constitute
an event of default with respect to the notes, nor will any breach of a covenant by Citigroup Inc. (other than payment default). Therefore,
if a successor issuer assumes the obligations of Citigroup Inc. under the notes as described above, events of bankruptcy or insolvency
or resolution proceedings relating to Citigroup Inc. (in the absence of any such event occurring with respect to the successor issuer)
will not give holders the right to declare the notes to be due and payable, and a breach of a covenant by Citigroup Inc. (including the
covenants described in the section “Description of Debt
Securities—Covenants—Limitations on Liens” and “—Limitations
on Mergers and Sales of Assets” in the accompanying prospectus), other than payment default, will not give holders the right to
declare the notes to be due and payable. Furthermore, if a successor issuer assumes the obligations of Citigroup Inc. under
the notes as described above, it will not be an event of default under the notes if the guarantee of the notes by Citigroup Inc. ceases
to be in full force and effect or if Citigroup Inc. repudiates the guarantee.
There are no restrictions on which subsidiary of Citigroup Inc. may
be a successor issuer other than as specifically set forth above. The successor issuer may be less creditworthy than Citigroup
Inc. and/or may have no or nominal assets. If Citigroup Inc. is resolved in bankruptcy, insolvency or other resolution proceedings
and the notes are not contemporaneously declared due and payable, and if the successor issuer is subsequently resolved in later bankruptcy,
insolvency or other resolution proceedings, the value you receive on the notes may be significantly less than what you would have received
had the notes been declared due and payable immediately upon certain events of bankruptcy or insolvency or resolution proceedings relating
to Citigroup Inc. or the breach of a covenant by Citigroup Inc.
The notes are “specified securities” for purposes of the
indenture. The terms set forth above do not apply to all securities issued under the indenture, but only to the notes offered
by this pricing supplement (and similar terms may apply to other securities issued by Citigroup Inc. that are identified as “specified
securities” in the applicable pricing supplement).
You should read carefully the discussion of U.S. federal tax consequences
of any such assumption under “General Information—U.S. federal income tax considerations” in this pricing supplement.
Determination of SOFR CMS2
SOFR CMS2 on any date of determination is the swap rate for a fixed-for-floating
U.S. Dollar SOFR-linked interest rate swap transaction with a 2-year maturity as published by the administrator of SOFR CMS2 as of 11:00
a.m. (New York City time) on that date of determination. If SOFR CMS2 is not published on any U.S. government securities business
day on which such rate is required (subject to “—Discontinuance of SOFR CMS2” below), then SOFR CMS2 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 “Information About SOFR and USD SOFR ICE Swap Rates—SOFR” in this pricing supplement.
IBA is the current administrator of SOFR CMS2. According
to publicly available information (which we have not independently verified), IBA currently determines SOFR CMS2 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 SOFR CMS2 at Level 1, Level 2 or Level 3 of the waterfall on a given date, then SOFR CMS2 will not be published
for that date.
Discontinuance of SOFR CMS2
If the calculation and publication of SOFR CMS2 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 SOFR CMS2, and the calculation agent may deem that rate (the “successor rate”) to be SOFR
CMS2. Upon the selection of any successor rate by the calculation agent pursuant to this paragraph, references in this pricing supplement
to the original SOFR CMS2 will no longer be deemed to refer to the original SOFR CMS2 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 SOFR CMS2 that is used
for purposes of the notes and to any other terms of the notes 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 SOFR CMS2 is permanently canceled
and no successor rate is chosen as described above, then the calculation agent will calculate the value of SOFR CMS2 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 rate for SOFR CMS2 for all purposes.
Notwithstanding these alternative arrangements, the cancellation of
SOFR CMS2 may adversely affect payments on, and the value of, the notes.
General Information |
Additional information: |
The description of the notes in this pricing supplement supplements,
and, to the extent inconsistent with, replaces the general terms of the notes set forth in the accompanying prospectus supplement and
prospectus. The accompanying prospectus supplement and prospectus contain important disclosures that are not repeated in this
pricing supplement.
The notes are senior unsecured debt securities issued by Citigroup Inc.
under the senior debt indenture described in the accompanying prospectus supplement and prospectus. The notes will constitute
part of the senior debt of Citigroup Inc. and will rank equally with all other unsecured and unsubordinated debt of Citigroup Inc.
|
Regular record date: |
Interest will be payable on each interest payment date to the holders of record of the notes at the close of business on the business day immediately preceding the relevant interest payment date, except that the final interest payment will be made to the persons who hold the notes on the maturity date. |
U.S. federal income tax considerations: |
In the opinion of our counsel, Davis Polk & Wardwell LLP, the notes
will be treated as “variable rate debt instruments” that provide for a single fixed rate followed by a qualified floating
rate (“QFR”) for U.S. federal income tax purposes.
Under the Treasury Regulations applicable to variable rate debt instruments,
in order to determine the amount of qualified stated interest (“QSI”) and original issue discount (“OID”) in respect
of the notes, an equivalent fixed rate debt instrument must be constructed. The equivalent fixed rate debt instrument is constructed in
the following manner: (i) first, the initial fixed rate is converted to a QFR that would preserve the fair market value of the notes,
and (ii) second, each QFR (including the QFR determined under (i) above) is converted to a fixed rate substitute (which will generally
be the value of that QFR as of the issue date of the notes). The rules described under “United States Federal Tax Considerations
— Tax Consequences to U.S. Holders — Original Issue Discount” in the accompanying prospectus supplement are then applied
to the equivalent fixed rate debt instrument for purposes of calculating the amount of OID on the notes. Under these rules, the notes
will generally be treated as providing for QSI at a rate equal to the lowest rate of interest in effect at any time under the equivalent
fixed rate debt instrument, and any interest in excess of that rate will generally be treated as part of the stated redemption price at
maturity and, therefore, as giving rise to OID. Based on the application of these rules to the notes and current market conditions, the
notes should be treated as issued with OID. The remaining discussion is based on this treatment.
QSI on the notes will generally be taxable to a U.S. Holder (as defined
in the accompanying prospectus supplement) as ordinary interest income at the time it accrues or is received in accordance with the U.S.
Holder’s method of tax accounting. A U.S. Holder will be required to include the OID in income for federal income tax purposes as
it accrues, in accordance with a constant-yield method based on a compounding of interest. If the amount of interest a U.S. Holder receives
on the notes in a calendar year is greater than the interest assumed to be paid or accrued under the equivalent fixed rate debt instrument,
the excess is treated as additional QSI taxable to the U.S. Holder as ordinary income. Otherwise, any difference will reduce the amount
of QSI the U.S. Holder is treated as receiving and will therefore reduce the amount of ordinary income the U.S. Holder is required to
take into income.
Upon the sale or other taxable disposition of a note, a U.S. Holder
generally will recognize capital gain or loss equal to the difference between the amount realized on the disposition (other than any amount
attributable to accrued QSI, which will be treated as a payment of interest) and the U.S. Holder’s tax basis in the note. A U.S.
Holder’s tax basis in a note generally will equal the cost of the note to the U.S. Holder, increased by the amounts of OID previously
included in income by the U.S. Holder with respect to the note and reduced by any payments other than QSI received by the U.S. Holder.
Such gain or loss generally will be long-term capital gain or loss if the U.S. Holder has held the note for more than one year at the
time of disposition.
Under current law Non-U.S. Holders (as defined in the accompanying prospectus
supplement) generally will not be subject to U.S. federal withholding or income tax with respect to interest (or OID) paid on and amounts
received on the sale, exchange or retirement of the notes if they comply with applicable certification requirements. Special rules apply
to Non-U.S. Holders whose income on the notes is effectively connected with the conduct of a U.S. trade or business or who are individuals
present in the United States for 183 days or more in a taxable year.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying prospectus supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning
and disposing of the notes.
|
|
You should also consult your tax adviser regarding all aspects of the U.S. federal tax consequences of an investment in the notes and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction. |
Fees and selling concessions: |
CGMI, an affiliate of Citigroup Inc. and the underwriter of the sale
of the notes, is acting as principal and will receive an underwriting fee of up to $10.00 for each note sold in this offering. The actual
underwriting fee will be equal to $10.00 for each note sold by CGMI directly to the public and will otherwise be equal to the selling
concession provided to selected dealers, as described in this paragraph. From this underwriting fee, CGMI will pay selected dealers not
affiliated with CGMI a variable selling concession of up to $10.00 for each note they sell.
Additionally, it is possible that CGMI and its affiliates may profit
from hedging activity related to this offering, even if the value of the notes declines. You should refer to “Risk Factors”
above and the section “Use of Proceeds and Hedging” in the accompanying prospectus.
|
Supplemental information regarding plan of distribution; conflicts of interest: |
The terms and conditions set forth in the Amended and Restated Global
Selling Agency Agreement dated April 7, 2017 among Citigroup Inc. and the agents named therein, including CGMI, govern the sale and purchase
of the notes.
The notes will not be listed on any securities exchange.
In order to hedge its obligations under the notes, Citigroup Inc. has
entered into one or more swaps or other derivatives transactions with one or more of its affiliates. You should refer to the sections
“Risk Factors—The estimated value of the notes on the pricing date, based on CGMI’s proprietary pricing models and our
internal funding rate, is less than the issue price,” and the section “Use of Proceeds and Hedging” in the accompanying
prospectus.
CGMI is an affiliate of Citigroup Inc. Accordingly, the offering of
the notes will conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth
in Rule 5121 of the Conduct Rules of the Financial Industry Regulatory Authority, Inc. Client accounts over which Citigroup
Inc., its subsidiaries or affiliates of its subsidiaries have investment discretion are not permitted to purchase the notes, either directly
or indirectly, without the prior written consent of the client.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying prospectus supplement for more information.
|
Calculation agent: |
Citibank, N.A., an affiliate of Citigroup Inc., will serve as calculation agent for the notes. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes and binding on Citigroup Inc. and the holders of the notes. Citibank, N.A. is obligated to carry out its duties and functions as calculation agent in good faith and using its reasonable judgment. |
We encourage you to also read the accompanying prospectus supplement
and prospectus, which can be accessed via the hyperlink on the cover page of this pricing supplement.
Determination of Interest Payments
On each interest payment date, the amount of each interest payment will
equal (i) the stated principal amount of the notes multiplied by the interest rate in effect during the applicable interest period
multiplied by (ii) (90/360), subject to the minimum interest rate.
Information About SOFR and USD SOFR ICE Swap Rates
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.
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.
Historical Information on SOFR CMS2
The graph below shows the daily value of SOFR CMS2
from November 18, 2021 to October 3, 2022. We obtained the values below from Bloomberg L.P., without independent verification. You
should not take the historical values of SOFR CMS2 as an indication of the future values of SOFR CMS2 during the term of the notes. Publication
of SOFR CMS2 began on November 8, 2021, and it therefore has a limited history.
SOFR CMS2 at 11:00 a.m. (New York time) on October 3, 2022 was 4.068%.
Historical SOFR CMS2 (%)
November 18, 2021 through October
3, 2022
|
|
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. |
Valuation of the Notes
CGMI calculated the estimated value of the notes set forth on the cover
page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated value
for the notes by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the notes,
which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying the economic
terms of the notes (the “derivative component”). CGMI calculated the estimated value of the bond component using a discount
rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary derivative-pricing
model, which generated a theoretical price for the instruments that constitute the derivative component based on various inputs, including
the factors described under “Risk Factors—The value of the notes prior to maturity will fluctuate based on many unpredictable
factors” in this pricing supplement, but not including 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 six 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 six-month temporary adjustment period.
However, CGMI is not obligated to buy the notes from investors at any time. See “Risk Factors—The notes will not
be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity of the Notes
In the opinion of Davis Polk &
Wardwell LLP, as special products counsel to Citigroup Inc., when the notes offered by this pricing supplement have been executed and
issued by Citigroup Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such notes
will be valid and binding obligations of Citigroup Inc., enforceable in accordance with their 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.
In giving this opinion, Davis
Polk & Wardwell LLP has assumed the legal conclusions expressed in the opinion set forth below of 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, nor the compliance by Citigroup Inc.
with the terms of the notes, will result in a violation of any provision of any instrument or agreement then binding upon Citigroup Inc.
or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Inc.
In the opinion of Barbara Politi,
Associate General Counsel–Capital Markets of Citigroup 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 Inc. has duly
authorized the issuance and sale of such notes 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 of the notes offered by this pricing supplement by Citigroup
Inc., and the performance by Citigroup Inc. of its obligations thereunder, are within its corporate
powers and do not contravene its
certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing
supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal
attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her
satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the
opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness
of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons
as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
© 2022 Citigroup Global Markets Inc. All rights reserved. Citi
and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the
world.
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