KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying indices:
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Underlying indices
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Initial index level*
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Downside threshold level**
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Coupon barrier level**
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Russell 2000® Index (ticker symbol: “RTY”)
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2,206.333
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1,654.750
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1,654.750
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S&P 500® Index (ticker symbol: “SPX”)
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4,577.10
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3,432.825
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3,432.825
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Nasdaq-100 Index® (ticker symbol: “NDX”)
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15,990.76
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11,993.070
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11,993.070
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* For each underlying index, its closing
level on the pricing date
**For each underlying index, 75% of
its initial index level
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Aggregate stated principal amount:
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$3,000,000
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Stated principal amount:
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$1,000 per security
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Pricing date:
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December 2, 2021
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Issue date:
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December 7, 2021
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Final valuation date:
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December 4, 2023, subject to postponement if such date is not a scheduled trading day for any underlying index or if certain market disruption events occur with respect to any underlying index.
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Maturity date:
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Unless earlier redeemed by us, December 7, 2023
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Contingent coupon payment dates:
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For each observation period, the third business day after the observation period end-date for such observation period, except that the contingent coupon payment date for the final observation period will be the maturity date.
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Contingent coupon:
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On each quarterly contingent coupon payment date, unless previously redeemed by us, the securities will pay a contingent coupon equal to 2.875% of the stated principal amount of the securities (11.50% per annum) if and only if a coupon barrier event has not occurred during the related observation period. If a coupon barrier event occurs during an observation period, you will not receive any contingent coupon payment on the related contingent coupon payment date. A coupon barrier event will occur if the closing level of any underlying index is less than its coupon barrier level on any trading day for that underlying index during an observation period.
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Payment at maturity:
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Unless earlier redeemed by us, for each $1,000 stated principal
amount security you hold at maturity, you will receive cash in an amount determined as follows (in addition to the final contingent coupon
payment, if any):
▪ If the final index
level of the worst performing underlying index is greater than or equal to its downside threshold level: $1,000
▪ If the final index
level of the worst performing underlying index is less than its downside threshold level:
$1,000 + ($1,000 × the index
return of the worst performing underlying index)
If the final index level of the worst performing underlying
index is less than its downside threshold level, you will receive less, and possibly significantly less, than 75% of the stated principal
amount of your securities at maturity.
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Listing:
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The securities will not be listed on any securities exchange
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee
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Proceeds to issuer
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Per security:
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$1,000.00
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$15.00(2)
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$980.00
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|
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$5.00(3)
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Total:
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$3,000,000.00
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$60,000.00
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$2,940,000.00
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(Key Terms continued on next page)
(1) On the date of this pricing supplement,
the estimated value of the securities is $954.90 per security, which is less than the issue price. The estimated value of the securities
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 securities
from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup
Global Markets Holdings Inc. and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting
fee of $20.00 for each $1,000 security sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management, and
their financial advisors will collectively receive from CGMI a fixed selling concession of $15.00 for each $1,000 security 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 securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee payable
to Morgan Stanley Wealth Management by CGMI of $5.00 for each security.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-8.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this pricing
supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete.
Any representation to the contrary is a criminal offense.
You should read this pricing supplement together
with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed
via the following hyperlinks:
Product Supplement No. EA-04-09 dated May 11, 2021 Underlying Supplement No. 10 dated May 11, 2021
Prospectus Supplement and Prospectus each dated May 11, 2021
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
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KEY TERMS (continued)
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Coupon barrier event:
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A coupon barrier event will occur with respect to an observation period if the closing level of any underlying index is less than its coupon barrier level on any trading day for that underlying index during that observation period.
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Observation periods:
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Each observation period will consist of each day from but excluding an observation period end-date to and including the following observation period end-date, provided that the first observation period will consist of each day from but excluding the pricing date to and including the first observation period end-date.
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Observation period end-dates:
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March 2, 2022, June 2, 2022, September 2, 2022, December 2, 2022, March 2, 2023, June 2, 2023, September 5, 2023 and December 4, 2023
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Trading day:
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For any underlying index, a scheduled trading day for that underlying index on which a market disruption event has not occurred with respect to that underlying index.
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Redemption:
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We may call the securities, in whole and not in part, for mandatory redemption on any potential redemption date upon not less than three business days’ notice. Following an exercise of our call right, you will receive for each security you then hold an amount in cash equal to the early redemption payment. If the securities are redeemed, no further payments will be made.
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Potential redemption dates:
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The contingent coupon payment dates related to the observation period end-dates beginning in March 2022 and ending in September 2023
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Early redemption payment:
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The stated principal amount of $1,000 per security plus the related contingent coupon payment, if any
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Final index level:
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For each underlying index, its closing level on the final valuation date
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Index return:
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For each underlying index, (i) its final index level minus its initial index level, divided by (ii) its initial index level
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Worst performing underlying index:
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The underlying index with the lowest index return
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CUSIP / ISIN:
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17329URF0 / US17329URF02
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Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain
events may occur that could affect your payment at maturity. These events and their consequences are described in the accompanying product
supplement in the sections “Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation
Date” and “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance
or Material Modification of an Underlying Index,” and not in this pricing supplement. The accompanying underlying supplement contains
important disclosures regarding each underlying index that are not repeated in this pricing supplement. It is important that you read
the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement
in connection with your investment in the securities. Certain terms used but not defined in this pricing supplement are defined in the
accompanying product supplement.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
Investment Summary
The securities provide an opportunity for investors to earn a quarterly
contingent coupon payment, which is an amount equal to $28.75 (2.875% of the stated principal
amount) per security, with respect to each quarterly observation period during which a coupon barrier event does not occur. A coupon barrier
event will occur during an observation period if the closing level of any underlying index is less than its coupon barrier
level on any trading day for that underlying index during that observation period. The quarterly contingent coupon payment,
if any, will be payable quarterly on the relevant contingent coupon payment date, which is the third business day after the related observation
period end-date or, in the case of the quarterly contingent coupon payment, if any, with respect to the final observation period, the
maturity date. If a coupon barrier event occurs during an observation period, investors will receive no quarterly contingent coupon payment
on the related contingent coupon payment date. It is possible that a coupon barrier event will occur with respect to some or all of the
observation periods during the term of the securities so that you will receive few or no quarterly contingent coupon payments. We refer
to these payments as contingent because there is no guarantee that you will receive a payment on any contingent coupon payment date.
We may call the securities, in whole and not in part, for mandatory
redemption on any potential redemption date upon not less than three business days’ notice for an early redemption payment equal
to the stated principal amount plus the quarterly contingent coupon payment, if any, due on that contingent coupon payment date.
Thus, the term of the securities may be limited to three months. If we redeem the securities prior to maturity, you will not receive any
additional contingent coupon payments. Moreover, you may not be able to reinvest your funds in another investment that provides a similar
yield with a similar level of risk. If we redeem the securities prior to maturity, it is likely to be at a time when the underlying indices
are performing in a manner that would otherwise have been favorable to you. On the other hand, we will be less likely to redeem the securities
when the underlying indices are performing unfavorably from your perspective, including when the closing level of any underlying index
is below its respective coupon barrier level and/or when the final index level of any underlying index is expected to be below its respective
downside threshold level, such that you will receive no quarterly contingent coupon payments and/or that you will suffer a significant
loss on your initial investment in the securities at maturity. Thus, if we do not redeem the securities prior to maturity, it is more
likely that you will receive few or no quarterly contingent coupon payments and suffer a significant loss at maturity.
If the securities have not previously been redeemed by us and the final
index level of the worst performing underlying index is greater than or equal to its downside threshold level, you will be repaid the
stated principal amount of your securities at maturity. However, if the securities have not previously been redeemed by us and the final
index level of the worst performing underlying index is less than its downside threshold level, investors will be exposed to the decline
in the closing level of the worst performing underlying index, as compared to its initial index level, on a 1-to-1 basis. Under these
circumstances, the payment at maturity will be (i) the stated principal amount plus (ii) (a) the stated principal amount times
(b) the index return of the worst performing underlying index, which means that the payment at maturity will be less than 75% of the stated
principal amount of the securities and could be zero.
Investors in the securities must be willing to accept the risk of losing
their entire principal and also the risk of receiving few or no quarterly contingent coupon payments over the term of the securities.
The stated payments on the securities are based solely on the performance of the worst performing of the three underlying
indices. As a result, investors will be negatively affected by adverse movements in any one of the underlying indices, regardless
of the performance of the others. In addition, investors will not participate in any appreciation of any of the underlying indices.
Key Investment Rationale
The securities offer investors an opportunity to earn a quarterly contingent
coupon payment equal to 2.875% of the stated principal amount with respect to each quarterly observation period during which a coupon
barrier event does not occur. The securities may be redeemed by us prior to maturity for the stated principal amount per security plus
the applicable quarterly contingent coupon payment, if any, and the payment at maturity will vary depending on the final index level of
the worst performing underlying index, as follows:
Scenario 1
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On any potential redemption date (beginning
approximately three months after the issue date), we exercise our right to call the securities.
■ The
securities will be redeemed for (i) the stated principal amount plus (ii) the quarterly contingent coupon payment with respect
to the related observation period, if any.
■ Investors
will not participate in any appreciation of any of the underlying indices from their applicable initial index levels.
|
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
Scenario 2
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The securities are not redeemed prior to maturity,
and the final index level of the worst performing underlying index is greater than or equal to its downside threshold level.
■ You
will be repaid the stated principal amount of your securities at maturity plus the quarterly contingent coupon payment, if any.
■ Investors
will not participate in any appreciation of any of the underlying indices from their applicable initial index levels.
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Scenario 3
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The securities are not redeemed prior to maturity,
and the final index level of the worst performing underlying index is less than its downside threshold level.
■ The
payment due at maturity will be (i) the stated principal amount plus (ii) (a) the stated principal amount times (b) the
index return of the worst performing underlying index on the final valuation date.
■ Investors
will lose a significant portion, and may lose all, of their principal in this scenario.
|
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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How the Securities
Work
The following diagrams illustrate potential payments on the securities.
The first diagram illustrates how to determine whether a contingent coupon payment will be paid with respect to a quarterly observation
period. The second diagram illustrates how to determine the payment at maturity if the securities are not redeemed by us prior to maturity.
Diagram #1: Quarterly Contingent Coupon Payments
Diagram #2: Payment at Maturity if No Early Redemption
Occurs
For more information about contingent coupon payments and the
payment at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page PS-6.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
Hypothetical Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid with respect to a quarterly observation period and how to calculate the payment at maturity on the securities if we
do not redeem the securities prior to maturity. You should understand that the term of the securities, and your opportunity to receive
the contingent coupon payments on the securities, may be limited to as short as three months if we elect to redeem the securities prior
to the maturity date, which is not reflected in the examples below. For ease of analysis, figures in the examples below may have been
rounded.
The examples below are based on the following hypothetical values and
do not reflect the actual initial index levels of any of the underlying indices or their applicable coupon barrier levels and downside
threshold levels. For the actual initial index level, coupon barrier level and downside threshold level of each underlying index, 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 the actual payment at maturity on the securities
will be calculated based on the actual initial index level, coupon barrier level and downside threshold level of each underlying index,
and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded:
Hypothetical quarterly contingent coupon payment:
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$28.75 (2.875% of the stated principal amount) per security
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Hypothetical initial index level:
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For each underlying index, 100.00
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Hypothetical coupon barrier level:
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For each underlying index, 75.00, which, with respect to each underlying index, is 75% of its hypothetical initial index level
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Hypothetical downside threshold level:
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For each underlying index, 75.00, which, with respect to each underlying index, is 75% of its hypothetical initial index level
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How to determine whether a contingent coupon is payable
with respect to a quarterly observation period:
|
Hypothetical
lowest closing level of each underlying index on any trading day during an observation period
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Hypothetical
contingent coupon payment per security
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|
Russell
2000® Index
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S&P
500® Index
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Nasdaq-100
Index®
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Example 1
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90.000 (greater than or equal to coupon barrier level)
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95.00 (greater than or equal to coupon barrier level)
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87.00 (greater than or equal to coupon barrier level)
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$28.75
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Example 2
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88.000 (greater than or equal to coupon barrier level)
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93.00 (greater than or equal to coupon barrier level)
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65.00 (less than coupon barrier level)
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$0
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Example 3
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55.000 (less than coupon barrier level)
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60.00 (less than coupon barrier level)
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90.00 (greater than or equal to coupon barrier level)
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$0
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Example 4
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50.000 (less than coupon barrier level)
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60.00 (less than coupon barrier level)
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45.00 (less than coupon barrier level)
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$0
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Example 1: In this example,
the closing levels of each underlying index are greater than or equal to their respective coupon barrier levels on each trading day during
an observation period. As a result, a coupon barrier event does not occur and investors in the securities would receive the contingent
coupon payment of $28.75 per security on the related contingent coupon payment date.
Example 2, 3 and 4: In
these examples, one or more underlying indices close below their respective coupon barrier levels on at least one trading day during an
observation period. As a result, investors would not receive any contingent coupon payment on the related contingent coupon payment date.
Investors in the securities will not receive a contingent coupon
payment with respect to an observation period if the closing level of any underlying index is less than its coupon barrier level
on any trading day for that underlying index during that observation period, even if the closing level of that underlying index
is greater than its coupon barrier level on some or all other trading days during that observation period, and even if the closing levels
of the other underlying indices are greater than their respective coupon barrier levels on each trading day during that observation period.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
How to determine the payment at maturity on the
securities if we do not elect to redeem the securities prior to maturity:
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Hypothetical final index level of the Russell 2000® Index
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Hypothetical final index level of the S&P 500® Index
|
Hypothetical final index level of the Nasdaq-100 Index®
|
Hypothetical payment at maturity per security
|
Example 5
|
110.000 (index return =
10%)
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120.00 (index return =
20%)
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115.00 (index return =
15%)
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$1,000.00, plus the quarterly contingent coupon payment, if any
|
Example 6
|
105.000 (index return =
5%)
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40.00 (index return =
-60%)
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100.00 (index return =
0%)
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$400.00
|
Example 7
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85.000 (index return =
-15%)
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90.00 (index return =
-10%)
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20.00 (index return =
-80%)
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$200.00
|
Example 5: In this example,
the Russell 2000® Index is the worst performing underlying index. In this scenario, the final index level of the worst
performing underlying index is greater than its downside threshold level. Accordingly, at maturity, you would be repaid the stated
principal amount of the securities plus the quarterly contingent coupon payment, if any, but you would not participate in the appreciation
of any of the underlying indices even though all of the underlying indices have appreciated from their respective initial index levels.
Example 6: In this example,
the S&P 500® Index is the worst performing underlying index. In this scenario, the final index level of the worst performing
underlying index is less than its downside threshold level. Accordingly, at maturity, you would receive a payment per security calculated
as follows:
Payment at maturity = $1,000
+ ($1,000 × the index return of the S&P 500® Index)
= $1,000 + ($1,000 × -60%)
= $1,000 + -$600
= $400
In this scenario, you would receive
significantly less than the stated principal amount of your securities and you will not receive a quarterly contingent coupon payment
at maturity. You would incur a loss based on the performance of the worst performing underlying index, even though the final index levels
of the other underlying indices are greater than their respective downside threshold levels.
Example 7: In this example,
the Nasdaq-100 Index® is the worst performing underlying index and its final
index level is less than its downside threshold level. Accordingly, at maturity, you would receive a payment per security calculated as
follows:
Payment at maturity = $1,000
+ ($1,000 × the index return of the Nasdaq-100 Index®)
= $1,000 + ($1,000 × -80%)
= $1,000 + -$800
= $200
In this scenario, because the final index level of the worst performing
underlying index is less than its downside threshold level, you would lose a significant portion of your investment in the securities
and you will not receive a quarterly contingent coupon payment at maturity, even though the final index levels of the other underlying
indices are greater than their respective downside threshold levels.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities that are guaranteed by Citigroup Inc., including the risk that we and Citigroup Inc. may default on our obligations under the
securities, and are also subject to risks associated with each of the underlying indices. Accordingly, the securities are appropriate
only for investors who are capable of understanding the complexities and risks of the securities. You should consult your own financial,
tax and legal advisors as to the risks of an investment in the securities and the appropriateness of the securities in light of your particular
circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-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 a significant portion or all of your investment. Unlike conventional debt securities, the securities do not provide
for the repayment of the stated principal amount at maturity in all circumstances. If we do not redeem the securities prior to maturity
and the final index level of the worst performing underlying index is less than its downside threshold level, you will lose a significant
portion or all of your investment, based on a loss of 1% of the stated principal amount of the securities for every 1% by which the final
index level of the worst performing underlying index is less than its initial index level, regardless of the performance of the other
underlying indices. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment. If the
final index level of any underlying index is less than its downside threshold level, you will be fully exposed to any depreciation of
the worst performing underlying index from its initial index level to its final index level.
|
|
▪
|
You will not receive any contingent coupon payment for any quarterly observation period during which a coupon barrier event occurs.
A contingent coupon payment will be made on a contingent coupon payment date if and only if a coupon barrier event does not occur during
the related observation period. A coupon barrier event will occur with respect to an observation period if the closing level of any
underlying index is less than its coupon barrier level on any trading day for that underlying index during that observation
period. If a coupon barrier event occurs during any observation period, you will not receive any contingent coupon payment on the related
contingent coupon payment date, and if a coupon barrier event occurs during every observation period, you will not receive any contingent
coupon payments over the term of the securities.
|
|
▪
|
The quarterly contingent coupon payment is contingent on the closing level of each underlying index on each trading
day throughout the observation periods. Whether the quarterly contingent coupon payment will be made with respect to an observation
period will be based on the closing level of each underlying index on each trading day during that observation period. If
the closing level of any underlying index is less than its coupon barrier level on any trading day during an observation
period, you will not receive a contingent coupon payment on the related contingent coupon payment date, even if the closing level of that
underlying index is greater than its coupon barrier level on all other trading days during that observation period, and even if the closing
levels of the other underlying indices are greater than their respective coupon barrier levels on each trading day during that observation
period. As a result, the potential to receive a contingent coupon payment with respect to an observation period can be knocked out by
a temporary event that affects only one underlying index on only one day during that observation period.
|
|
▪
|
The securities are subject to the risks of all of the underlying indices and will be negatively affected if any one of the underlying
indices performs poorly, even if the others perform well. You are subject to risks associated with all of the underlying indices.
If any one of the underlying indices performs poorly, you will be negatively affected, even if the other underlying indices perform well.
The securities are not linked to a basket composed of the underlying indices, where the better performance of one or two could ameliorate
the poor performance of the others. Instead, you are subject to the full risks of whichever of the underlying indices is the worst performing.
|
|
▪
|
You will not benefit in any way from the performance of the better performing underlying indices. The return on the securities
depends solely on the performance of the worst performing of the three underlying indices, and you will not benefit in any way from the
performance of the better performing underlying indices. The securities may underperform a similar alternative investment linked to a
basket composed of the underlying indices, since in such case the performance of the better performing underlying indices would be blended
with the performance of the worst performing of the three underlying indices, resulting in a better return than the return of the worst
performing of the three underlying indices.
|
|
▪
|
You will be subject to risks relating to the relationship among the underlying indices. It is preferable from your perspective
for the underlying indices 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 securities, you assume the risk that the underlying indices will not exhibit this relationship.
The less correlated the underlying indices, the more likely it is that any one of the underlying indices will perform
|
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
poorly over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the underlying indices to perform poorly; the performance of
any underlying index that is not the worst performing of the three underlying indices is not relevant to your return on the securities.
It is impossible to predict what the relationship among the underlying indices will be over the term of the securities. The
S&P 500® Index represents large capitalization stocks in the United States, the Russell 2000® Index
represents small capitalization stocks in the United States and the Nasdaq-100 Index® represents 100 of the largest non-financial
companies listed on the Nasdaq Stock Market. Accordingly, the underlying indices 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 securities 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 pricing date for the securities, including
the risk that you may not receive a contingent coupon payment on one or more, or any, contingent coupon payment dates and the risk that
the amount you receive at maturity may be significantly less than the stated principal amount of your securities and may be zero. The
volatility of and the correlation among the underlying indices are important factors affecting these risks. Greater expected volatility
of, and lower expected correlation among, the underlying indices as of the pricing date may result in a higher contingent coupon rate,
but would also represent a greater expected likelihood as of the pricing date that a coupon barrier event will occur during one or more
observation periods, such that you will not receive one or more, or any, contingent coupon payments during the term of the securities
and that the final index level of the worst performing underlying index will be less than its downside threshold level, such that you
will suffer a substantial loss of principal at maturity.
|
|
▪
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You may not be adequately compensated for assuming the downside risk of the worst performing underlying index. The potential
contingent coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst performing underlying
index, as well as all the other risks of the securities. That compensation is effectively “at risk” and may, therefore, be
less than you currently anticipate. First, the actual yield you realize on the securities could be lower than you anticipate because the
coupon is “contingent” and you may not receive a contingent coupon payment on one or more, or any, of the contingent coupon
payment dates. Second, the contingent coupon payments are the compensation you receive not only for the downside risk of the worst performing
underlying index, but also for all of the other risks of the securities, including the risk that the securities may be redeemed by us
beginning approximately three months after the issue date, interest rate risk and our and/or 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 securities, including the downside risk of the worst performing underlying index.
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We may redeem the securities at our option, which will limit your ability to receive the contingent coupon payments. We may
redeem the securities on any potential redemption date upon not less than three business days’ notice. In the event that we redeem
the securities, you will receive the stated principal amount of your securities and the related contingent coupon payment, if any. Thus,
the term of the securities may be limited to as short as three months. If we redeem the securities prior to maturity, you will not receive
any additional contingent coupon payments. Moreover, you may not be able to reinvest your funds in another investment that provides a
similar yield with a similar level of risk. If we redeem the securities prior to maturity, it is likely to be at a time when the underlying
indices are performing in a manner that would otherwise have been favorable to you. By contrast, if the underlying indices are performing
unfavorably from your perspective, we are less likely to redeem the securities. If we redeem the securities, we will do so at a time that
is advantageous to us and without regard to your interests.
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The securities offer downside exposure to the worst performing underlying index, but no upside exposure to the underlying indices.
You will not participate in any appreciation in the level of any of the underlying indices over the term of the securities. Consequently,
your return on the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly less than
the return on the underlying indices over the term of the securities. In addition, you will not receive any dividends or other distributions
or have any other rights with respect to the underlying indices or the stocks included in the underlying indices over the term of the
securities.
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The payment at maturity depends on the closing level of the worst performing underlying index on a single day. If the closing
level of the worst performing underlying index on the final valuation date is less than its downside threshold level, you will not receive
the full stated principal amount of your securities at maturity, even if the closing level of the worst performing underlying index is
greater than its downside threshold level on other dates during the term of the securities.
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The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities.
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The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
|
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
CGMI currently intends to make a secondary
market in relation to the securities and to provide an indicative bid price for the securities on a daily basis. Any indicative bid price
for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions
and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that price, or at all. CGMI may
suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends
or terminates making a market, there may be no secondary market at all for the securities because it is likely that CGMI will be the only
broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities
until maturity.
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the securities that are included in the issue price. These costs include (i) the selling concessions and structuring fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of and correlation among the underlying indices, dividend
yields on the stocks included in the underlying indices and interest rates. CGMI’s views on these inputs may differ from your or
others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs
to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value
of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated
value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
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The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs
associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not the same as the coupon that is payable on the securities.
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Because there is not an active market for
traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of
traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the
securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted
for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price.
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The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the level and volatility of the underlying indices and a number of other factors, including
the price and volatility of the stocks included in the underlying indices, the correlation among the underlying indices, dividend yields
on
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Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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the stocks included in the underlying indices,
interest rates generally, the time remaining to maturity and our and/or Citigroup Inc.’s creditworthiness, as reflected in our secondary
market rate. Changes in the levels of the underlying indices may not result in a comparable change in the value of your securities. You
should understand that the value of your securities at any time prior to maturity may be significantly less than the issue price.
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.
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The securities are linked to the Russell 2000® Index and will be 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 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.
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Changes that affect the underlying indices may affect the value of your securities. The sponsors of the Russell 2000®
Index, the S&P 500® Index and the Nasdaq-100 Index® may
add, delete or substitute the stocks that constitute those indices or make other methodological changes that could affect the levels of
those indices. We are not affiliated with any such index sponsor and, accordingly, we have no control over any changes any such index
sponsor may make. Such changes could be made at any time and could adversely affect the performance of the underlying indices and the
value of and your payment at maturity on the securities.
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Our offering of the securities does not constitute a recommendation of any underlying index. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying indices is likely to achieve favorable
returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the
stocks that constitute the underlying indices or in instruments related to the underlying indices, and may publish research or express
opinions, that in each case are inconsistent with an investment linked to the underlying indices. These and other activities of our affiliates’
may affect the levels of the underlying indices in a way that has a negative impact on your interests as a holder of the securities.
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Governmental regulatory actions, such as sanctions, could adversely affect your investment in the securities. Governmental
regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise
restrict persons from holding the securities or underlying shares, or engaging in transactions in them, and any such action could adversely
affect the value of underlying shares. These regulatory actions could result in restrictions on the securities and could result in the
loss of a significant portion or all of your initial investment in the securities, including if you are forced to divest the securities
due to the government mandates, especially if such divestment must be made at a time when the value of the securities has declined.
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The level of an underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly in the
stocks included in the underlying indices and other financial instruments related to the underlying indices or the stocks included in
the underlying indices and may adjust such positions during the term of the securities. Our affiliates also trade the stocks included
in the underlying indices and other related financial instruments on a regular basis (taking long or short positions or both), for their
accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These activities could affect
the levels of the underlying indices in a way that negatively affects the value of the securities. They could also result in substantial
returns for us or our affiliates while the value of the securities declines.
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates may currently or from time to time engage in business with the issuers of the stocks included in the underlying indices,
including extending loans to, making equity investments in or providing advisory services to such companies. In the course of this business,
we or our affiliates may acquire non-public information which we will not disclose to you. Moreover, if any of our affiliates is or becomes
a creditor of any such company, they may exercise any remedies against such company that are available to them without regard to your
interests.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur, such as market disruption events or the discontinuance of an underlying index, CGMI, as calculation agent,
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Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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will be required to make discretionary
judgments that could significantly affect your payment at maturity. 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 securities.
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The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment of the securities as described in “United States Federal Tax Considerations” below. If the IRS
were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the
securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the securities, possibly retroactively.
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Non-U.S.
investors should note that persons having withholding responsibility in respect of the securities may withhold on any coupon payment paid
to a non-U.S. investor, generally at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities,
we intend to so withhold.
You
should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to
the Securities” in the accompanying product supplement and “United States Federal Tax Considerations” in this pricing
supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as
well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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Information About
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 Russell Investments, a subsidiary of Russell Investment Group. The Russell
2000® Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark of Russell
Investment Group 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.
Historical Information
The closing level of the Russell 2000® Index on December
2, 2021 was 2,206.333.
The graph below shows the closing levels of the Russell 2000®
Index for each day such level was available from January 3, 2011 to December 2, 2021. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical levels of the Russell 2000® Index as an indication
of future performance.
Russell 2000®
Index – Historical Closing Levels
January 3, 2011 to December
2, 2021
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* The red line indicates the downside threshold level with respect to
the Russell 2000® Index of 1,654.750, equal to 75.00% of the closing level of the Russell 2000® Index on
December 2, 2021.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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Information About
the S&P 500® Index
The S&P 500® Index consists of 500 common stocks
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.
Historical Information
The closing level of the S&P 500® Index on December
2, 2021 was 4,577.10.
The graph below shows the closing levels of the S&P 500®
Index for each day such level was available from January 3, 2011 to December 2, 2021. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical levels of the S&P 500® Index as an indication
of future performance.
S&P 500®
Index – Historical Closing Levels
January 3, 2011 to December
2, 2021
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* The red line indicates the downside threshold level with respect to
the S&P 500® Index of 3,432.825, equal to 75.00% of the closing level of the S&P 500® Index on December
2, 2021.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
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Information
About the Nasdaq-100 Index®
The Nasdaq-100 Index®
is a modified market capitalization-weighted index of stocks of the 100 largest non-financial companies listed on The Nasdaq Stock Market.
All stocks included in the Nasdaq-100 Index® are traded on a major U.S. exchange. The Nasdaq-100 Index® was
developed by The Nasdaq Stock Market, Inc. and is calculated, maintained and published by Nasdaq, Inc. The Nasdaq-100 Index®
is reported by Bloomberg L.P. under the ticker symbol “NDX.”
“Nasdaq-100 Index®”
is a trademark of Nasdaq, Inc and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity
Index Descriptions—The Nasdaq-100 Index®—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity
Index Descriptions—The Nasdaq-100 Index®” in the accompanying underlying supplement for important disclosures
regarding the Nasdaq-100 Index®.
Historical Information
The closing level of the Nasdaq-100 Index® on December
2, 2021 was 15,990.76.
The graph below shows the closing levels of the Nasdaq-100 Index®
for each day such level was available from January 3, 2011 to December 2, 2021. We obtained the closing levels from Bloomberg L.P., without
independent verification. You should not take the historical levels of the Nasdaq-100 Index® as an indication of future
performance.
Nasdaq-100 Index®
– Historical Closing Levels
January 3, 2011 to December
2, 2021
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* The red line indicates the downside threshold level with respect to
the Nasdaq-100 Index® of 11,993.070, equal to 75.00% of the closing level of the Nasdaq-100 Index® on December
2, 2021.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
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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 securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat the securities 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 securities 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 securities 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:
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Any coupon payments on the securities 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.
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Upon a sale or exchange of a security (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 security. 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 security for more than one year.
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We do not plan to request a ruling
from the IRS regarding the treatment of the securities. An alternative characterization of the securities could materially and adversely
affect the tax consequences of ownership and disposition of the securities, 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 securities, possibly with retroactive effect. You should consult your tax
adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities 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 securities, 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 securities, 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, 2023 that
do not have a “delta” of one. Based on the terms of the securities and representations provided by us, our counsel is of the
opinion that the securities 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 securities
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 securities.
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 securities.
Citigroup Global Markets Holdings Inc.
|
3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
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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 securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan
of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $20.00 for each $1,000 security
sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including Morgan Stanley Wealth
Management, and their financial advisors collectively a fixed selling concession of $15.00 for each $1,000 security they sell. In addition,
Morgan Stanley Wealth Management will receive a structuring fee of $5.00 for each security they sell. For the avoidance of doubt, the
fees and selling concessions described in this pricing supplement will not be rebated if the securities are redeemed prior to maturity.
The costs included in the original issue price of the securities will
include a fee paid by CGMI to LFT Securities, LLC, an entity in which an affiliate of Morgan Stanley Wealth Management has an ownership
interest, for providing certain electronic platform services with respect to this offering.
CGMI is an affiliate of ours. Accordingly, this offering will conform
with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule 5121 of the
Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment discretion will
not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of the client.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
A portion of the net proceeds from the sale of the securities will be
used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or other of our affiliates.
CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities declines. This hedging
activity could affect the closing levels of the underlying indices and, therefore, the value of and your return on the securities. For
additional information on the ways in which our counterparties may hedge our obligations under the securities, see “Use of Proceeds
and Hedging” in the accompanying prospectus.
Valuation of the Securities
CGMI calculated the estimated value of the securities 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 securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities 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 securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities 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 securities 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,
Citigroup Global Markets Holdings Inc.
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3,000 Contingent Income Callable Securities Due December 7, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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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 securities.
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 securities nor the issuance and
delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc.
with the terms of the securities 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 securities 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 securities 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 securities 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 securities 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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