The information in this preliminary pricing
supplement is not complete and may be changed. A registration statement relating to these notes has been filed with the Securities and
Exchange Commission. This preliminary pricing supplement and the accompanying product supplement, prospectus supplement and prospectus
are not an offer to sell these notes, nor are they soliciting an offer to buy these notes, in any state where the offer or sale is not
permitted.
SUBJECT TO COMPLETION, DATED DECEMBER
6, 2021
Pricing Supplement No. 2021—USNCH[ ] to 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
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302 and 333-255302-03
Dated December ---, 2021
Citigroup
Global Markets Holdings Inc. $---- Trigger Callable Contingent Yield Notes
Linked to the Least Performing of the Shares of the iShares®
MSCI EAFE ETF, Shares of the iShares® Russell 2000 ETF and Shares of the SPDR® S&P 500®
ETF Trust Due On or About June 10, 2027
All payments due on the notes are fully and unconditionally guaranteed
by Citigroup Inc.
Investment Description
|
The Trigger Callable Contingent Yield Notes (the “notes”) are unsecured, unsubordinated debt obligations of Citigroup Global Markets Holdings Inc. (the “issuer”), guaranteed by Citigroup Inc. (the “guarantor”), linked to the least performing of the shares of the iShares® MSCI EAFE ETF, shares of the iShares® Russell 2000 ETF and shares of the SPDR® S&P 500® ETF Trust (each, an “underlying”). The notes will pay a contingent coupon on each quarterly coupon payment date if, and only if, the closing price of the least performing underlying on the related quarterly valuation date is greater than or equal to its coupon barrier. If the closing price of the least performing underlying on a quarterly valuation date is less than its coupon barrier, no contingent coupon will be paid on the related coupon payment date. On any coupon payment date prior to the maturity date, the issuer may, in its sole discretion, call the notes in whole, but not in part, and pay you the stated principal amount per note plus any contingent coupon otherwise due on such coupon payment date and no further amounts will be owed to you. If the notes have not previously been called by the issuer prior to maturity and the final underlying price of the least performing underlying on the final valuation date is greater than or equal to its downside threshold, you will receive the stated principal amount of your notes at maturity plus any contingent coupon payment otherwise due on the maturity date. However, if the notes have not been called prior to maturity and the final underlying price of the least performing underlying on the final valuation date is less than its downside threshold, you will receive less than the stated principal amount of your notes at maturity, resulting in a loss that is proportionate to the decline in the closing price of the least performing underlying from the trade date to the final valuation date, up to a 100% loss of your investment. The “final underlying price” for each underlying is the closing price of such underlying on the final valuation date and the “least performing underlying” on each valuation date is the underlying with the lowest underlying return from the trade date to that valuation date. Investing in the notes involves significant risks. You may lose a substantial portion or all of your initial investment if the notes are not called by the issuer in its sole discretion on any coupon payment date prior to the maturity date and the final underlying price of the least performing underlying on the final valuation date is less than its downside threshold. The payment at maturity on the notes is based solely on the performance of the least performing underlying. You will not benefit in any way from the performance of the better performing underlyings. You will therefore be adversely affected if any underlying performs poorly, regardless of the performance of the other underlyings. You will not receive dividends or other distributions paid on the underlyings or participate in any appreciation of any underlying. The contingent repayment of the stated principal amount applies only if you hold the notes to maturity or earlier call by the issuer. Any payment on the notes, including any repayment of the stated principal amount, is subject to the creditworthiness of the issuer and the guarantor and is not, either directly or indirectly, an obligation of any third party. If the issuer and the guarantor were to default on their payment obligations, you may not receive any amounts
owed to you under the notes and you could lose your entire investment.
|
Features
|
|
Key Dates1
|
q Contingent
Coupon — We will pay you a contingent coupon on each quarterly coupon payment date if, and only if, the closing price
of the least performing underlying on the related valuation date is greater than or equal to its coupon barrier. Otherwise, no contingent
coupon will be paid on that quarterly coupon payment date.
q Issuer
Callable — On any coupon payment date prior to the maturity date, the issuer may, in its sole discretion, call the notes in
whole, but not in part, and pay you the stated principal amount per note plus any contingent coupon otherwise due on such coupon payment
date. If the notes are not called, investors may have full downside market exposure to the least performing underlying at maturity.
q Downside
Exposure with Contingent Repayment of Principal at Maturity — If the notes have not previously been called by the issuer prior
to maturity and the final underlying price of the least performing underlying on the final valuation date is greater than or equal to
its downside threshold, you will receive the stated principal amount of your notes at maturity plus any contingent coupon payment otherwise
due on the maturity date. However, if the notes have not been called prior to maturity and the final underlying price of the least performing
underlying on the final valuation date is less than its downside threshold, you will receive less than the stated principal amount of
your notes at maturity, resulting in a loss that is proportionate to the decline in the closing price of the least performing underlying
from the trade date to the final valuation date, up to a 100% loss of your investment. Any payment on the notes is subject to the
creditworthiness of the issuer and guarantor. If the issuer and the guarantor were to default on their obligations, you might not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
|
Trade date
|
December 6, 2021
|
Settlement date2
|
December 9, 2021
|
Valuation dates3
|
Quarterly, beginning on March 7, 2022 (See page PS-6)
|
Final valuation date3
|
June 7, 2027
|
Maturity date
|
June 10, 2027
|
1 Expected
2 See
“Supplemental Plan of Distribution” in this pricing supplement for additional information.
3 See
page PS-4 for additional details.
|
NOTICE TO INVESTORS: The notes
are significantly riskier than conventional debt INSTRUMENTS. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY THE STATED PRINCIPAL AMOUNT
OF THE NOTES AT MATURITY, AND the notes CAN have downside MARKET risk SIMILAR TO the LEAST PERFORMING UNDERLYING. This MARKET risk is
in addition to the CREDIT risk INHERENT IN PURCHASING A DEBT OBLIGATION OF CITIGROUP GLOBAL MARKETS HOLDINGS INC. THAT IS GUARANTEED BY
CITIGROUP INC. You should not PURCHASE the notes if you do not understand or are not comfortable with the significant risks INVOLVED
in INVESTING IN the notes.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER ‘‘SUMMARY
RISK FACTORS’’ BEGINNING ON PAGE PS-7 OF THIS PRICING SUPPLEMENT AND UNDER ‘‘RISK FACTORS RELATING TO THE SECURITIES’’
BEGINNING ON PAGE EA-7 OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR
OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF
YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE AND MAY HAVE LIMITED OR NO LIQUIDITY.
|
Notes Offering
|
We are offering Trigger Callable Contingent Yield Notes Linked to the Least Performing of the Shares of the iShares® MSCI EAFE ETF, Shares of the iShares® Russell 2000 ETF and Shares of the SPDR® S&P 500® ETF Trust. The initial underlying prices, coupon barriers and downside thresholds will be determined on the trade date. The notes are our unsecured, unsubordinated debt obligations, guaranteed by Citigroup Inc., and are offered for a minimum investment of 100 notes at the issue price described below.
|
Underlyings
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Contingent Coupon Rate
|
Initial Underlying Prices
|
Coupon Barriers
|
Downside Thresholds
|
CUSIP/ISIN
|
Shares of the iShares® MSCI EAFE ETF
(Ticker: EFA) (an “ETF”)
|
8.60% per annum
|
$
|
$ , which is 70% of the applicable initial underlying price
|
$ , which is 65% of the applicable initial underlying price
|
17329T732 / US17329T7321
|
Shares of the iShares® Russell 2000
ETF
(Ticker: IWM) (an “ETF”)
|
$
|
$ , which is 70% of the applicable initial underlying price
|
$ , which is 65% of the applicable initial underlying price
|
Shares of the SPDR® S&P 500®
ETF Trust
(Ticker: SPY) (an “ETF”)
|
$
|
$ , which is 70% of the applicable initial underlying price
|
$ , which is 65% of the applicable initial underlying price
|
See “Additional Terms Specific to the Notes” in this pricing
supplement. The notes will have the terms specified in the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus, as supplemented by this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense. The notes are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance
Corporation or any other governmental agency.
|
Issue Price(1)
|
Underwriting Discount(2)
|
Proceeds to Issuer
|
Per note
|
$10.00
|
$0.20
|
$9.80
|
Total
|
$
|
$
|
$
|
(1) Citigroup Global Markets Holdings Inc. currently
expects that the estimated value of the notes on the trade date will be at least $9.348 per note, which will be less than the issue price.
The estimated value of the notes is based on proprietary pricing models of Citigroup Global Markets Inc. (“CGMI”) and
our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the
price, if any, at which CGMI or any other person may be willing to buy the notes from you at any time after issuance. See “Valuation
of the Notes” in this pricing supplement.
(2) The underwriting discount is $0.20 per note. CGMI,
acting as principal, expects to purchase from Citigroup Global Markets Holdings Inc., and Citigroup Global Markets Holdings Inc. expects
to sell to CGMI, the aggregate stated principal amount of the notes set forth above for $9.80 per note. UBS Financial Services Inc. (“UBS”),
acting as agent for sales of the notes, expects to purchase from CGMI, and CGMI expects to sell to UBS, all of the notes for $9.80 per
note. UBS will receive an underwriting discount of $0.20 for each note it sells in this offering. UBS proposes to offer the notes to
the public at a price of $10.00 per note. For additional information on the distribution of the notes, see “Supplemental Plan of
Distribution” in this pricing supplement. In addition to the underwriting discount, CGMI and its affiliates may profit from expected
hedging activity related to this offering, even if the value of the notes declines. See “Use of Proceeds and Hedging” in
the accompanying prospectus.
Concurrent with this offering of the notes, the issuer
is offering other notes that are similar to the notes but that have economic terms that differ from those provided by the notes. The differences
in the economic terms reflect differences in costs to the issuer in connection with the distribution of the notes and such other notes.
Citigroup Global Markets Inc.
|
UBS Financial Services Inc.
|
Additional Terms Specific to the Notes
|
The terms of the notes are set forth in the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
underlying 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 whether you receive a contingent coupon payment on a coupon payment date and whether
you are repaid the stated principal amount of your notes 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”, “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying
Company or an Underlying ETF—Dilution and Reorganization Adjustments,” and “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting, Liquidation or Termination of an
Underlying ETF,” and not in this pricing supplement. The accompanying underlying supplement
contains important disclosures regarding the underlyings that are not repeated in this pricing supplement. It is important that
you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement
before you decide whether to invest in the notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying
product supplement.
You may access the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant dates on the SEC website):
|
¨
|
Product Supplement No. EA-04-09 dated May 11, 2021:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010321007044/dp150747_424b2-coba0409.htm
|
¨
|
Underlying Supplement No. 10 dated May 11, 2021:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010321007028/dp150879_424b2-us10.htm
You may revoke your offer to purchase the notes at any time prior to
the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer
to purchase, the notes on or prior to the trade date. The applicable agent will notify you in the event of any material changes to the
terms of the notes, and you will be asked to accept such changes in connection with your purchase of the notes. You may also choose to
reject such changes, in which case the applicable agent may reject your offer to purchase the notes. References to “Citigroup Global
Markets Holdings Inc.,” “Citigroup,” “we,” “our” and “us” refer to Citigroup Global
Markets Holdings Inc. and not to any of its subsidiaries. References to “Citigroup Inc.” refer to Citigroup Inc. and not to
any of its subsidiaries. In this pricing supplement, “notes” refers to the Trigger Callable Contingent Yield Notes Linked
to the Least Performing of the Shares of the iShares® MSCI EAFE ETF, Shares of the iShares® Russell 2000
ETF and Shares of the SPDR® S&P 500® ETF Trust that are offered hereby, unless the context otherwise
requires.
This pricing supplement, together with the documents listed above,
contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures
or other educational materials of ours. The description in this pricing supplement of the particular terms of the notes supplements, and,
to the extent inconsistent with, replaces, the descriptions of the general terms and provisions of the debt securities set forth in the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus. You should carefully consider, among other
things, the matters set forth in “Summary Risk Factors” in this pricing supplement and “Risk Factors Relating to the
Securities” in the accompanying product supplement, as the notes involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the notes.
Dilution Adjustment for Certain
Extraordinary Cash Distributions
For purposes of the notes offered
by this pricing supplement, the definition of “Permitted Dividend” set forth in the second paragraph under the heading “Certain
Extraordinary Cash Distributions” in the section “Description of the Securities—Certain Additional Terms for Securities
Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments” in the accompanying product
supplement shall be replaced with the following:
A “Permitted Dividend”
is (1) any distribution of cash, by dividend or otherwise, to all holders of the applicable Underlying Units other than a dividend or
other distribution that the Calculation Agent determines, in its sole discretion, is (a) by its terms or declared intent, declared and
paid outside the normal dividend policy or historical dividend practice of the applicable Underlying or (b) a payment by such Underlying
that such Underlying announces will be an extraordinary dividend and (2) any cash dividend or distribution made in the form of a fixed
cash equivalent value for which the holders of the applicable Underlying Units have the option to receive either a number of Underlying
Units or a fixed amount of cash.
The suitability considerations
identified below are not exhaustive. Whether or not the notes are a suitable investment for you will depend on your individual circumstances,
and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully
considered the suitability of an investment in the notes in light of your particular circumstances. You should also review “Summary
Risk Factors” beginning on page PS-7 of this pricing supplement, “Shares of the iShares® MSCI EAFE ETF”
beginning on page PS-16 of this pricing supplement, “Shares of the iShares® Russell 2000 ETF “ beginning on
page PS-18 of this pricing supplement, “Shares of the SPDR® S&P 500® ETF Trust” beginning
on page PS-20 of this pricing supplement, “Risk Factors Relating to the Securities” beginning on page EA-7 of the accompanying
product supplement, “Fund Descriptions—The iShares® ETFs—The iShares® MSCI EAFE ETF”
beginning on page US-113 of the accompanying underlying supplement, “Fund Descriptions—The iShares® ETFs—The
iShares® Russell 2000 ETF” beginning on page US-113 of the accompanying underlying supplement and “Fund Descriptions—The
SPDR® S&P 500® ETF Trust” beginning on page US-123 of the accompanying underlying supplement.
The notes may be suitable for you if, among other considerations:
|
¨
|
You fully understand the risks inherent in an investment in the notes, including the risk of loss of your entire initial investment.
|
|
¨
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You can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment that may
have the full downside market risk of an investment in the least performing underlying.
|
|
¨
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You understand and accept the risks associated with each of the underlyings.
|
|
¨
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You believe the closing price of each underlying is likely to be greater than or equal to its coupon
barrier on the valuation dates, and, if the closing price of any underlying is not, you can tolerate receiving few or no contingent
coupon payments over the term of the notes.
|
|
¨
|
You believe the final underlying price of each underlying will be greater than or equal to its downside threshold, and, if the final
underlying price of any underlying is below its downside threshold on the final valuation date, you can tolerate a loss of all or a substantial
portion of your investment.
|
|
¨
|
You can tolerate fluctuations in the value of the notes prior to maturity that may be similar to or exceed the downside fluctuations
in the price of the least performing underlying.
|
|
¨
|
You are willing to accept the individual market risk of each underlying on each valuation date, and you understand that any decline
in the price of one underlying will not be offset or mitigated by a lesser decline or any potential increase in the prices of the other
underlyings.
|
|
¨
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You are willing to hold notes that may be called early by the issuer in its sole discretion regardless of the closing price of any
underlying, and you are otherwise willing to hold such notes to maturity.
|
|
¨
|
You are willing to make an investment whose positive return is limited to the contingent coupon payments, regardless of the potential
appreciation of the underlyings, which could be significant.
|
|
¨
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You are willing to invest in the notes based on the contingent coupon rate indicated on the cover page of this pricing supplement.
|
|
¨
|
You are willing to invest in the notes based on the coupon barriers and downside thresholds indicated on the cover page of this pricing
supplement.
|
|
¨
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You are willing and able to hold the notes to maturity, and accept that there may be little or no secondary market for the notes and
that any secondary market will depend in large part on the price, if any, at which CGMI is willing to purchase the notes.
|
|
¨
|
You do not seek guaranteed current income from your investment and are willing to forgo dividends or any other distributions paid
on the underlyings for the term of the notes.
|
|
¨
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You are willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments under the
notes, and understand that if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you might not receive
any amounts due to you, including any repayment of the stated principal amount.
|
The notes may not be suitable for you if, among
other considerations:
|
¨
|
You do not fully understand the risks inherent in an investment in the notes, including the risk of loss of your entire initial investment.
|
|
¨
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You cannot tolerate the loss of all or a substantial portion of your initial investment, or you are not willing to make an investment
that may have the full downside market risk of an investment in the least performing underlying.
|
|
¨
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You do not understand or are not willing to accept the risks associated with each of the underlyings.
|
|
¨
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You do not believe the closing price of each underlying is likely to be greater than or equal to its coupon barrier on the valuation
dates, or you cannot tolerate receiving few or no contingent coupon payments over the term of the notes.
|
|
¨
|
You believe the final underlying price of at least one underlying will be less than its downside threshold on the final valuation
date, exposing you to the full downside performance of the least performing underlying.
|
|
¨
|
You require an investment designed to guarantee a full return of the stated principal amount at maturity.
|
|
¨
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You cannot tolerate fluctuations in the value of the notes prior to maturity that may be similar to or exceed the downside fluctuations
in the price of the least performing underlying.
|
|
¨
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You are unwilling to accept the individual market risk of each underlying on each valuation date, or you seek an investment based
on the performance of a basket composed of the underlyings.
|
|
¨
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You are unwilling to hold notes that may be called early by the issuer in its sole discretion regardless of the closing price of any
underlying, or you are otherwise unable or unwilling to hold such notes to maturity.
|
|
¨
|
You seek an investment that participates in the full appreciation of the underlyings and whose positive return is not limited to the
contingent coupon payments.
|
|
¨
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You are unwilling to invest in the notes based on the contingent coupon rate indicated on the cover page of this pricing supplement.
|
|
¨
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You are unwilling to invest in the notes based on the coupon barriers and downside thresholds indicated on the cover page of this
pricing supplement.
|
|
¨
|
You seek an investment for which there will be an active secondary market.
|
|
¨
|
You seek guaranteed current income from this investment or prefer to receive the dividends and any other distributions paid on the
underlyings for the term of the notes.
|
|
¨
|
You prefer the lower risk of conventional fixed income investments with comparable maturities and credit ratings.
|
|
¨
|
You are not willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments under
the notes, including any repayment of the stated principal amount.
|
Indicative Terms
|
Issuer
|
Citigroup Global Markets Holdings Inc.
|
Guarantee
|
All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
|
Issue price
|
100% of the stated principal amount per note
|
Stated principal amount per note
|
$10.00 per note
|
Term
|
Approximately 5.5 years, unless called earlier
|
Trade date1
|
December 6, 2021
|
Settlement date1
|
December 9, 2021. See “Supplemental Plan of Distribution” in this pricing supplement for additional information.
|
Final valuation date1, 2
|
June 7, 2027
|
Maturity date1
|
June 10, 2027
|
Underlyings
|
Shares of the iShares® MSCI EAFE ETF (Ticker:
EFA)
Shares of the iShares® Russell 2000 ETF (Ticker:
IWM)
Shares of the SPDR® S&P 500®
ETF Trust (Ticker: SPY) (Each an “ETF”)
|
Issuer call feature
|
The issuer may, in its sole discretion, call the notes in
whole, but not in part, on any coupon payment date prior to the maturity date upon not less than three (3) business days’ notice
prior to such coupon payment date.
If the notes are called, we will pay you on the applicable
coupon payment date a cash payment per $10.00 stated principal amount of each note equal to the stated principal amount per note plus
any contingent coupon otherwise due on such coupon payment date.
After the notes are called, no further payments will be made
on the notes.
|
Valuation dates1, 2
|
See “Valuation Dates/Coupon Payment Dates for the Offering of the Notes” on page PS-6.
|
Coupon payment dates
|
Three (3) business days following the applicable valuation date, except that the coupon payment date for the final valuation date is the maturity date. See “Valuation Dates/Coupon Payment Dates for the Offering of the Notes” on page PS-6.
|
Contingent coupon/contingent coupon rate
|
If the closing price of
the least performing underlying on a quarterly valuation date is greater than or equal to its coupon barrier, we will make a contingent
coupon payment with respect to that valuation date on the related coupon payment date.
However, if the closing price of the least performing underlying
on any quarterly valuation date is below its coupon barrier, no contingent coupon will be payable on that related coupon payment date.
Each contingent coupon payment will be in the amount of $0.215
for each $10.00 stated principal amount note (based on the per annum contingent coupon rate of 8.60%) and will be payable with respect
to each valuation date on which the closing price of the least performing underlying on that valuation date is greater than or equal to
its coupon barrier.
|
1
Expected. In the event that we make any changes to the expected trade date and settlement date, the valuation dates and maturity date
may be changed to ensure that the stated term of the notes remains the same.
2 Subject to postponement as described under
“Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying
product supplement.
|
Contingent coupon payments on the notes are not guaranteed. We will not pay you the contingent coupon for any valuation date on which the closing price of the least performing underlying on that valuation date is less than its coupon barrier.
|
Payment at maturity (per $10.00 stated principal amount of notes)
|
If the notes are not called prior to maturity and the final underlying
price of the least performing underlying on the final valuation date is greater than or equal to its downside threshold, we will pay
you the $10.00 stated principal amount plus any contingent coupon otherwise due on the maturity date.
If the notes are not called prior to maturity and the final underlying
price of the least performing underlying on the final valuation date is less than its downside threshold, we will pay you a cash payment
on the maturity date that is less than your stated principal amount and may be zero, resulting in a loss that is proportionate to the
negative underlying return of the least performing underlying on the final valuation date, equal to:
$10.00
× (1 + underlying return of the least performing underlying on the final valuation date)
Accordingly, you may lose all or a substantial portion of your
stated principal amount at maturity, depending on how significantly the least performing underlying declines.
|
Least performing underlying
|
On each valuation date, including the final valuation date, the underlying with the lowest underlying return on that valuation date.
|
Underlying return
|
For any underlying on any valuation date, calculated as follows:
current underlying price – initial underlying
price
initial underlying price
|
Downside threshold
|
For any underlying, 65.00% of its respective initial underlying price, as specified on the cover of this pricing supplement.
|
Coupon barrier
|
For any underlying, 70.00% of its respective initial underlying price, as specified on the cover of this pricing supplement.
|
Initial underlying price
|
For any underlying, its closing price on the trade date, as specified on the cover page of this pricing supplement.
|
Current underlying price
|
For any underlying and any valuation date, the closing price of that underlying on that valuation date.
|
Final underlying price
|
For any underlying, its closing price on the final valuation date.
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. THE CONTINGENT REPAYMENT OF THE STATED PRINCIPAL AMOUNT APPLIES ONLY IF YOU HOLD THE NOTES TO MATURITY. ANY PAYMENT ON THE NOTES IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER AND THE GUARANTOR. IF CITIGROUP GLOBAL MARKETS HOLDINGS INC. AND CITIGROUP INC. WERE TO DEFAULT ON THEIR OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
|
|
|
|
|
|
Trade date
|
|
The closing price of each underlying (its respective initial underlying price) is observed and the coupon barrier and downside threshold for each underlying are determined.
|
|
|
|
|
|
Quarterly
(callable by the issuer in its sole discretion)
|
|
If the closing price of the least performing
underlying on any quarterly valuation date is greater than or equal to its coupon barrier, we will pay you a contingent coupon on the
related coupon payment date. However, if the closing price of the least performing underlying on any quarterly valuation date is below
its coupon barrier, no coupon will be payable on the related coupon payment date.
The issuer may, in its sole discretion,
call the notes in whole, but not in part, on any coupon payment date prior to the maturity date upon not less than three (3) business
days’ notice prior to such coupon payment date.
If the notes are called, we will pay
you on the applicable coupon payment date a cash payment per $10.00 stated principal amount of each note equal to the stated principal
amount per note plus any contingent coupon otherwise due on such coupon payment date.
After the notes are called, no further
payments will be made on the notes.
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Maturity date (if not previously called)
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If the notes are not called prior to
maturity, the final underlying price of each underlying is observed on the final valuation date.
If the notes are not called prior
to maturity and the final underlying price of the least performing underlying on the final valuation date is greater than or equal to
its downside threshold, we will pay you the $10.00 stated principal amount plus any contingent coupon otherwise due on the maturity
date.
If the notes are not called prior
to maturity and the final underlying price of the least performing underlying on the final valuation date is less than its downside threshold,
we will pay you a cash payment on the maturity date that is less than your stated principal amount and may be zero, resulting in a
loss that is proportionate to the negative underlying return of the least performing underlying on the final valuation date, equal to:
$10.00
× (1 + underlying return of the least performing underlying on the final valuation date)
Accordingly, you may lose all or
a substantial portion of your stated principal amount at maturity, depending on how significantly the least performing underlying declines.
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Valuation
Dates/Coupon Payment Dates for the Offering of the Notes
Valuation Dates1
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Coupon Payment Dates
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March 7, 2022
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March 10, 2022
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June 6, 2022
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June 9, 2022
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September 6, 2022
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September 9, 2022
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December 6, 2022
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December 9, 2022
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March 6, 2023
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March 9, 2023
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June 6, 2023
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June 9, 2023
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September 6, 2023
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September 11, 2023
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December 6, 2023
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December 11, 2023
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March 6, 2024
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March 11, 2024
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June 6, 2024
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June 11, 2024
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September 6, 2024
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September 11, 2024
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December 6, 2024
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December 11, 2024
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March 6, 2025
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March 11, 2025
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June 6, 2025
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June 11, 2025
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September 8, 2025
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September 11, 2025
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December 8, 2025
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December 11, 2025
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March 6, 2026
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March 11, 2026
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June 8, 2026
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June 11, 2026
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September 8, 2026
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September 11, 2026
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December 7, 2026
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December 10, 2026
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March 8, 2027
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March 11, 2027
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June 7, 2027
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June 10, 2027
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1 Subject to postponement
as described under “Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
in the accompanying product supplement.
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.
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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 called prior to maturity and the final underlying
price 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 price of the least performing underlying is less than its initial
underlying price. There is no minimum payment at maturity on the notes, and you may lose up to all of your investment in the notes.
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You will not receive any contingent coupon payment for any quarter in which the closing price
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 price of the least performing underlying on the related valuation date
is greater than or equal to its coupon barrier. If the closing price 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 price 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.
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The notes are subject to the risks of each of the underlyings and will be negatively affected if any underlying performs poorly,
even if the other underlyings perform well — You are subject to risks associated with each of the underlyings. If any underlying
performs poorly, you will be negatively affected, even if the other underlyings perform 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 others. Instead, you are subject
to the full risks of each individual underlying. Furthermore, the risk that you will not receive the contingent 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.
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You will not benefit in any way from the performance of the better performing underlyings — The payment at maturity 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
underlyings. The notes may underperform a similar investment in all 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 underlyings would be blended with
the performance of the least performing underlying, resulting in a better return than the return of the least performing underlying.
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You will be subject to risks relating to the relationship among 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 better performing underlyings
are not relevant to your return on the notes. The iShares® MSCI EAFE ETF seeks to track an index composed of large-
and mid-capitalization developed market equities, excluding the U.S. and Canada, the iShares® Russell 2000 ETF seeks to
track an index of small capitalization stocks in the United States and the SPDR® S&P 500® ETF Trust
seeks to track the S&P 500® Index. Accordingly, the underlyings represent markets that differ in significant ways and,
therefore, may not be correlated with each other.
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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 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 among the underlyings are important factors affecting these risks. Greater expected volatility of, and lower expected
correlation among, 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 price 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 and that (ii) the closing price 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.
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Because the notes are linked to the performance of more than one underlying, there is a greater risk of contingent coupons not
being paid and of you sustaining a significant loss on your investment — The risk that you will not receive any contingent coupons
and lose some or all of your initial investment in the notes at maturity is greater if you invest in the notes as opposed to substantially
similar notes that are linked to the performance of fewer underlyings. With three underlyings, it is more likely that the closing price
of any underlying will be less than its coupon barrier on a valuation date or less than its downside threshold on the final valuation
date. Therefore it is more likely that you will not receive any contingent coupons and that you will suffer a significant loss on your
investment at maturity.
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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.
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We may call the notes in our sole discretion, which will limit your ability to receive the contingent coupon payments —
We may call the notes on any coupon payment date prior to the maturity date upon not less than three (3) business days’ notice.
In the event that we call the notes, you will receive the stated principal amount of your notes and any contingent coupon otherwise due
on such coupon payment date. Thus, the term of the notes may be limited to as short as approximately three months. If we call the notes
prior to maturity, you will not receive any additional contingent coupon payments. It is more likely that we will call the notes in our
sole discretion prior to maturity to the extent that the expected coupon payable on the notes is greater than the coupon that would be
payable on other instruments issued by us of comparable maturity, terms and credit rating trading in the market. The greater likelihood
of us calling the notes in that environment increases the risk that you will not be able to reinvest the proceeds from the called notes
in an another investment that provides a similar yield with a similar level of risk. We are less likely to call the notes prior to maturity
when the expected contingent coupon payable on the notes is less than the coupon that would be payable on other comparable instruments
issued by us, which includes when the price of any of the underlyings is less than its coupon barrier. Therefore, the notes are more likely
to remain outstanding when the expected contingent coupon payable on the notes is less than what would be payable on other comparable
instruments and when your risk of not receiving a contingent coupon is relatively higher.
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The notes offer downside exposure to the least performing underlying, but no upside exposure to any underlying — You
will not participate in any appreciation in the price 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.
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The payment at maturity depends on the closing price of the least performing underlying on a single day — If the closing
price of the least performing underlying on the final valuation date is less than its downside threshold, you will not receive the full
stated principal amount of your notes at maturity, even if the closing price of the least performing underlying is greater than its downside
threshold on other dates during the term of the notes.
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Investing in the notes is not equivalent to investing in any underlying or the stocks held by the underlyings — You
will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect to the underlying
shares or any of the stocks held by the underlyings. It is important to understand that, for purposes of measuring the performance of
the underlyings, the prices used will not reflect the receipt or reinvestment of dividends or distributions on any of the underlyings
or the stocks held by any of the underlyings. Dividend or distribution yield on the underlyings or the stocks held by the underlyings
would be expected to represent a significant portion of the overall return on a direct investment in the underlyings or the stocks held
by the underlyings, but will not be reflected in the performance of any of the underlyings as measured for purposes of the notes (except
to the extent that dividends and distributions reduce the prices of the underlyings).
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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.
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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
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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.
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The probability that the least performing underlying will fall below its coupon barrier on any valuation date or its downside threshold
on the final valuation date will depend in part on the volatility of, and correlation among, the underlyings — “Volatility”
refers to the frequency and magnitude of changes in the price 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 among the underlyings, the greater the probability that at least one 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 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 at least one of the underlyings will fall below its coupon barrier on one or more valuation dates, such
that you will not receive one or more contingent coupon payments, and that at least one of the underlyings will fall below its 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 among, the underlyings as of the trade date. If expectations
about the volatility of, and correlation among, 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 among
the underlyings proves to be lower than initially expected, the notes may prove to be riskier than expected on the trade date. In
addition, for each additional underlying to which the notes are linked, there is a greater potential for one pair of underlyings to have
low or negative correlation. Therefore, the greater the number of underlyings, the greater the potential for loss of principal at maturity.
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The estimated value of the notes on the trade date, based on CGMI’s proprietary pricing models and our internal funding rate,
will be less than the issue price — The difference is attributable to certain costs associated with selling, structuring and
hedging the 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.
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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 among the underlyings, dividend
yields on the underlyings and the stocks held by the issuers of 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.
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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.
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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
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.
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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.
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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-
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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 price and volatility of the underlyings and a number of other factors, including the price
and volatility of the stocks held by the issuers of the underlyings, the correlation among the underlyings, dividend yields on
the underlyings, interest rates generally, currency exchange rates, the time remaining to
maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the prices 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 issuer call, as applicable.
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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 decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing
supplement.
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Our offering of the notes is not a recommendation of any 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 of the underlyings 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
underlyings or the stocks that are held by the issuers of the underlyings or in instruments related to the underlyings or such stocks,
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 prices of the underlyings in a way that has a negative impact on your interests as a
holder of the notes.
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The shares of the iShares® MSCI EAFE ETF are subject to risks associated with non-U.S. markets. Investments
linked to the value of non-U.S. stocks involve risks associated with the securities markets in those countries, including risks of volatility
in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there is
generally less publicly available information about companies in some of these jurisdictions than about U.S. companies that are subject
to the reporting requirements of the SEC. Further, non-U.S. companies are generally subject to accounting, auditing and financial reporting
standards and requirements and securities trading rules that are different from those applicable to U.S. reporting companies. The prices
of securities in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions,
including changes in government, economic and fiscal policies and currency exchange laws. Moreover, the economies in such countries may
differ favorably or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation,
capital reinvestment, resources and self-sufficiency.
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Fluctuations in exchange rates will affect the closing price of the shares of the iShares® MSCI EAFE ETF. Because
the iShares® MSCI EAFE ETF includes stocks that trade outside the United States and the closing price of the shares of
the iShares® MSCI EAFE ETF is based on the U.S. dollar value of those stocks, the shares of the iShares®
MSCI EAFE ETF is subject to currency exchange rate risk with respect to each of the currencies in which such stocks trade. Exchange rate
movements may be volatile and may be driven by numerous factors specific to the relevant countries, including the supply of, and the demand
for, the applicable currencies, as well as government policy and intervention and macroeconomic factors. Exchange rate movements may also
be influenced significantly by speculative trading. In general, if the U.S. dollar strengthens against the currencies in which the stocks
included in the iShares® MSCI EAFE ETF trade, the closing price of the shares of the iShares® MSCI EAFE
ETF will be adversely affected for that reason alone.
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The shares of the iShares® Russell 2000 ETF are subject to risks associated with small capitalization stocks
— The stocks that constitute the index underlying the iShares® Russell 2000 ETF 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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Governmental regulatory actions could result in material changes to the composition of the Underlyings and could negatively affect
your return on the Notes. Governmental regulatory actions, including but not limited to sanctions-related actions by the U.S. or foreign
governments, could make it necessary or advisable for there to be material changes to the composition of the Underlyings, depending on
the nature of such governmental regulatory actions and the Underlying constituent stocks that are affected. If any governmental regulatory
action results in the removal of Underlying constituent stocks that have (or historically have had) significant weights within the applicable
Underlying, such removal, or even any uncertainty relating to a possible removal, could have a material and negative effect on the level
of the applicable Underlying and, therefore, your return on the Note.
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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 prices 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 prices 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.
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The notes may become linked to assets other than
the original underlyings upon the occurrence of a reorganization event or upon the delisting of an underlying —
For example, if an ETF enters
into a merger agreement that provides for holders of the such underlying to receive shares of another entity, the shares of such other
entity will become the applicable underlying for all purposes of
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the
notes upon consummation of the merger. Additionally, if an underlying is delisted, or an ETF
is otherwise terminated, the calculation agent may, in its sole discretion, select
shares of another ETF to be the applicable underlying. See “Description of the Securities— Certain Additional Terms
for Securities Linked to an Underlying Company or an Underlying ETF—Dilution
and Reorganization Adjustments” and “—Delisting, Liquidation or Termination of an Underlying ETF” in the accompanying
product supplement.
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An adjustment will not be made for all events
that may have a dilutive effect on or otherwise adversely affect the market price of an underlying —
Moreover, the adjustments we do make may not fully offset the dilutive or adverse
effect of the particular event. Investors in the notes may be adversely affected by such an event in a circumstance in which a direct
holder of the applicable underlying would not.
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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 expect to hedge our exposure under the notes through CGMI
or other of our affiliates, who will likely enter into equity and/or equity derivative transactions, such as over-the-counter options
or exchange-traded instruments, relating to the underlyings or the stocks held by the ETFs and other financial instruments related to
the underlyings or such stocks 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 the underlyings or the stocks held by the ETFs or in instruments linked to the underlyings or such stocks 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
prices 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
ETFs or the issuers of the stocks held by the ETFs, 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, corporate events with respect to any
underlying that may require a dilution adjustment or the delisting of an underlying, CGMI, as calculation agent, will be required to make
discretionary judgments that could significantly affect the return on the notes. Such judgments could include, among other things, any
price required to be determined under the notes. In addition, if certain events occur, CGMI will be required to make certain discretionary
judgments that could significantly affect the return on the notes. Such judgments could include, among other things:
|
|
¨
|
determining whether a market disruption event has occurred;
|
|
¨
|
if a market disruption event occurs on any valuation date, determining whether to postpone such
valuation date;
|
|
¨
|
determining the prices of the underlyings if the prices of the underlyings are not otherwise
available or a market disruption event has occurred;
|
|
¨
|
determining the appropriate adjustment to be made to the initial underlying price and downside
threshold for each affected underlying upon the occurrence of an event described under “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments”
in the accompanying product supplement; and
|
|
¨
|
selecting a successor ETF or performing an alternative calculation of the price of an underlying
if an underlying is delisted or an ETF is liquidated or otherwise terminated (see “Description of the Securities— Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting, Liquidation or Termination of an
Underlying ETF” 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.
|
¨
|
The price and performance of the underlyings may not completely track the performance of
the indices underlying the ETFs or the net asset value per share of the ETFs — The ETFs do not fully replicate the underlying
indices that they seek to track and may hold securities different from those included in the indices underlying the ETFs. In addition,
the performance of the underlyings will reflect transaction costs and fees of the ETFs that are not included in the calculation of the
indices underlying the ETFs. In addition, the ETFs may not hold all of the shares included in, and may hold securities and derivative
instruments that are not included in, the indices underlying the ETFs. All of these factors may lead to a lack of correlation between
the performance of the underlyings and the indices underlying the ETFs. In addition, corporate actions with respect to the equity securities
constituting the indices underlying the ETFs or held by the ETFs (such as mergers and spin-offs) may impact the variance between the performances
of the underlyings and the indices underlying the ETFs. Finally, because the underlyings are traded on NYSE Arca, Inc. and are subject
to market supply and investor demand, the market value of the underlyings may differ from the net asset value per share of the underlyings.
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During
periods of market volatility, securities underlying the ETFs may be unavailable in the secondary market, market participants may be unable
to calculate accurately the net asset value per share of the underlyings and the liquidity of the underlyings may be adversely affected.
This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the ETFs. Further, market
volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell the underlyings.
As a result, under these circumstances, the market value of the underlyings may vary substantially from the net asset value per share
of the underlyings. For all of the foregoing reasons, the performance of the underlyings may not correlate with the performance of the
indices underlying the ETFs and/or the net asset value per share of the underlyings, which could materially and adversely affect the value
of the notes in the secondary market and/or reduce one or more payments on the notes.
|
¨
|
Changes made by the investment advisers to the ETFs or by the sponsor of the indices underlying
the ETFs may adversely affect the underlyings — We are not affiliated with the investment advisers to the ETFs or with the sponsors
of the indices underlying the ETFs. Accordingly, we have no control over any changes such investment advisers or sponsors may make to
the ETFs or the indices underlying the ETFs. Such changes could be made at any time and could adversely affect the performance of the
underlyings.
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|
¨
|
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 an issuer
call or at maturity for a $10.00 stated principal amount note with the following assumptions* (the actual terms of the notes will be determined
on the trade date; amounts may have been rounded for ease of reference):
|
t
|
Stated Principal Amount: $10
|
|
t
|
Term: Approximately 5.5 years, unless called earlier
|
|
t
|
Hypothetical Initial Underlying Prices: For each Underlying, $100.00
|
|
t
|
Hypothetical Contingent Coupon Rate: 8.60% per annum (or 2.15% per quarter)
|
|
t
|
Hypothetical Quarterly Contingent Coupon Payment: $0.215 per quarter per note
|
|
t
|
Observation Periods / Observation Period End Dates: Quarterly, 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, $65.00 (which, with respect to each Underlying,
is 65% of its hypothetical initial underlying level)
|
*The hypothetical contingent coupon rate may not represent
the actual contingent coupon rate. The actual contingent coupon rate will be determined on the trade
date. 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 — The notes are called on the first coupon payment
date.
Date
|
Closing Price of the Underlying
|
Payment (per note)
|
Shares of the iShares® MSCI EAFE ETF
|
Shares of the iShares® Russell 2000 ETF
|
Shares of the SPDR® S&P 500® ETF Trust
|
First Valuation Date
|
$75.00 (at or above coupon barrier)
|
$80.00 (at or above coupon barrier)
|
$85.00 (at or above coupon barrier)
|
$10.215 (principal amount plus contingent coupon);
notes are called
|
|
|
|
Total Payment:
|
$10.215 (2.15% total return)
|
|
|
|
|
|
Since the notes are called by us in our sole discretion on the coupon
payment date related to the first valuation date and the closing price of each underlying on the first valuation date was greater than
its coupon barrier, we will pay you a total of $10.215 per note (equal to the stated principal amount plus the contingent coupon) on that
coupon payment date, representing a 2.15% total return on the notes over the approximately three months the notes were outstanding before
they were called by us in our sole discretion. You will not receive any further payments on the notes.
Example 2 — The notes are NOT called and the final underlying
price of the least performing underlying on the final valuation date is above its coupon barrier.
Date
|
Closing price of the Underlying
|
Payment (per note)
|
Shares of the iShares® MSCI EAFE ETF
|
Shares of the iShares® Russell 2000 ETF
|
Shares of the SPDR® S&P 500® ETF Trust
|
First Valuation Date
|
$75.00 (at or above coupon barrier)
|
$80.00 (at or above coupon barrier)
|
$85.00 (at or above coupon barrier)
|
$0.215 (contingent coupon); notes are not called
|
Second through Twenty-first Valuation Dates
|
Various (at or above coupon barrier)
|
Various (at or above coupon barrier)
|
Various (all below coupon barrier)*
|
$0; notes are not called
|
Final Valuation Date
|
$90.00 (at or above coupon barrier and downside
|
$89.00 (at or above coupon barrier and downside
|
$95.00 (at or above coupon barrier and downside
|
$10.215 (principal amount plus contingent
|
|
threshold)*
|
threshold)
|
threshold)
|
coupon)
|
|
|
|
Total Payment:
|
$10.43 (4.30% total return)
|
|
|
|
|
|
* Denotes least performing underlying
Since the closing price of each underlying on the first valuation date
was greater than its coupon barrier and the notes are not called by us on the related coupon payment date, we will pay you the applicable
contingent coupon of $0.215 per note on that coupon payment date. However, because the closing price of at least one underlying was below
its coupon barrier on each of the second to twenty-first valuation dates, you will not receive any contingent coupons on any of the related
coupon payment dates.
On the final valuation date, the least performing underlying on the
final valuation date closes at or above its coupon barrier. Therefore, at maturity, you would receive a total of $10.215 per note, reflecting
the $10.00 stated principal amount plus the applicable contingent coupon. When added
to the contingent coupon payment of $0.215 received in respect of the first valuation date, you would have been paid a total of $10.43
per note, representing a 4.30% total return on the notes over the 5.5 year term of the notes.
Example 3 — The notes are NOT called and the final underlying
price of the least performing underlying on the final valuation date is above its downside threshold but below its coupon barrier.
Date
|
Closing price of the Underlying
|
Payment (per note)
|
Shares of the iShares® MSCI EAFE ETF
|
Shares of the iShares® Russell 2000 ETF
|
Shares of the SPDR® S&P 500® ETF Trust
|
First Valuation Date
|
$80.00 (at or above coupon barrier)
|
$85.00 (at or above coupon barrier)
|
$80.00 (at or above coupon barrier)
|
$0.215 (contingent coupon); notes are not called
|
Second through Twenty-first Valuation Dates
|
Various (at or above coupon barrier)
|
Various (at or above coupon barrier)
|
Various (all below coupon barrier)*
|
$0; notes are not called
|
Final Valuation Date
|
$68.00 (below coupon barrier, at or above downside threshold)*
|
$90.00 (at or above coupon barrier and downside threshold)
|
$85.00 (at or above coupon barrier and downside threshold)
|
$10.00 (principal amount)
|
|
|
|
Total Payment:
|
$10.215 (2.15% total return)
|
|
|
|
|
|
* Denotes least performing underlying
Since the closing price of each underlying on the first valuation date
was greater than its coupon barrier and the notes are not called by us on the related coupon payment date, we will pay you the applicable
contingent coupon of $0.215 per note on that coupon payment date. However, because the closing price of at least one underlying was below
its coupon barrier on each of the second to twenty-first valuation dates, you will not receive any contingent coupons on any of the related
coupon payment dates.
On the final valuation date, the least performing
underlying on the final valuation date closes at or above its downside threshold but below its 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 contingent coupon payment of $0.215
received in respect of the first valuation date, you would have been paid a total of $10.215 per note, representing a 2.15% total return
on the notes over the 5.5 year term of the notes.
Example 4 — The notes are NOT called and the final underlying price of the least performing underlying on the final valuation
date is below its downside threshold.
Date
|
Closing price of the Underlying
|
Payment (per note)
|
Shares of the iShares® MSCI EAFE ETF
|
Shares of the iShares® Russell 2000 ETF
|
Shares of the SPDR® S&P 500® ETF Trust
|
First through Twenty-first valuation dates
|
Various (all below coupon barrier)
|
Various (all below coupon barrier)
|
Various (all below coupon barrier)
|
$0; notes are not called
|
Final Valuation Date
|
$60.00 (at or above coupon barrier and downside threshold)
|
$60.00 (below coupon barrier and downside threshold)*
|
$300.00 (at or above coupon barrier and 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
|
|
|
|
Total Payment:
|
$3.00 (-70.00% total return)
|
|
|
|
|
|
* Denotes least performing underlying
Since the closing price of at least one underlying was below its coupon
barrier on each valuation date, 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.
Shares of the iShares® MSCI EAFE ETF
|
The iShares® MSCI EAFE ETF is an exchange-traded fund
that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly
traded securities in certain developed markets, excluding the United States and Canada, as measured by the MSCI EAFE® Index.
However, for purposes of the notes, the performance of the iShares® MSCI EAFE ETF will reflect only its price performance,
as any dividends paid on the shares of the iShares® MSCI EAFE ETF will not be factored into a determination of the closing
price of the iShares® MSCI EAFE ETF. The MSCI EAFE® Index was developed by MSCI Inc. as an equity benchmark
for international stock performance, and is designed to measure equity market performance in certain developed markets, excluding the
United States and Canada.
The iShares® MSCI EAFE ETF is an investment portfolio
managed by iShares® Trust. BlackRock Fund Advisors is the investment adviser to the iShares® MSCI EAFE ETF.
iShares® Trust is a registered investment company that consists of numerous separate investment portfolios, including the
iShares® MSCI EAFE ETF. Information provided to or filed with the SEC by iShares® Trust pursuant to the
Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers
333-92935 and 811-09729, respectively, through the SEC’s website at http://www.sec.gov. In addition, information may be obtained
from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. The iShares®
MSCI EAFE ETF trades on the NYSE Arca under the ticker symbol “EFA.”
We have derived all disclosures
contained in this pricing supplement regarding the iShares® MSCI EAFE ETF from
the publicly available documents described above. We have not independently verified such information. Such information reflects the policies
of, and is subject to change by, iShares® Trust. and BlackRock Fund Advisors.
In connection with the offering of the notes, none of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated
in the preparation of such documents or made any due diligence inquiry with respect to the iShares® MSCI EAFE ETF.
Please refer to the section “Fund
Descriptions—The iShares® ETFs—iShares® MSCI EAFE ETF” in the accompanying underlying
supplement for important disclosures regarding the iShares® MSCI EAFE ETF.
The following table sets forth,
for each of the quarterly periods indicated, the high and low closing prices of, and dividends paid on, shares of the iShares®
MSCI EAFE ETF from January 3, 2011 through December 2, 2021. The closing price of the iShares® MSCI EAFE ETF on December
2, 2021 was $77.35. The initial underlying price with respect to shares of the iShares® MSCI EAFE ETF will be their closing
price on the trade date. We obtained the closing prices and other information below from Bloomberg, L.P., without independent verification.
The closing prices and this other information may be adjusted by Bloomberg, L.P. for corporate actions such as stock splits, public offerings,
mergers and acquisitions, spin-offs, delistings and bankruptcy. Since its inception, the price of the shares of the iShares®
MSCI EAFE ETF has experienced significant fluctuations. The historical performance of the shares of the iShares® MSCI EAFE
ETF should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the shares of
the iShares® MSCI EAFE ETF during the term of the notes. We cannot give you assurance that the performance of the shares
of the iShares® MSCI EAFE ETF will result in the return of any of your initial investment. We make no representation as
to the amount of dividends, if any, that the iShares® MSCI EAFE ETF will pay in the future. In any event, as an investor
in the notes, you will not be entitled to receive dividends, if any, that may be payable on the shares of the iShares®
MSCI EAFE ETF.
Quarter Begin
|
Quarter End
|
Quarterly
High
|
Quarterly
Low
|
Dividends
|
01/03/11
|
03/31/11
|
$61.91
|
$55.31
|
$0.00000
|
04/01/11
|
06/30/11
|
$63.87
|
$57.10
|
$1.14099
|
07/01/11
|
09/30/11
|
$60.80
|
$46.66
|
$0.00000
|
10/03/11
|
12/30/11
|
$55.57
|
$46.45
|
$0.56923
|
01/03/12
|
03/30/12
|
$55.80
|
$49.15
|
$0.00000
|
04/02/12
|
06/29/12
|
$55.51
|
$46.55
|
$1.14909
|
07/02/12
|
09/28/12
|
$55.15
|
$47.62
|
$0.00000
|
10/01/12
|
12/31/12
|
$56.88
|
$51.96
|
$0.60952
|
01/02/13
|
03/28/13
|
$59.89
|
$56.90
|
$0.00000
|
04/01/13
|
06/28/13
|
$63.53
|
$57.03
|
$0.00000
|
07/01/13
|
09/30/13
|
$65.05
|
$57.55
|
$1.15150
|
10/01/13
|
12/31/13
|
$67.06
|
$62.71
|
$0.55171
|
01/02/14
|
03/31/14
|
$68.03
|
$62.31
|
$0.00000
|
04/01/14
|
06/30/14
|
$70.67
|
$66.26
|
$0.00000
|
07/01/14
|
09/30/14
|
$69.25
|
$64.12
|
$1.67620
|
10/01/14
|
12/31/14
|
$64.51
|
$59.53
|
$0.58518
|
01/02/15
|
03/31/15
|
$65.99
|
$58.48
|
$0.00000
|
04/01/15
|
06/30/15
|
$68.42
|
$63.49
|
$0.00000
|
07/01/15
|
09/30/15
|
$65.46
|
$56.25
|
$1.11129
|
10/01/15
|
12/31/15
|
$62.06
|
$57.50
|
$0.50836
|
01/04/16
|
03/31/16
|
$57.80
|
$51.38
|
$0.00000
|
04/01/16
|
06/30/16
|
$59.87
|
$52.64
|
$1.17482
|
07/01/16
|
09/30/16
|
$59.86
|
$54.44
|
$0.00000
|
10/03/16
|
12/30/16
|
$59.20
|
$56.20
|
$0.59617
|
01/03/17
|
03/31/17
|
$62.60
|
$58.09
|
$0.00000
|
04/03/17
|
06/30/17
|
$67.22
|
$61.44
|
$1.06173
|
07/03/17
|
09/29/17
|
$68.48
|
$64.83
|
$0.00000
|
10/02/17
|
12/29/17
|
$70.80
|
$68.42
|
$0.74257
|
01/02/18
|
03/29/18
|
$75.25
|
$67.94
|
$0.00000
|
04/02/18
|
06/29/18
|
$71.90
|
$66.35
|
$1.35355
|
07/02/18
|
09/28/18
|
$68.98
|
$65.43
|
$0.00000
|
10/01/18
|
12/31/18
|
$68.07
|
$56.89
|
$0.63799
|
01/02/19
|
03/29/19
|
$65.61
|
$58.13
|
$0.00000
|
04/01/19
|
06/28/19
|
$66.99
|
$63.40
|
$1.37612
|
07/01/19
|
09/30/19
|
$66.68
|
$61.30
|
$0.00000
|
10/01/19
|
12/31/19
|
$69.66
|
$63.25
|
$0.77580
|
01/02/20
|
03/31/20
|
$70.38
|
$46.50
|
$0.00000
|
04/01/20
|
06/30/20
|
$64.65
|
$50.90
|
$0.85774
|
07/01/20
|
09/30/20
|
$65.92
|
$61.10
|
$0.00000
|
10/01/20
|
12/31/20
|
$73.52
|
$61.39
|
$0.69450
|
01/04/21
|
03/31/21
|
$76.92
|
$72.39
|
$0.00000
|
04/01/21
|
06/30/21
|
$81.95
|
$76.86
|
$1.10181
|
07/01/21
|
09/30/21
|
$82.13
|
$76.90
|
$0.00000
|
10/01/21
|
12/02/21*
|
$81.83
|
$76.40
|
$0.00000
|
* As of the date of this pricing supplement, available information for the fourth calendar quarter of 2021 includes data for the period from October 1, 2021 through December 2, 2021. Accordingly, the “Quarterly High,” “Quarterly Low” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2021.
|
The graph below illustrates
the performance of the shares of the iShares® MSCI EAFE ETF from January 3, 2011 through December 2, 2021. The closing
price of the shares of the iShares® MSCI EAFE ETF on December 2, 2021 was $77.35. We obtained the closing prices of the
shares of the iShares® MSCI EAFE ETF from Bloomberg, and we have not participated in the preparation of or verified such
information. The historical closing prices of the shares of the iShares® MSCI EAFE ETF should not be taken as an indication
of future performance and no assurance can be given as to the final underlying price or any future closing price of the shares of the
iShares® MSCI EAFE ETF. We cannot give you assurance that the performance of the shares of the iShares®
MSCI EAFE ETF 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.
Shares of the iShares® Russell 2000 ETF
|
The iShares® Russell
2000 ETF is an exchange-traded fund that seeks to provide investment results, before expenses, that generally correspond to the performance
of the Russell 2000® Index. The iShares® Russell 2000 ETF is an investment portfolio managed by iShares®,
Inc. BlackRock Fund Advisors is the investment advisor to the iShares® Russell 2000 ETF. iShares®, Inc.
is a registered investment company that consists of numerous separate investment portfolios, including the iShares® Russell
2000 ETF. Information provided to or filed with the SEC by iShares®, Inc. pursuant to the Securities Act of 1933, as amended,
and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-92935 and 811-09729, respectively,
through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including, but not
limited to, press releases, newspaper articles and other publicly disseminated documents. The iShares® Russell 2000 ETF
trades on the NYSE Arca under the ticker symbol “IWM.”
We have derived all disclosures
contained in this pricing supplement regarding the iShares® Russell 2000 ETF from the publicly available documents described
above. We have not independently verified such information. Such information reflects the policies of, and is subject to change by, iShares®,
Inc. and BlackRock Fund Advisors. In connection with the offering of the notes, none of Citigroup Global Markets Holdings Inc., Citigroup
Inc. or CGMI has participated in the preparation of such documents or made any due diligence inquiry with respect to the iShares®
Russell 2000 ETF.
Please refer to the section “Fund
Descriptions—The iShares® ETFs—The iShares® Russell 2000 ETF” in the accompanying underlying
supplement for important disclosures regarding the iShares® Russell 2000 ETF.
The following table sets forth,
for each of the quarterly periods indicated, the high and low closing prices of, and dividends paid on, shares of the iShares®
Russell 2000 ETF from January 3, 2011 through December 2, 2021. The closing price of the iShares® Russell 2000 ETF on December
2, 2021 was $219.21. The initial underlying price with respect to shares of the iShares® Russell 2000 ETF will be their
closing price on the trade date. We obtained the closing prices and other information below from Bloomberg, L.P., without independent
verification. The closing prices and this other information may be adjusted by Bloomberg, L.P. for corporate actions such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. Since its inception, the price of the shares of the
iShares® Russell 2000 ETF has experienced significant fluctuations. The historical performance of the shares of the iShares®
Russell 2000 ETF should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of
the shares of the iShares® Russell 2000 ETF during the term of the notes. We cannot give you assurance that the performance
of the shares of the iShares® Russell 2000 ETF will result in the return of any of your initial investment. We make no
representation as to the amount of dividends, if any, that the iShares® Russell 2000 ETF will pay in the future. In any
event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the shares of the iShares®
Russell 2000 ETF.
Quarter Begin
|
Quarter End
|
Quarterly
High
|
Quarterly
Low
|
Dividends
|
01/03/11
|
03/31/11
|
$84.17
|
$77.18
|
$0.16893
|
04/01/11
|
06/30/11
|
$86.37
|
$77.77
|
$0.00000
|
07/01/11
|
09/30/11
|
$85.65
|
$64.25
|
$0.50167
|
10/03/11
|
12/30/11
|
$76.45
|
$60.97
|
$0.35955
|
01/03/12
|
03/30/12
|
$84.41
|
$74.56
|
$0.25135
|
04/02/12
|
06/29/12
|
$83.79
|
$73.64
|
$0.00000
|
07/02/12
|
09/28/12
|
$86.40
|
$76.68
|
$0.70880
|
10/01/12
|
12/31/12
|
$84.69
|
$76.88
|
$0.72661
|
01/02/13
|
03/28/13
|
$94.80
|
$86.65
|
$0.00000
|
04/01/13
|
06/28/13
|
$99.51
|
$89.58
|
$0.26400
|
07/01/13
|
09/30/13
|
$107.10
|
$98.08
|
$0.71354
|
10/01/13
|
12/31/13
|
$115.31
|
$103.67
|
$0.43673
|
01/02/14
|
03/31/14
|
$119.83
|
$108.64
|
$0.30209
|
04/01/14
|
06/30/14
|
$118.81
|
$108.88
|
$0.00000
|
07/01/14
|
09/30/14
|
$120.02
|
$109.35
|
$0.76389
|
10/01/14
|
12/31/14
|
$121.08
|
$104.30
|
$0.44501
|
01/02/15
|
03/31/15
|
$126.03
|
$114.69
|
$0.38318
|
04/01/15
|
06/30/15
|
$129.01
|
$120.85
|
$0.00000
|
07/01/15
|
09/30/15
|
$126.31
|
$107.53
|
$0.52917
|
10/01/15
|
12/31/15
|
$119.85
|
$109.01
|
$0.82006
|
01/04/16
|
03/31/16
|
$110.62
|
$94.80
|
$0.32664
|
04/01/16
|
06/30/16
|
$118.43
|
$108.69
|
$0.00000
|
07/01/16
|
09/30/16
|
$125.70
|
$113.69
|
$0.96480
|
10/03/16
|
12/30/16
|
$138.31
|
$115.00
|
$0.56296
|
01/03/17
|
03/31/17
|
$140.36
|
$133.75
|
$0.38677
|
04/03/17
|
06/30/17
|
$142.10
|
$133.72
|
$0.00000
|
07/03/17
|
09/29/17
|
$148.18
|
$134.83
|
$0.95762
|
10/02/17
|
12/29/17
|
$154.30
|
$145.63
|
$0.57930
|
01/02/18
|
03/29/18
|
$159.96
|
$145.44
|
$0.36237
|
04/02/18
|
06/29/18
|
$169.97
|
$148.13
|
$0.00000
|
07/02/18
|
09/28/18
|
$173.02
|
$164.20
|
$0.59516
|
10/01/18
|
12/31/18
|
$166.33
|
$125.88
|
$0.91970
|
01/02/19
|
03/29/19
|
$158.24
|
$132.25
|
$0.41206
|
04/01/19
|
06/28/19
|
$160.71
|
$145.86
|
$0.53299
|
07/01/19
|
09/30/19
|
$157.90
|
$144.85
|
$0.54371
|
10/01/19
|
12/31/19
|
$166.68
|
$146.46
|
$0.59734
|
01/02/20
|
03/31/20
|
$169.53
|
$99.90
|
$0.41988
|
04/01/20
|
06/30/20
|
$153.09
|
$104.62
|
$0.46578
|
07/01/20
|
09/30/20
|
$158.46
|
$139.07
|
$0.56644
|
10/01/20
|
12/31/20
|
$199.14
|
$152.18
|
$0.59248
|
01/04/21
|
03/31/21
|
$234.42
|
$193.50
|
$0.39810
|
04/01/21
|
06/30/21
|
$232.89
|
$211.85
|
$0.34716
|
07/01/21
|
09/30/21
|
$231.39
|
$211.17
|
$0.67897
|
10/01/21
|
12/02/21*
|
$242.56
|
$213.26
|
$0.00000
|
*As of the date of this pricing supplement, available information for the fourth calendar quarter of 2021 includes data for the period from October 1, 2021 through December 2, 2021. Accordingly, the “Quarterly High,” “Quarterly Low” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2021.
|
The graph below illustrates
the performance of the shares of the iShares® Russell 2000 ETF from January 3, 2011 through December 2, 2021. The closing
price of the shares of the iShares® Russell 2000 ETF on December 2, 2021 was $219.21. We obtained the closing prices of
the shares of the iShares® Russell 2000 ETF from Bloomberg, and we have not participated in the preparation of or verified
such information. The historical closing prices of the shares of the iShares® Russell 2000 ETF should not be taken as an
indication of future performance and no assurance can be given as to the final underlying price or any future closing price of the shares
of the iShares® Russell 2000 ETF. We cannot give you assurance that the performance of the shares of the iShares®
Russell 2000 ETF 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.
Shares of the SPDR® S&P 500® ETF Trust
|
The SPDR® S&P 500® ETF Trust is an
exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the performance of 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. The SPDR® S&P 500® ETF Trust
is managed by State Street Bank and Trust Company (“SSBTC”), as trustee of the SPDR® S&P 500®
ETF Trust and PDR Services LLC (“PDRS”), as sponsor of the SPDR® S&P 500® ETF Trust. Information
provided to or filed with the SEC by SPDR® S&P 500® ETF Trust pursuant to the Securities Act of 1933,
as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 033-46080 and 811-06125,
respectively, through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including,
but not limited to, press releases, newspaper articles and other publicly disseminated documents. The SPDR® S&P 500®
ETF Trust trade on the NYSE Arca under the ticker symbol “SPY.”
We have derived all disclosures
contained in this pricing supplement regarding the SPDR® S&P 500® ETF Trust from the publicly available
documents described above. We have not independently verified such information. Such information reflects the policies of, and is subject
to change by, State Street Bank and Trust Company and PDR Services LLC. In connection with the offering of the notes, none of Citigroup
Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated in the preparation of such documents or made any due diligence inquiry
with respect to the SPDR® S&P 500® ETF Trust.
Please refer to the section “Fund
Descriptions—The SPDR® S&P 500® ETF Trust” in the accompanying underlying supplement for
important disclosures regarding the SPDR® S&P 500® ETF Trust.
The following table sets forth,
for each of the quarterly periods indicated, the high and low closing prices of, and dividends paid on, shares of the SPDR®
S&P 500® ETF Trust from January 3, 2011 through December 2, 2021. The closing price of the SPDR® S&P
500® ETF Trust on December 2, 2021 was $457.40. The initial underlying price with respect to shares of the SPDR®
S&P 500® ETF Trust will be their closing price on the trade date. We obtained the closing prices and other information
below from Bloomberg, L.P., without independent verification. The closing prices and this other information may be adjusted by Bloomberg,
L.P. for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. Since
its inception, the price of the shares of the SPDR® S&P 500® ETF Trust has experienced significant fluctuations.
The historical performance of the shares of the SPDR® S&P 500® ETF Trust should not be taken as an indication
of future performance, and no assurance can be given as to the closing prices of the shares of the SPDR® S&P 500®
ETF Trust during the term of the notes. We cannot give you assurance that the performance of the shares of the SPDR® S&P
500® ETF Trust will result in the return of any of your initial investment. We make no representation as to the amount
of dividends, if any, that the SPDR® S&P 500® ETF Trust will pay in the future. In any event, as an
investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the shares of the SPDR®
S&P 500® ETF Trust.
Quarter Begin
|
Quarter End
|
Quarterly
High
|
Quarterly
Low
|
Dividends
|
01/03/11
|
03/31/11
|
$134.57
|
$126.21
|
$0.65276
|
04/01/11
|
06/30/11
|
$136.54
|
$126.81
|
$0.55332
|
07/01/11
|
09/30/11
|
$135.46
|
$112.26
|
$0.62762
|
10/03/11
|
12/30/11
|
$128.68
|
$109.93
|
$0.62495
|
01/03/12
|
03/30/12
|
$141.61
|
$127.49
|
$0.77013
|
04/02/12
|
06/29/12
|
$141.79
|
$128.10
|
$0.61389
|
07/02/12
|
09/28/12
|
$147.24
|
$133.51
|
$0.68826
|
10/01/12
|
12/31/12
|
$146.27
|
$135.70
|
$0.77945
|
01/02/13
|
03/28/13
|
$156.73
|
$145.53
|
$1.02183
|
04/01/13
|
06/28/13
|
$167.11
|
$154.14
|
$0.69372
|
07/01/13
|
09/30/13
|
$173.14
|
$161.16
|
$0.83912
|
10/01/13
|
12/31/13
|
$184.67
|
$165.48
|
$0.83795
|
01/02/14
|
03/31/14
|
$188.26
|
$174.15
|
$0.98025
|
04/01/14
|
06/30/14
|
$196.48
|
$181.48
|
$0.82461
|
07/01/14
|
09/30/14
|
$201.82
|
$190.99
|
$0.93669
|
10/01/14
|
12/31/14
|
$208.72
|
$186.27
|
$0.93919
|
01/02/15
|
03/31/15
|
$211.99
|
$198.97
|
$1.13492
|
04/01/15
|
06/30/15
|
$213.50
|
$205.42
|
$0.93081
|
07/01/15
|
09/30/15
|
$212.59
|
$187.27
|
$1.03007
|
10/01/15
|
12/31/15
|
$211.00
|
$192.13
|
$1.03343
|
01/04/16
|
03/31/16
|
$206.10
|
$183.03
|
$1.21155
|
04/01/16
|
06/30/16
|
$212.39
|
$199.53
|
$1.04960
|
07/01/16
|
09/30/16
|
$219.09
|
$208.39
|
$1.07844
|
10/03/16
|
12/30/16
|
$227.76
|
$208.55
|
$1.08207
|
01/03/17
|
03/31/17
|
$239.78
|
$225.24
|
$1.32893
|
04/03/17
|
06/30/17
|
$244.66
|
$232.51
|
$1.03312
|
07/03/17
|
09/29/17
|
$251.23
|
$240.55
|
$1.18311
|
10/02/17
|
12/29/17
|
$268.20
|
$252.32
|
$1.23457
|
01/02/18
|
03/29/18
|
$286.58
|
$257.63
|
$1.35133
|
04/02/18
|
06/29/18
|
$278.92
|
$257.47
|
$1.09678
|
07/02/18
|
09/28/18
|
$293.58
|
$270.90
|
$1.24557
|
10/01/18
|
12/31/18
|
$291.73
|
$234.34
|
$1.32261
|
01/02/19
|
03/29/19
|
$284.73
|
$244.21
|
$1.43543
|
04/01/19
|
06/28/19
|
$295.86
|
$274.57
|
$1.23312
|
07/01/19
|
09/30/19
|
$302.01
|
$283.82
|
$1.43164
|
10/01/19
|
12/31/19
|
$322.94
|
$288.06
|
$1.38362
|
01/02/20
|
03/31/20
|
$338.34
|
$222.95
|
$1.56999
|
04/01/20
|
06/30/20
|
$323.20
|
$246.15
|
$1.40556
|
07/01/20
|
09/30/20
|
$357.70
|
$310.52
|
$1.36624
|
10/01/20
|
12/31/20
|
$373.88
|
$326.54
|
$1.33922
|
01/04/21
|
03/31/21
|
$397.26
|
$368.79
|
$1.58000
|
04/01/21
|
06/30/21
|
$428.06
|
$400.61
|
$1.27779
|
07/01/21
|
09/30/21
|
$453.19
|
$424.97
|
$1.37588
|
10/01/21
|
12/02/21*
|
$469.73
|
$428.64
|
$1.42812
|
*As of the date of this pricing supplement, available information for the fourth calendar quarter of 2021 includes data for the period from October 1, 2021 through December 2, 2021. Accordingly, the “Quarterly High,” “Quarterly Low” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2021.
|
The graph below illustrates
the performance of the shares of the SPDR® S&P 500® ETF Trust from January 3, 2011 through December
2, 2021. The closing price of the shares of the SPDR® S&P 500® ETF Trust on December 2, 2021 was $457.40.
We obtained the closing prices of the shares of the SPDR® S&P 500® ETF Trust from Bloomberg, and we
have not participated in the preparation of or verified such information. The historical closing prices of the shares of the SPDR®
S&P 500® ETF Trust should not be taken as an indication of future performance and no assurance can be given as to the
final underlying price or any future closing price of the shares of the SPDR® S&P 500® ETF Trust. We
cannot give you assurance that the performance of the shares of the SPDR® S&P 500® ETF Trust 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 shares of the iShares® MSCI EAFE ETF, shares of the iShares® Russell
2000 ETF and shares of the SPDR® S&P 500® ETF Trust from January 3, 2011 through December 2, 2021, based
on the daily closing prices of the underlyings. For comparison purposes, each underlying has been normalized to have a closing price of
$100.00 on January 3, 2011 by dividing the closing price of that underlying on each day by the closing price of that underlying on January
3, 2011 and multiplying by 100.00.
We obtained the closing prices
used to determine the normalized closing prices 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 prices of the underlyings during the term of the notes, including
on any valuation date. Moreover, any historical correlation among the underlyings is not indicative of the degree of correlation among
the underlyings, if any, over the term of the notes.
PAST PERFORMANCE AND CORRELATION AMONG 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 underlyings. However, the graph does not provide a precise measure of correlation and there may be relevant aspects of the
historical correlation among the underlyings that cannot be discerned from the graph. Furthermore, regardless of the degree of correlation
among 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 among 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 more of the underlyings might close below its
coupon barrier or downside threshold on any valuation date or the final valuation date, respectively, as all of the underlyings may decrease
in value together.
The terms of the notes are set, in part, based on expectations about
the correlation among the underlyings as of the trade date. If expectations about the correlation among the underlyings change over the
term of the notes, the value of the notes may be adversely affected, and if the actual correlation among 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.