An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional debt securities
(guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the notes, and are
also subject to risks associated with each underlying. Accordingly, the notes are suitable only for investors who are capable of understanding
the complexities and risks of the notes. You should consult your own financial, tax and legal advisers as to the risks of an investment
in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the notes
contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product supplement.
You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated by
reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent Quarterly
Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
| ¨ | You may lose some or all of your investment — The notes differ from ordinary debt securities in that we will not necessarily
repay the full stated principal amount of your notes at maturity. If the notes are not automatically called on any of the valuation dates
(beginning one year after issuance) and the final underlying level of the least performing underlying on the final valuation date is less
than its downside threshold, you will lose 1% of the stated principal amount of the notes for every 1% by which the final underlying level
of the least performing underlying is less than its initial underlying level. There is no minimum payment at maturity on the notes, and
you may lose up to all of your investment in the notes. |
| ¨ | You will not receive any contingent coupon payment for any quarter in which the closing level of the least performing underlying
on the related valuation date is less than its coupon barrier — A contingent coupon payment will be made on a coupon payment
date if and only if the closing level of the least performing underlying on the related valuation date is greater than or equal to its
coupon barrier. If the closing level of the least performing underlying on any valuation date is less than its coupon barrier, you will
not receive any contingent coupon payment on the related coupon payment date. If the closing level of the least performing underlying
is below its coupon barrier on each valuation date, you will not receive any contingent coupon payments over the term of the notes. |
| ¨ | The notes are subject to the risks of both of the underlyings and will be negatively affected if either underlying performs poorly,
even if the other underlying performs well — You are subject to risks associated with both of the underlyings. If either underlying
performs poorly, you will be negatively affected, even if the other underlying performs well. The notes are not linked to a basket composed
of the underlyings, where the better performance of one could ameliorate the poor performance of the other. Instead, you are subject to
the full risks of whichever of the underlyings is the least performing underlying on each valuation date. Furthermore, the risk that you
will not receive the coupon and that you will lose some or all of your initial investment in the notes is greater if you invest in the
notes as opposed to notes that are linked to the performance of a single underlying if their terms are otherwise substantially similar.
With a greater total number of underlyings, it is more likely that an underlying will be below its coupon barrier or downside threshold
on a valuation date or the final valuation date, as applicable, and therefore it is more likely that you will not receive any contingent
coupon and that at maturity, you will receive an amount in cash which is worth less than your principal amount. |
| ¨ | You will not benefit in any way from the performance of the better performing underlying — The return on the notes depends
solely on the performance of the least performing underlying, and you will not benefit in any way from the performance of the better performing
underlying. The notes may underperform a similar investment in both of the underlyings or a similar alternative investment linked to a
basket composed of the underlyings, since in either such case the performance of the better performing underlying would be blended with
the performance of the least performing underlying, resulting in a better return than the return of the least performing underlying. |
| ¨ | You will be subject to risks relating to the relationship between the underlyings — It is preferable from your perspective
for the underlyings to be correlated with each other, in the sense that they tend to increase or decrease at similar times and by similar
magnitudes. By investing in the notes, you assume the risk that the underlyings will not exhibit this relationship. The less correlated
the underlyings, the more likely it is that either one of the underlyings will perform poorly over the term of the notes. All that is
necessary for the notes to perform poorly is for one of the underlyings to perform poorly; the performance of the underlying that is not
the least performing underlying is not relevant to your return on the notes. It is impossible to predict what the relationship between
the underlyings will be over the term of the notes. The S&P 500® Index represents
large capitalization stocks in the United States and the Russell 2000® Index represents small capitalization
stocks in the United States. Accordingly, the underlyings represent markets that differ in significant
ways and, therefore, may not be correlated with each other. |
| ¨ | Higher contingent coupon rates are associated with greater risk — The notes offer contingent coupon payments at an annualized
rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same
maturity. This higher potential yield is associated with greater levels of expected risk as of the trade date for the notes, including
the risks that you may not receive a contingent coupon payment on one or more, or any, coupon payment dates, the notes will not be automatically
called and the amount you receive at maturity may be significantly less than the stated principal amount of your notes and may be zero.
The volatility of and the correlation between the underlyings are important factors affecting these risks. Greater expected volatility
of, and lower expected correlation between, the underlyings as of the trade date may result in a higher contingent coupon rate, but would
also represent a greater expected likelihood as of the trade date that (i) the closing level of the least performing underlying will be
less than the applicable coupon barrier on one or more valuation dates, such that you will not receive one or more, or any, contingent |
coupon payments during the term of the
notes, (ii) the closing level of the least performing underlying will be less than the applicable initial underlying level on each valuation
date (beginning one year after issuance), such that the notes are not automatically called and (iii) the closing level of the least performing
underlying will be less than the applicable downside threshold on the final valuation date, such that you will not be repaid the stated
principal amount of your notes at maturity.
| ¨ | The notes are riskier than notes with a shorter term. The notes are relatively long-dated. Because the notes are relatively
long-dated, many of the risks of the notes are heightened as compared to notes with a shorter term, because you will be subject to those
risks for a longer period of time. In addition, the value of a longer-dated note is typically less than the value of an otherwise comparable
note with a shorter term. |
| ¨ | You may not be adequately compensated for assuming the downside risk of the least performing underlying — The potential
contingent coupon payments on the notes are the compensation you receive for assuming the downside risk of the least performing underlying,
as well as all the other risks of the notes. That compensation is effectively “at risk” and may, therefore, be less than you
currently anticipate. First, the actual yield you realize on the notes could be lower than you anticipate because the coupon is “contingent”
and you may not receive a contingent coupon payment on one or more, or any, of the coupon payment dates. Second, the contingent coupon
payments are the compensation you receive not only for the downside risk of the least performing underlying, but also for all of the other
risks of the notes, including the risk that the notes may be called prior to maturity, interest rate risk and our and Citigroup Inc.’s
credit risk. If those other risks increase or are otherwise greater than you currently anticipate, the contingent coupon payments may
turn out to be inadequate to compensate you for all the risks of the notes, including the downside risk of the least performing underlying. |
| ¨ | The notes offer downside exposure to the least performing underlying, but no upside exposure to either underlying — You
will not participate in any appreciation in the level of the underlyings over the term of the notes. Consequently, your return on the
notes will be limited to the contingent coupon payments you receive, if any, and may be significantly less than the return on the underlyings
over the term of the notes. In addition, you will not receive any dividends or other distributions or have any other rights with respect
to the underlyings or the stocks included in the underlyings. |
| ¨ | The performance of the notes will depend on the closing levels of the underlyings solely on the relevant valuation dates, which
makes the notes particularly sensitive to the volatility of the underlyings — Whether the contingent coupon will be paid for
any given quarter will depend on the closing levels of the underlyings solely on the applicable quarterly valuation dates, regardless
of the closing levels of the underlyings on other days during the term of the notes. If the notes are not automatically called, what you
receive at maturity will depend solely on the closing level of the least performing underlying on the final valuation date, and not on
any other day during the term of the notes. Because the performance of the notes depends on the closing levels of the underlyings on a
limited number of dates, the notes will be particularly sensitive to volatility in the closing levels of the underlyings. You should understand
that both of the underlyings have historically been highly volatile. |
| ¨ | Investing in the notes is not equivalent to investing in either underlying or the stocks
that constitute either underlying — You will not have voting rights, rights to receive any dividends or other distributions
or any other rights with respect to any of the stocks that constitute the underlyings. It is important to understand that, for purposes
of measuring the performance of the underlyings, the levels used will not reflect the receipt or reinvestment of dividends or distributions
on the stocks that constitute either of the underlyings. Dividend or distribution yield on the stocks that constitute the underlyings
would be expected to represent a significant portion of the overall return on a direct investment in the stocks that constitute the underlyings,
but will not be reflected in the performance of either of the underlyings as measured for purposes of the notes (except to the extent
that dividends and distributions reduce the levels of the underlyings). |
| ¨ | The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. — Any payment on
the notes will be made by Citigroup Global Markets Holdings Inc. and is guaranteed by Citigroup Inc., and therefore is subject to the
credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our obligations under the notes and Citigroup
Inc. defaults on its guarantee obligations, you may not receive any payments that become due under the notes. As a result, the value of
the notes prior to maturity will be affected by changes in the market’s view of our and Citigroup Inc.’s creditworthiness.
Any decline, or anticipated decline, in either of our or Citigroup Inc.’s credit ratings or increase, or anticipated increase, in
the credit spreads charged by the market for taking either of our or Citigroup Inc.’s credit risk is likely to adversely affect
the value of the notes. |
| ¨ | The notes may be automatically called prior to maturity — Beginning one year after issuance, on any valuation date occurring
quarterly during the term of the notes, the notes will be automatically called if the closing level of the least performing underlying
on that valuation date is greater than or equal to its respective initial underlying level. Thus, the term of the notes may be limited
to as short as one year. If the notes are automatically called 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. Generally, the longer the notes are outstanding, the less likely
it is that they will be automatically called due to the decline in the levels of the underlyings and the shorter time remaining for the
levels of underlyings to recover. |
| ¨ | 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 probability that the least performing underlying will fall below the coupon barrier on any valuation date or the downside threshold
on the final valuation date will depend in part on the volatility of, and correlation between, the underlyings — “Volatility”
refers to the frequency and magnitude of changes in the level of the underlyings. “Correlation” refers to the extent to which
the underlyings tend to increase or decrease at similar times and by similar magnitudes. In general, the greater the volatility of the
underlyings, and the lower the correlation between the underlyings, the greater the probability that one or the other of the underlyings
will experience a large decline over the term of the notes and fall below its respective coupon barrier on one, or more, quarterly valuation
dates and/or below its respective downside threshold on the final valuation date. The underlyings have historically experienced significant
volatility, and as discussed above, the underlyings represent markets that differ in significant ways and therefore may not be correlated.
As a result, there is a significant risk that one or the other of the underlyings will fall below its respective coupon barrier on one
or more valuation dates, such that you will not receive one or more contingent coupon payments, and that one or the other of the underlyings
will fall below its respective downside threshold on the final valuation date, such that you will incur a significant loss on your investment
in the notes. The terms of the notes are set, in part, based on expectations about the volatility of, and correlation between, the underlyings
as of the trade date. If expectations about the volatility of, and correlation between, the underlyings change over the term of the notes,
the value of the notes may be adversely affected, and if the actual volatility of the underlyings prove to be greater than initially expected,
or if the actual correlation between the underlyings proves to be lower than initially expected, the notes may prove to be riskier than
expected on the trade date. |
| ¨ | The estimated value of the notes on the trade date, based on CGMI’s proprietary pricing models and our internal funding rate,
is less than the issue price — The difference is attributable to certain costs associated with selling, structuring and hedging
the notes that are included in the issue price. These costs include (i) the underwriting discount 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 and correlation between the underlyings, dividend
yields on the stocks that constitute the underlyings and interest rates. CGMI’s views on these inputs may differ from your or others’
views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models
may prove to be wrong and therefore not an accurate reflection of the value of the notes. Moreover, the estimated value of the notes set
forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the notes for
other purposes, including for accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead,
you should be willing to hold the notes to maturity irrespective of the initial estimated value. |
| ¨ | The estimated value of the notes would be lower if it were calculated based on our secondary market rate — The estimated
value of the notes included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we
are willing to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than our secondary market
rate, which is the rate that CGMI will use in determining the value of the notes for purposes of any purchases of the notes from you in
the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than
our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated
with the notes, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences.
Our internal funding rate is not the same as the contingent coupon rate that is payable on the notes. |
Because there is not an active market for
traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of
traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the
notes, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted
for discretionary factors such as CGMI’s preferences with respect to purchasing the notes prior to maturity.
| ¨ | The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing to
buy the notes from you in the secondary market — Any such secondary market price will fluctuate over the term of the notes based
on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing supplement,
any value of the notes determined for purposes of a secondary market transaction will be based on our secondary market rate, which will
likely result in a lower value for the notes than if our internal funding rate were used. In addition, any secondary market price for
the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the notes to be purchased
in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any
secondary market price for the notes will be less than the issue price. |
| ¨ | The value of the notes prior to maturity will fluctuate based on many unpredictable factors — As described under “Valuation
of the Notes” below, the payout on the notes could be replicated by a hypothetical package of financial instruments consisting of
a fixed- |
income bond and one or more derivative
instruments. As a result, the factors that influence the values of fixed-income bonds and derivative instruments will also influence the
terms of the notes at issuance and the value of the notes prior to maturity. Accordingly, the value of your notes prior to maturity will
fluctuate based on the level and volatility of the underlyings and a number of other factors, including the price and volatility of the
stocks that constitute the underlyings, the correlation between the underlyings, dividend yields on the stocks that constitute the underlyings,
interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary
market rate. Changes in the levels of the underlyings 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. The stated payout from the
issuer only applies if you hold the notes to maturity or earlier automatic call, as applicable.
| ¨ | 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 decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing
supplement. |
| ¨ | The Russell 2000® Index is subject to risks associated with small capitalization stocks — The
stocks that constitute the Russell 2000® Index are issued by companies with relatively small market capitalization.
The stock prices of smaller companies may be more volatile than the stock prices of large capitalization companies. These companies
tend to be less well-established than large market capitalization companies. Small capitalization companies may be less able to
withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies
are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock
price pressure under adverse market conditions. |
| ¨ | Our offering of the notes is not a recommendation of either underlying — The fact that we are offering the notes does
not mean that we believe that investing in an instrument linked to the least performing underlying 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 underlyings or in instruments related to the underlyings or the stocks that constitute the underlyings, and may publish
research or express opinions, that in each case are inconsistent with an investment linked to the underlyings. These and other activities
of our affiliates may affect the levels of the underlyings in a way that has a negative impact on your interests as a holder of the notes. |
| ¨ | Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the notes — Any such research, opinions or recommendations could affect the closing levels of the
underlyings and the value of the notes. Our affiliates, and UBS and its affiliates, publish research from time to time on financial markets
and other matters that may influence the value of the notes, or express opinions or provide recommendations that may be inconsistent with
purchasing or holding the notes. Any research, opinions or recommendations expressed by our affiliates or by UBS or its affiliates may
not be consistent with each other and may be modified from time to time without notice. These and other activities of our affiliates or
UBS or its affiliates may adversely affect the levels of the underlyings and may have a negative impact on your interests as a holder
of the notes. Investors should make their own independent investigation of the merits of investing in the notes and the underlyings to
which the notes are linked. |
| ¨ | Trading and other transactions by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets may
impair the value of the notes — We have hedged our exposure under the notes through CGMI or other of our affiliates, who have
entered into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded instruments, relating to
the underlyings or the stocks included in the underlyings and may adjust such positions during the term of the notes. It is possible that
our affiliates could receive substantial returns from these hedging activities while the value of the notes declines. Our affiliates and
UBS and its affiliates may also engage in trading in instruments linked to the underlyings on a regular basis as part of their respective
general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions
for customers, including block transactions. Such trading and hedging activities may affect the levels of the underlyings and reduce the
return on your investment in the notes. Our affiliates or UBS or its affiliates may also issue or underwrite other securities or financial
or derivative instruments with returns linked or related to the underlyings. By introducing competing products into the marketplace in
this manner, our affiliates or UBS or its affiliates could adversely affect the value of the notes. Any of the foregoing activities described
in this paragraph may reflect trading strategies that differ from, or are in direct opposition to, investors’ trading and investment
strategies relating to the notes. |
| ¨ | Our affiliates, or UBS or its affiliates, may have economic interests that are adverse to yours as a result of their respective
business activities — Our affiliates or UBS or its affiliates may currently or from time to time engage in business with the
issuers of the stocks that constitute the underlyings, including extending loans to, making equity investments in or providing advisory
services to such issuers. In the course of this business, our affiliates or UBS or its affiliates may acquire non-public information about
those issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS or any of its affiliates is or becomes a
creditor of any such issuer, they may exercise any remedies against that 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 notes —
If certain events occur, such as market disruption events or the discontinuance of an underlying, CGMI, as calculation agent, will be
required to make discretionary judgments that could significantly affect the payments on the notes. Such judgments could include, among
other things: |
| ¨ | determining whether a market disruption event has occurred with respect to an underlying; |
| ¨ | if a market disruption event occurs on any valuation date with respect to an underlying, determining whether to postpone the valuation
date; |
| ¨ | determining the levels of the underlyings if the levels of the underlyings are not otherwise available or a market disruption event
has occurred; and |
| ¨ | selecting a successor underlying or performing an alternative calculation of the level of an underlying if an underlying is discontinued
or materially modified (see “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying
Index—Discontinuance or Material Modification of an Underlying Index” in the accompanying product supplement). |
In making these judgments, the calculation agent’s
interests as an affiliate of ours could be adverse to your interests as a holder of the notes.
| ¨ | Adjustments to either underlying may affect the value of your notes — S&P Dow
Jones Indices LLC, as publisher of the S&P 500® Index or FTSE Russell, as publisher of the Russell 2000®
Index, may add, delete or substitute the stocks that constitute either underlying or make other
methodological changes that could affect the level of either underlying. S&P Dow Jones Indices LLC or FTSE Russell may
discontinue or suspend calculation or publication of either underlying at any time without regard to your interests as holders of the
notes. |
| ¨ | The U.S. federal tax consequences of an investment in the notes are unclear — There is no direct legal authority regarding
the proper U.S. federal tax treatment of the notes, 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 notes are uncertain, and the IRS or a court might not agree with the treatment
of the notes as described in “United States Federal Tax Considerations” below. If the IRS were successful in asserting an
alternative treatment of the notes, the tax consequences of the ownership and disposition of the notes 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 notes, possibly retroactively. |
Non-U.S. investors should note that persons
having withholding responsibility in respect of the notes 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 notes, 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 should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the notes, as well as tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon automatic
call or at maturity for a $10.00 stated principal amount note with the following assumptions* (the actual terms of the notes are listed
on the cover page of this pricing supplement; amounts may have been rounded for ease of reference):
| t | Stated Principal Amount: $10 |
| t | Term: 10 years, unless earlier automatically called |
| t | Hypothetical Initial Underlying Levels: For each Underlying, 100.00 |
| t | Contingent Coupon Rate: 7.50% per annum (or 1.875% per quarter) |
| t | Quarterly Contingent Coupon Payment: $0.1875 per quarter per note |
| t | Valuation Dates: Quarterly, automatically callable after approximately one year, as set forth on page PS-6 of this pricing supplement |
| t | Hypothetical Coupon Barriers: For each Underlying, 70.00 (which, with respect to each Underlying, is 70% of its hypothetical initial
underlying level) |
| t | Hypothetical Downside Thresholds: For each Underlying, 60.00 (which, with respect to each Underlying, is 60% of its hypothetical initial
underlying level) |
*The hypothetical contingent
coupon rate may not represent the actual contingent coupon rate. The actual contingent coupon rate is listed on the cover page of this
pricing supplement. In addition, the examples below are based on the above hypothetical values and do not reflect the actual initial underlying
levels, coupon barriers or downside thresholds of the underlyings. For the actual initial underlying level, coupon barrier and downside
threshold of each underlying, see the cover page of this pricing supplement. We have used these hypothetical values, rather than the actual
values, to simplify the calculations and aid understanding of how the securities work. However, you should understand that any actual
payments on the securities will be calculated based on the actual initial underlying level, coupon barrier and downside threshold of each
underlying, and not on the hypothetical values indicated below.
Example 1 — Notes are automatically called on the fourth valuation
date.
Date |
Closing Level of the Underlying |
Payment (per note) |
S&P 500® Index |
Russell 2000® Index |
First Valuation Date |
90.00 (at or above coupon barrier) |
80.000 (at or above coupon barrier)* |
$0.1875 (contingent coupon — not callable) |
Second Valuation Date |
80.00 (at or above coupon barrier) |
75.000 (at or above coupon barrier)* |
$0.1875 (contingent coupon — not callable) |
Third Valuation Date |
95.00 (at or above coupon barrier) |
85.000(at or above coupon barrier)* |
$0.1875 (contingent coupon — not callable) |
Fourth Valuation Date |
110.00 (at or above coupon barrier and initial underlying level)* |
120.000 (at or above coupon barrier and initial underlying level) |
$10.1875 (settlement amount) |
|
|
Total Payment: |
$10.75 (7.50% total return) |
* Denotes least performing underlying for the applicable valuation date
The least performing underlying closes above its coupon barrier on the
first three valuation dates and therefore a contingent coupon is paid on each of the first three coupon payment dates. On the fourth valuation
date (which is approximately one year after the trade date and is the first valuation date on which the notes are subject to potential
automatic call), the least performing underlying on the fourth valuation date closes above its initial underlying level, and the notes
are automatically called on the related coupon payment date. You will receive on the coupon payment date a total of $10.1875 per note,
reflecting the $10.00 stated principal amount plus the applicable contingent coupon. When added to the total contingent coupon
payments of $0.5625 received in respect of the prior valuation dates, you would have been paid a total of $10.75 per note for a 7.50%
total return on the notes. No further amount would be owed to you under the notes, and you would not participate in the appreciation of
the underlyings.
Example 2 — Notes are NOT automatically called and the final
underlying level of the least performing underlying on the final valuation date is at or above its downside threshold.
Date |
Closing Level of the Underlying |
Payment (per note) |
S&P 500® Index |
Russell 2000® Index |
First Valuation Date |
90.00 (at or above coupon barrier) |
80.000 (at or above coupon barrier)* |
$0.1875 (contingent coupon — not callable) |
Second Valuation Date |
95.00 (at or above coupon barrier) |
85.000 (at or above coupon barrier)* |
$0.1875 (contingent coupon — not callable) |
Third Valuation Date |
80.00 (at or above coupon barrier) |
30.000 (below coupon barrier)* |
$0.00 (not callable) |
Fourth Valuation Date |
90.00 (at or above coupon barrier but below initial underlying level) |
45.000 (below coupon barrier)* |
$0.00 (not called) |
Fifth to Thirty-Ninth Valuation Dates |
Various (all at or above coupon barrier; all below initial underlying level) |
Various (all below coupon barrier and initial underlying level)* |
$0.00 (not called) |
Final Valuation Date |
95.00 (at or above downside threshold) |
90.000 (at or above downside threshold)* |
$10.1875 |
|
|
Total Payment: |
$10.5625 (5.625% total return) |
* Denotes least performing underlying for the applicable valuation date(s)
The least performing underlying on each of the first two valuation dates
closes above its coupon barrier on the first two valuation dates and therefore a contingent coupon is paid on each of the first two coupon
payment dates. On each of the third to thirty-ninth valuation dates, the least performing underlying closes below its coupon barrier.
Therefore, no contingent coupon is paid on any related coupon payment date. On the final valuation date, the least performing underlying
on the final valuation date closes at or above its downside threshold. Therefore, at maturity, you would receive a total of $10.1875 per
note, reflecting the $10.00 stated principal amount plus the applicable contingent coupon. When added to the total contingent coupon
payments of $0.375 received in respect of the prior valuation dates, you would have been paid a total of $10.5625 per note for a 5.625%
total return on the notes over ten years.
Example 3 — Notes are
NOT automatically called and the final underlying level of the least performing underlying on the final valuation date is at or above
its respective downside threshold but below its respective coupon barrier.
Date |
Closing Level of the Underlying |
Payment (per note) |
S&P 500® Index |
Russell 2000® Index |
First Valuation Date |
90.00 (at or above coupon barrier) |
80.000 (at or above coupon barrier)* |
$0.1875 (contingent coupon — not callable) |
Second Valuation Date |
95.00 (at or above coupon barrier) |
85.000 (at or above coupon barrier)* |
$0.1875 (contingent coupon — not callable) |
Third Valuation Date |
80.00 (at or above coupon barrier) |
30.000 (below coupon barrier)* |
$0.00 (not callable) |
Fourth Valuation Date |
90.00 (at or above coupon barrier but below initial underlying level) |
45.000 (below coupon barrier)* |
$0.00 (not called) |
Fifth to Thirty-Ninth Valuation Dates |
Various (all at or above coupon barrier; all below initial underlying level) |
Various (all below coupon barrier and initial underlying level)* |
$0.00 (not called) |
Final Valuation Date |
65.00 (below coupon barrier, at or above downside threshold)* |
90.000 (at or above coupon barrier and downside threshold) |
$10.00 (stated principal amount) |
|
|
Total Payment: |
$10.375 (3.75% total return) |
* Denotes least performing underlying for the applicable valuation date(s)
The least performing underlying on each of the first two valuation dates
closes above its coupon barrier on the first two valuation dates and therefore a contingent coupon is paid on each of the first two coupon
payment dates. On each of the third to thirty-ninth valuation dates, the least performing underlying closes below its coupon barrier.
Therefore, no contingent coupon is paid on any related coupon payment date. On the final valuation
date, the least performing underlying on the final valuation date closes above its respective downside threshold but below its respective
coupon barrier. Therefore, at maturity, you would receive a total of $10.00 per note, reflecting your stated principal amount, but you
would not receive a contingent coupon with respect to the final valuation date. When added to the total contingent coupon payments of
$0.375 received in respect of the prior valuation dates, you would have been paid a total
of $10.375 per note for a 3.75% total return
on the notes over ten years.
Example 4 — Notes are NOT automatically called and the final
underlying level of the least performing underlying on the final valuation date is below its downside threshold.
Date |
Closing Level of the Underlying |
Payment (per note) |
S&P 500® Index |
Russell 2000® Index |
First Valuation Date |
70.00 (at or above coupon barrier) |
50.000 (below coupon barrier)* |
$0.00 (not callable) |
Second Valuation Date |
50.00 (below coupon barrier and initial underlying level)* |
70.000 (at or above coupon barrier) |
$0.00 (not callable) |
Third Valuation Date |
80.00 (at or above coupon barrier) |
30.000 (below coupon barrier)* |
$0.00 (not callable) |
Fourth Valuation Date |
90.00 (at or above coupon barrier but below initial underlying level) |
45.000 (below coupon barrier)* |
$0.00 (not called) |
Fifth to Thirty-Ninth Valuation Dates |
Various (all at or above coupon barrier; all below initial underlying level) |
Various (all below coupon barrier and initial underlying level)* |
$0.00 (not called) |
Final Valuation Date |
80.00 (at or above downside threshold) |
30.000 (below downside threshold)* |
$10.00 × [1 + underlying return of the least performing underlying on the final valuation date] =
$10.00 × [1 + -70.00%] =
$10.00 × 0.30 =
$3.00 (payment at maturity) |
|
|
Total Payment: |
$3.00 (-70.00% total return) |
* Denotes least performing underlying for the applicable valuation date(s)
The least performing underlying on each valuation date closes below
its coupon barrier, and as a result no contingent coupon is paid on any coupon payment date during the term of the notes. On the final
valuation date, the least performing underlying on the final valuation date closes below its downside threshold. Therefore, at maturity,
investors are exposed to the downside performance of the least performing underlying and you will receive $3.00 per note, which reflects
the percentage decrease of the least performing underlying on the final valuation date from the trade date to the final valuation date.
The
S&P 500® Index
The
S&P 500® Index consists of the common stocks of
500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index
is reported by Bloomberg L.P. under the ticker symbol “SPX.”
“Standard
& Poor’s,” “S&P” and “S&P 500®” are trademarks of Standard & Poor’s
Financial Services LLC and have been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index
Descriptions—The S&P U.S. Indices—License Agreement” in the accompanying underlying supplement.
Please
refer to the section “Equity Index Descriptions—The S&P U.S. Indices—The S&P 500® Index”
in the accompanying underlying supplement for important disclosures regarding the S&P 500® Index.
The graph below illustrates
the performance of the S&P 500® Index from January 3, 2012 to September 21, 2022. The closing level of the S&P
500® Index on September 21, 2022 was 3,789.93. We obtained the closing levels of the S&P 500® Index
from Bloomberg, and we have not participated in the preparation of or verified such information. The historical closing levels of the
S&P 500® Index should not be taken as an indication of future performance and no assurance can be given as to the final
underlying level or any future closing level of the S&P 500® Index. We cannot give you assurance that the performance
of the S&P 500® Index will result in a positive return on your initial investment and you could lose a significant
portion or all of the stated principal amount at maturity.
The
Russell 2000® Index
The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded
on a major U.S. exchange. It is calculated and maintained by FTSE Russell, a subsidiary of London Stock Exchange Group. The Russell 2000®
Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark of FTSE
Russell and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
Russell Indices—Disclaimers” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000® Index.
The graph below illustrates the performance of the Russell 2000®
Index from January 3, 2012 to September 21, 2022. The closing level of the Russell 2000® Index on September 21, 2022 was
1,762.158. We obtained the closing levels of the Russell 2000® Index from Bloomberg, and we have not participated in the
preparation of or verified such information. Currently, whereas the sponsor of the Russell 2000® Index publishes the official
closing level of the Russell 2000® Index to six decimal places, Bloomberg reports the closing level to three decimal places.
As a result, the closing level of the Russell 2000® Index reported by Bloomberg may be lower or higher than the official
closing level of the Russell 2000® Index published by the sponsor of the Russell 2000® Index. The historical
closing levels of the Russell 2000® Index should not be taken as an indication of future performance and no assurance can
be given as to the final underlying level or any future closing level of the Russell 2000® Index. We cannot give you assurance
that the performance of the Russell 2000® Index will result in a positive return on your initial investment and you could
lose a significant portion or all of the stated principal amount at maturity.
Correlation of the Underlyings |
The following graph sets forth the historical performances of the S&P
500® Index and the Russell 2000® Index from January 3, 2012 to September 21, 2022, based on the daily closing
levels of the underlyings. For comparison purposes, each underlying has been normalized to have a closing level of 100.00 on January 3,
2012 by dividing the closing level of that underlying on each day by the closing level of that underlying on January 3, 2012 and multiplying
by 100.00.
We obtained the closing levels used to determine the normalized closing
levels set forth below from Bloomberg, without independent verification. Historical performance of the underlyings should not be taken
as an indication of future performance. Future performance of the underlyings may differ significantly from historical performance, and
no assurance can be given as to the closing levels of the underlyings during the term of the notes, including on any valuation date. Moreover,
any historical correlation between the underlyings is not indicative of the degree of correlation between the underlyings, if any, over
the term of the notes.
PAST PERFORMANCE AND CORRELATION BETWEEN THE
UNDERLYINGS IS NOT INDICATIVE OF FUTURE PERFORMANCE OR CORRELATION
Correlation is a measure of the extent to which two underlyings tend
to increase or decrease at similar times and by similar magnitudes over a given time period. The closer the relationship of the returns
of a pair of underlyings over a given period, the more correlated those underlyings are. Conversely, the less closely related the returns
of a pair of underlyings, the less correlated those underlyings are. Two underlyings may also be inversely correlated, which means that
they tend to move in opposite directions from one another. The graph above illustrates the historical performance of each underlying relative
to the other over the time period shown and provides an indication of how close the performance of each underlying has historically been
to the other underlying. However, the graph does not provide a precise measure of correlation and there may be relevant aspects of the
historical correlation between the underlyings that cannot be discerned from the graph. Furthermore, regardless of the degree of correlation
between the underlyings in the past, past correlation is not indicative of future correlation, and it is possible that the underlyings
will exhibit significantly lower correlation in the future than they did in the past. We cannot predict the relationship between the underlyings
over the term of the notes. For additional information, see “Summary Risk Factors—You will be subject to risks relating to
the relationship between the underlyings.”
The lower (or more negative) the correlation between the underlyings,
the less likely it is that the underlyings will move in the same direction at the same time and, therefore, the greater the potential
for one of the underlyings to close below its coupon barrier or downside threshold on any valuation date or the final valuation date,
respectively. This is because the less correlated the underlyings are, the greater the likelihood that at least one of the underlyings
will decrease in value. However, even if the underlyings have a higher correlation, one or both of the underlyings might close below its
coupon barrier or downside threshold on any valuation date or the final valuation date, respectively, as both of the underlyings may decrease
in value together.
The terms of the notes are set, in part, based on expectations about
the correlation between the underlyings as of the trade date. If expectations about the correlation between the underlyings change over
the term of the notes, the value of the notes may be adversely affected, and if the actual correlation between the underlyings proves
to be lower than initially expected, the notes may prove to be riskier than expected on the trade date. The correlation referenced in
setting the terms of the notes is calculated using CGMI’s proprietary derivative-pricing model and is not derived from the returns
of the underlyings over the period set forth in the graph above. In addition, factors and inputs other than correlation impact how the
terms of the notes are set and the performance of the notes.
United States Federal Tax Considerations |
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the notes. In connection with any
information reporting requirements we may have in respect of the notes under applicable law, we intend (in the absence of an
administrative determination or judicial ruling to the contrary) to treat the notes for U.S. federal income tax purposes as prepaid
forward contracts with associated coupon payments that will be treated as gross income to you at the time received or accrued in
accordance with your regular method of tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based
on current market conditions, this treatment of the notes is reasonable under current law; however, our counsel has advised us that
it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are
possible.
Assuming this treatment of the notes is respected and subject to the
discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
| · | Any coupon payments on the notes should be taxable as ordinary income to you at the time received or accrued in accordance with your
regular method of accounting for U.S. federal income tax purposes. |
| · | Upon a sale or exchange of a note (including retirement at maturity), you should recognize capital gain or loss equal to the difference
between the amount realized and your tax basis in the note. For this purpose, the amount realized does not include any coupon paid on
retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment. Such gain or
loss should be long-term capital gain or loss if you held the note for more than one year. |
We do not plan to request a ruling from the IRS regarding the treatment
of the notes. An alternative characterization of the notes could materially and adversely affect the tax consequences of ownership and
disposition of the notes, including the timing and character of income recognized. In addition, the U.S. Treasury Department and the IRS
have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and
similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. Furthermore,
members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the notes, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative tax treatments of the
notes and potential changes in applicable law.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the notes are uncertain, persons having withholding responsibility in respect of the notes may withhold on any
coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a rate of 30%. To the extent
that we have (or an affiliate of ours has) withholding responsibility in respect of the notes, we intend to so withhold. In order to claim
an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to establish that you
are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should consult your tax
adviser regarding the tax treatment of the notes, including the possibility of obtaining a refund of any amounts withheld and the certification
requirement described above.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2025 that do not have a “delta” of one.
Based on the terms of the notes and representations provided by us, our counsel
is of the opinion that the notes should not be treated as transactions that have a “delta” of one within the meaning of the
regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the notes are not subject to Section 871(m) is
not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend
on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application
of Section 871(m) to the notes.
We will not be required to pay any additional amounts with respect to
amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the notes.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the notes and any tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
Validity
of the Notes
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the notes offered by this pricing supplement have been executed and issued by
Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor,
such notes and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings Inc.
and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that
such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the notes.
In giving this opinion, Davis Polk & Wardwell LLP has assumed the
legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets
Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc. In addition, this opinion is subject
to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021, which has been filed as an exhibit to
a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been duly authorized, executed and delivered
by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the notes nor the issuance and delivery
of the notes and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc. with the terms
of the notes and the related guarantee respectively, will result in a violation of any provision of any instrument or agreement then binding
upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by any court or governmental
body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the notes offered by this pricing supplement have been duly established under
the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has duly authorized
the issuance and sale of such notes and such authorization has not been modified or rescinded; (ii) Citigroup Global Markets Holdings
Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been duly authorized, executed
and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture and of the notes offered
by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global Markets Holdings Inc. of
its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other
constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New
York.
Alexia Breuvart, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all documents submitted to her or such persons
as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the
guarantee of such notes by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly existing
and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered by
Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination,
she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers
of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents
of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
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Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
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