KEY TERMS
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup
Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed
by Citigroup Inc.
|
Underlying
shares:
|
Underlying
shares
|
Initial
share price*
|
Downside
threshold price**
|
|
Shares
of Financial Select Sector SPDR® Fund (ticker symbol: “XLF”)
|
$38.77
|
$25.201
|
|
Shares
of Energy Select Sector SPDR® Fund (ticker symbol: “XLE”)
|
$55.58
|
$36.127
|
|
Shares
of Industrial Select Sector SPDR® Fund (ticker symbol: “XLI”)
|
$103.21
|
$67.087
|
|
The
Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR®
Fund and the Industrial Select Sector SPDR® Fund are each an “underlying
share issuer” or “ETF.”
* The closing price of the applicable underlying shares on the
pricing date
** For each of the underlying shares, 65% of the applicable initial
share price
|
Aggregate stated principal amount:
|
$4,497,250
|
Stated principal amount:
|
$10 per security
|
Pricing date:
|
November 26, 2021
|
Issue date:
|
December 1, 2021
|
Valuation dates:
|
February 28, 2022, May 26, 2022, August 26, 2022, November 28, 2022, February 27, 2023,
May 26, 2023, August 28, 2023, November 27, 2023, February 26, 2024, May 28, 2024, August 26, 2024 and November 26, 2024 (the “final
valuation date”), each subject to postponement if such date is not a scheduled trading day for any underlying shares or if
certain market disruption events occur with respect to any underlying shares.
|
Maturity date:
|
Unless earlier automatically redeemed, December 2, 2024
|
Contingent coupon payment dates:
|
For each valuation date, the third business day after such valuation date, except that
the contingent coupon payment date for the final valuation date will be the maturity date.
|
Contingent coupon:
|
On each quarterly contingent coupon payment date, unless previously automatically redeemed,
the securities will pay a contingent coupon equal to 2.125% of the stated principal amount of the securities (8.50% per annum) if
and only if the closing price of the worst performing underlying shares on the related valuation date is greater than or equal
to the applicable downside threshold price. If the closing price of the worst performing underlying shares on any quarterly valuation
date is less than the applicable downside threshold price, you will not receive any contingent coupon payment on the related contingent
coupon payment date.
|
Payment at maturity:
|
If the securities are not automatically redeemed
prior to maturity, for each $10 stated principal amount security you hold at maturity, you will receive cash in an
amount determined as follows:
▪
If the final share price of the worst performing underlying shares on the final valuation date is greater than or
equal to the applicable downside threshold price: $10 + the contingent coupon payment due at maturity
▪
If the final share price of the worst performing underlying shares on the final valuation date is less than
the applicable downside threshold price: $10 + ($10 × the share return of the worst performing underlying shares on the final
valuation date)
If the final share price of the worst performing underlying
shares on the final valuation date is less than the applicable downside threshold price, you will receive less, and possibly significantly
less, than 65% of the stated principal amount of your securities at maturity, and you will not receive any contingent coupon payment
at maturity.
|
Listing:
|
The securities will not be listed on any securities exchange
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting
as principal
|
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee
|
Proceeds to issuer
|
Per security:
|
$10.00
|
$0.20(2)
|
$9.75
|
|
|
$0.05(3)
|
|
Total:
|
$4,497,250.00
|
$112,431.25
|
$4,384,818.75
|
(Key Terms continued
on next page)
(1) On the date of this pricing supplement,
the estimated value of the securities is $9.374 per security, which is less than the issue price. The estimated value of the securities
is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or
other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities
from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global
Markets Holdings Inc. and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee
of $0.25 for each $10 security sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management, and their
financial advisors will collectively receive from CGMI a fixed selling concession of $0.20 for each $10 security they sell. Additionally,
it is possible that CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities
declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee payable
to Morgan Stanley Wealth Management by CGMI of $0.05 for each security.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-10.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this pricing
supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete.
Any representation to the contrary is a criminal offense.
You should read this pricing supplement together
with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed
via the hyperlinks below:
Product
Supplement No. EA-04-09 dated May 11, 2021 Underlying
Supplement No. 10 dated May 11, 2021
Prospectus
and Prospectus Supplement each dated May 11, 2021
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
KEY TERMS (continued)
|
|
Automatic early redemption:
|
If, on any valuation date (other than the final valuation date), the closing price of the worst
performing underlying shares on that valuation date is greater than or equal to the applicable initial share price, each security
you then hold will be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to the early
redemption payment. If the securities are redeemed, no further payments will be made.
|
Early redemption payment:
|
The stated principal amount of $10 per security plus the related contingent coupon payment
|
Final share price:
|
For each of the underlying shares, the applicable closing price on the final valuation date
|
Share return:
|
For each of the underlying shares on any valuation date, (i) its closing price on that valuation
date minus its initial share price, divided by (ii) its initial share price
|
Worst performing underlying shares:
|
For any valuation date, the underlying shares with the lowest share return on that valuation date
|
CUSIP / ISIN:
|
17329T518 / US17329T5184
|
Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain
events may occur that could affect whether you receive a contingent coupon payment on a contingent coupon payment date as well as your
payment at maturity, such as market disruption events and other events affecting the underlying shares. 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 underlying shares that are not repeated in this pricing supplement. It is important that you read the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement in connection with
your investment in the securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product
supplement.
Dilution and Reorganization Adjustments. The initial share price
and the downside threshold price applicable to each of the underlying shares are each a “Relevant Value” for purposes of
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. Accordingly, the initial
share price and the downside threshold price applicable to each of the underlying shares are each subject to adjustment upon the occurrence
of any of the events described in that section.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Investment Summary
The securities provide an opportunity for investors to earn a quarterly
contingent coupon payment, which is an amount equal to $0.20 (2.00% of the stated principal amount) per security, with respect to each
quarterly valuation date on which the closing price of the worst performing underlying shares on that valuation date is greater than
or equal to 65% of the applicable initial share price, which we refer to as the applicable downside threshold price. The worst performing
underlying shares on any valuation date are the underlying shares with the lowest closing price on that valuation date as a percentage
of the applicable initial share price, which we refer to as the applicable share return on that valuation date. The quarterly contingent
coupon payment, if any, will be payable quarterly on the relevant contingent coupon payment date, which is the third business day after
the related valuation date or, in the case of the quarterly contingent coupon payment, if any, with respect to the final valuation date,
the maturity date. If the closing price of the worst performing underlying shares on any valuation date is less than the applicable downside
threshold price, investors will receive no quarterly contingent coupon payment for the related quarterly period. It is possible that
the closing price of the worst performing underlying shares could be below the applicable downside threshold price on most or all of
the valuation dates so that you will receive few or no quarterly contingent coupon payments. We refer to these payments as contingent
because there is no guarantee that you will receive a payment on any contingent coupon payment date. Even if the closing price of the
worst performing underlying shares was at or above the applicable downside threshold price on some quarterly valuation dates, the closing
price of the worst performing underlying shares may fluctuate below the applicable downside threshold price on others.
If the closing price of the worst performing underlying shares on any
valuation date (beginning approximately three months after the issue date) is greater than or equal to the applicable initial share price,
the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the quarterly
contingent coupon payment with respect to the related valuation date. If the securities have not previously been automatically redeemed
and the final share price of the worst performing underlying shares on the final valuation date is greater than or equal to the applicable
downside threshold price, the payment at maturity will also be the sum of the stated principal amount and the quarterly contingent coupon
payment with respect to the final valuation date. However, if the securities have not previously been automatically redeemed and the
final share price of the worst performing underlying shares on the final valuation date is less than the applicable downside threshold
price, investors will be exposed to the decline in the closing price of the worst performing underlying shares on the final valuation
date, as compared to the applicable initial share price, on a 1-to-1 basis. Under these circumstances, the payment at maturity will be
(i) the stated principal amount plus (ii) (a) the stated principal amount times (b) the share return of the worst performing
underlying shares on the final valuation date, which means that the payment at maturity will be less than 65% of the stated principal
amount of the securities and could be zero. Investors in the securities must be willing to accept the risk of losing their entire principal
and also the risk of receiving few or no quarterly contingent coupon payments over the term of the securities. The stated payments on
the securities are based solely on the performance of the worst performing underlying shares on each valuation date. As a result,
investors will be negatively affected by adverse movements in any one of the underlying shares, regardless of the performance of the
others. In addition, investors will not participate in any appreciation of any of the underlying shares.
Key Investment Rationale
The securities offer investors an opportunity to earn a quarterly contingent
coupon payment equal to 2.00% of the stated principal amount with respect to each valuation date on which the closing price of the worst
performing underlying shares on that valuation date is greater than or equal to 65% of the applicable initial share price, which we refer
to as the applicable downside threshold price. The securities may be automatically redeemed prior to maturity for the stated principal
amount per security plus the applicable quarterly contingent coupon payment, and the payment at maturity will vary depending on
the final share price of the worst performing underlying shares on the final valuation date, as follows:
Scenario
1
|
On
any valuation date (other than the final valuation date), the closing price of the worst
performing underlying shares on that valuation date is greater than or equal to the applicable
initial share price.
■ The
securities will be automatically redeemed for (i) the stated principal amount plus (ii) the quarterly contingent coupon payment
with respect to the related valuation date.
■ Investors
will not participate in any appreciation of any of the underlying shares from their applicable initial share prices.
|
Scenario
2
|
The
securities are not automatically redeemed prior to maturity, and the final share price of
the worst performing underlying shares on the final valuation date is greater than or equal
to the applicable downside threshold price.
■ The
payment due at maturity will be (i) the stated principal amount plus (ii) the quarterly contingent coupon
|
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
|
payment
with respect to the final valuation date.
■ Investors
will not participate in any appreciation of any of the underlying shares from their applicable initial share prices.
|
Scenario
3
|
The
securities are not automatically redeemed prior to maturity, and the final share price of
the worst performing underlying shares on the final valuation date is less than the applicable
downside threshold price.
■ The
payment due at maturity will be (i) the stated principal amount plus (ii) (a) the stated principal amount times (b)
the share return of the worst performing underlying shares on the final valuation date.
■ Investors
will lose a significant portion, and may lose all, of their principal in this scenario.
|
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
How the Securities
Work
The following diagrams illustrate potential payments on the securities.
The first diagram illustrates how to determine whether a contingent coupon payment will be paid with respect to a quarterly valuation
date. The second diagram illustrates how to determine whether the securities will be automatically redeemed following a valuation date
(other than the final valuation date). The third diagram illustrates how to determine the payment at maturity if the securities are not
automatically redeemed prior to maturity.
Diagram #1: Quarterly Contingent Coupon Payments
Diagram #2: Automatic Early Redemption
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Diagram #3: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about contingent coupon payments and the
payment upon an early automatic redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples”
starting on page PS-6.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Hypothetical Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid with respect to a quarterly valuation date, how to determine whether the securities will be automatically redeemed
prior to maturity and how to calculate the payment at maturity on the securities if the securities are not automatically redeemed prior
to maturity. You should understand that the term of the securities, and your opportunity to receive the contingent coupon payments on
the securities, may be limited to as short as three months if the securities are automatically redeemed prior to the maturity date. For
ease of analysis, figures in the examples below may have been rounded.
The examples below are based on the following hypothetical values and
assumptions in order to illustrate how the securities work and do not reflect the actual quarterly contingent coupon, initial share prices
of any of the underlying shares or their applicable downside threshold prices:
Hypothetical quarterly contingent coupon
payment:
|
$0.20 (2.00% of the stated principal amount)
per security
|
Hypothetical initial share price:
|
With respect to the shares of Financial Select Sector
SPDR® Fund, $100.00
With respect to the shares of Energy Select Sector SPDR®
Fund, $100.00
With respect to the shares of Industrial Select Sector
SPDR® Fund, $100.00
|
Hypothetical downside threshold price:
|
With respect to the shares of Financial Select Sector
SPDR® Fund, $65.00, which is 65% of their hypothetical initial share price
With respect to the shares of Energy Select Sector SPDR®
Fund, $65.00, which is 65% of their hypothetical initial share price
With respect to the shares of Industrial Select Sector
SPDR® Fund, $65.00, which is 65% of their hypothetical initial share price
|
How to determine whether a contingent coupon is
payable with respect to a quarterly valuation date and whether the securities are automatically redeemed following that valuation date:
|
Hypothetical
closing price of the shares of Financial Select Sector SPDR® Fund
|
Hypothetical
closing price of the shares of Energy Select Sector SPDR® Fund
|
Hypothetical
closing price of the shares of Industrial Select Sector SPDR® Fund
|
Hypothetical
contingent coupon payment or payment upon automatic early redemption per security
|
Example
1: Hypothetical Valuation Date 1
|
$90.00
(share return = -10%)
|
$110.00
(share return = 10%)
|
$105.00
(share return = 5%)
|
$0.20
|
Example
2: Hypothetical Valuation Date 2
|
$110.00
(share return = 10%)
|
$60.00
(share return = -40%)
|
$120.00
(share return = 20%)
|
$0.00
|
Example
3: Hypothetical Valuation Date 3
|
$85.00
(share return = -15%)
|
$95.00
(share return = -5%)
|
$55.00
(share return = -45%)
|
$0.00
|
Example
4: Hypothetical Valuation Date 4
|
$105.00
(share return = 5%)
|
$120.00
(share return = 20%)
|
$110.00
(share return = 10%)
|
$10.20
|
Example 1: In this example,
the shares of Financial Select Sector SPDR® Fund have the lowest share return and, therefore, are the worst performing
underlying shares on hypothetical valuation date 1. In this scenario, the closing price of the worst performing underlying shares on
hypothetical valuation date 1 is greater than the applicable downside threshold price and, as a result, investors in the securities
would receive the contingent coupon payment of $0.20 per security on the related contingent coupon payment date. Because the closing
price of the worst performing underlying shares on hypothetical valuation date 1 is less than the applicable initial share price, the
securities would not be automatically redeemed following that valuation date, even though the closing prices of the other underlying
shares are greater than their respective initial share prices.
Example 2: In this example,
the shares of Energy Select Sector SPDR® Fund have the lowest share return and, therefore, are the worst performing underlying
shares on hypothetical valuation date 2. In this scenario, the closing price of the worst performing underlying shares on hypothetical
valuation date 2 is less than the applicable downside threshold price and, as a result, investors would not receive any contingent
coupon payment on the related contingent coupon payment date, even though the closing prices of the other underlying shares are greater
than their respective initial share prices. In addition, because the closing price of the worst performing underlying shares on hypothetical
valuation date 2 is less than their initial share price, the securities would not be automatically redeemed following that valuation
date.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Example 3: In this example,
the shares of Industrial Select Sector SPDR® Fund have the lowest share return and, therefore, are the worst performing
underlying shares on hypothetical valuation date 3. In this scenario, the closing price of the worst performing underlying shares on
hypothetical valuation date 3 is less than the applicable downside threshold price and, as a result, investors would not receive
any contingent coupon payment on the related contingent coupon payment date, even though the closing prices of the other underlying shares
are greater than their respective downside threshold prices. In addition, because the closing price of the worst performing underlying
shares on hypothetical valuation date 3 is less than their initial share price, the securities would not be automatically redeemed following
that valuation date.
Investors in the securities
will not receive a contingent coupon payment with respect to a valuation date if the closing price of the worst performing underlying
shares on that valuation date is less than the applicable downside threshold price, even if the closing prices of the other underlying
shares are greater than their respective downside threshold prices.
Example 4: In this example,
the shares of Financial Select Sector SPDR® Fund are the worst performing underlying shares on hypothetical valuation
date 4. In this scenario, the closing price of the worst performing underlying shares on hypothetical valuation date 4 is greater
than the applicable downside threshold price. Accordingly, at maturity, you would receive the stated principal amount of the securities
plus the contingent coupon payment of $0.20 per security, but you would not participate in the appreciation of any of the underlying
shares even though all of the underlying shares have appreciated from their respective initial share prices.
How to determine the payment at maturity on the
securities if the securities are not earlier automatically redeemed:
|
Hypothetical
final share price of the shares of Financial Select Sector SPDR® Fund
|
Hypothetical
final share price of the shares of Energy Select Sector SPDR® Fund
|
Hypothetical
final share price of the shares of Industrial Select Sector SPDR® Fund
|
Hypothetical
payment at maturity per security
|
Example
5
|
$110.00
(share return = 10%)
|
$120.00
(share return = 20%)
|
$115.00
(share return = 15%)
|
$10.20
|
Example
6
|
$105.00
(share return = 5%)
|
$40.00
(share return = -60%)
|
$100.00
(share return = 0%)
|
$4.00
|
Example
7
|
$85.00
(share return = -15%)
|
$90.00
(share return = -10%)
|
$20.00
(share return = -80%)
|
$2.00
|
Example 5: In this example,
the shares of Financial Select Sector SPDR® Fund are the worst performing underlying shares on the final valuation date.
In this scenario, the final share price of the worst performing underlying shares on the final valuation date is greater than
the applicable downside threshold price. Accordingly, at maturity, you would receive the stated principal amount of the securities plus
the contingent coupon payment of $0.20 per security, but you would not participate in the appreciation of any of the underlying shares
even though all of the underlying shares have appreciated from their respective initial share prices.
Example 6: In this example,
the shares of Energy Select Sector SPDR® Fund are the worst performing underlying shares on the final valuation date.
In this scenario, the final share price of the worst performing underlying shares on the final valuation date is less than the applicable
downside threshold price. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $10 +
($10 × share return of the Energy Select Sector SPDR® Fund on the final valuation date)
= $10 + ($10 × -60%)
= $10 + ($10 × -60%)
= $10 + -$6
= $4
In this scenario, you would
receive significantly less than the stated principal amount of your securities at maturity. You would incur a loss based on the performance
of the worst performing underlying shares on the final valuation date, even though the final share prices of the other underlying shares
are greater than their respective downside threshold prices.
Example 7: In this example,
the shares of Industrial Select Sector SPDR® Fund are the worst performing underlying shares on the final valuation date
and their final share price is less than the applicable downside threshold price. Accordingly, at maturity, you would receive a payment
per security calculated as follows:
Payment at maturity = $10 +
($10 × share return of the shares of Industrial Select Sector SPDR® Fund on the final valuation date)
= $10 + ($10 × -80%)
= $10 + -$8
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
= $2
In this scenario, because the
closing price of the worst performing underlying shares on the final valuation date is less than the applicable downside threshold price,
you would lose a significant portion of your investment in the securities, even though the final share prices of the other underlying
shares are greater than their respective downside threshold prices.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities that are guaranteed by Citigroup Inc., including the risk that we and Citigroup Inc. may default on our obligations under
the securities, and are also subject to risks associated with each of the underlying shares. Accordingly, the securities are appropriate
only for investors who are capable of understanding the complexities and risks of the securities. You should consult your own financial,
tax and legal advisors as to the risks of an investment in the securities and the appropriateness of the securities in light of your
particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying
product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents
incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and
any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
|
▪
|
You may lose a significant portion or all of your investment.
Unlike conventional debt securities, the securities do not provide for the repayment
of the stated principal amount at maturity in all circumstances. If the securities are not
automatically redeemed prior to maturity and the final share price of the worst performing
underlying shares on the final valuation date is less than the applicable downside threshold
price, you will lose a significant portion or all of your investment, based on a loss of
1% of the stated principal amount of the securities for every 1% by which the final share
price of the worst performing underlying shares on the final valuation date is less than
the applicable initial share price, regardless of the performance of the other underlying
shares. There is no minimum payment at maturity on the securities, and you may lose up to
all of your investment. If the final share price of any of the underlying shares is less
than the applicable downside threshold price, you will be fully exposed to any depreciation
of the worst performing underlying shares from their initial share price to their final share
price.
|
|
▪
|
You will not receive any contingent coupon payment for any quarter
in which the closing price of the worst performing underlying shares on the related valuation
date is less than the applicable downside threshold price. A contingent coupon payment
will be made on a contingent coupon payment date if and only if the closing price of the
worst performing underlying shares on the related valuation date is greater than or equal
to the applicable downside threshold price. If the closing price of the worst performing
underlying shares on any quarterly valuation date is less than the applicable downside threshold
price, you will not receive any contingent coupon payment on the related contingent coupon
payment date, and if the closing price of the worst performing underlying shares is below
the applicable downside threshold price on each valuation date, you will not receive any
contingent coupon payments over the term of the securities. If the closing price of any
of the underlying shares on any quarterly valuation date is less than the applicable
downside threshold price, you will not receive any contingent coupon payment on the related
contingent coupon payment date.
|
|
▪
|
The securities are subject to the risks of all of the underlying
shares and will be negatively affected if any one of the underlying shares performs poorly,
even if the other underlying shares perform well. You are subject to risks associated
with all of the underlying shares. If any one of the underlying shares performs poorly, you
will be negatively affected, even if the other underlying shares perform well. The securities
are not linked to a basket composed of the underlying shares, where the better performance
of one or two could ameliorate the poor performance of the others. Instead, you are subject
to the full risks of whichever of the underlying shares are the worst performing underlying
shares on each valuation date.
|
|
▪
|
You will not benefit in any way from the performance of the better
performing underlying shares. The return on the securities depends solely on the performance
of the worst performing underlying shares on each valuation date, and you will not benefit
in any way from the performance of the better performing underlying shares. The securities
may underperform a similar investment in all of the underlying shares or a similar alternative
investment linked to a basket composed of the underlying shares, since in either such case
the performance of the better performing underlying shares would be blended with the performance
of the worst performing underlying shares, resulting in a better return than the return of
the worst performing underlying shares.
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You will be subject to risks relating to the relationship among
the underlying shares. It is preferable from your perspective for the underlying shares
to be correlated with each other, in the sense that they tend to increase or decrease at
similar times and by similar magnitudes. By investing in the securities, you assume the risk
that the underlying shares will not exhibit this relationship. The less correlated the underlying
shares, the more likely it is that at least one of the underlying shares will perform poorly
over the term of the securities. All that is necessary for the securities to perform poorly
is for one of the underlying shares to perform poorly; the performance of any underlying
shares that are not the worst performing underlying shares is not relevant to your return
on the securities. It is impossible to predict what the relationship among the underlying
shares will be over the term of the securities.
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Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
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Higher contingent coupon rates are associated with greater risk.
The securities offer contingent coupon payments at an annualized rate that, if all are
paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels
of expected risk as of the pricing date for the securities, including the risk that you may
not receive a contingent coupon payment on one or more, or any, contingent coupon payment
dates, the securities will not be automatically redeemed and the amount you receive at maturity
may be significantly less than the stated principal amount of your securities and may be
zero. The volatility of and the correlation among the underlying shares are important factors
affecting these risks. Greater expected volatility of, and lower expected correlation among,
the underlying shares as of the pricing date may result in a higher contingent coupon rate,
but would also represent a greater expected likelihood as of the pricing date that (i) the
closing price of the worst performing underlying shares on one or more valuation dates will
be less than the applicable downside threshold price, such that you will not receive one
or more, or any, contingent coupon payments during the term of the securities, (ii) the closing
price of the worst performing underlying shares on each valuation date will be less than
the applicable initial share price, such that the securities are not automatically redeemed
and (iii) the closing price of the worst performing underlying shares on the final valuation
date will be less than the applicable downside threshold price, such that you will suffer
a substantial loss of principal at maturity.
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You may not be adequately compensated for assuming the downside
risk of the worst performing underlying shares. The potential contingent coupon payments
on the securities are the compensation you receive for assuming the downside risk of the
worst performing underlying shares, as well as all the other risks of the securities. That
compensation is effectively “at risk” and may, therefore, be less than you currently
anticipate. First, the actual yield you realize on the securities could be lower than you
anticipate because the coupon is “contingent” and you may not receive a contingent
coupon payment on one or more, or any, of the contingent coupon payment dates. Second, the
contingent coupon payments are the compensation you receive not only for the downside risk
of the worst performing underlying shares on the final valuation date, but also for all of
the other risks of the securities, including the risk that the securities may be automatically
redeemed beginning approximately three months after the issue date, interest rate risk and
our and/or Citigroup Inc.’s credit risk. If those other risks increase or are otherwise
greater than you currently anticipate, the contingent coupon payments may turn out to be
inadequate to compensate you for all the risks of the securities, including the downside
risk of the worst performing underlying shares on the final valuation date.
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The securities may be automatically redeemed prior to maturity,
limiting your opportunity to receive contingent coupon payments. On any valuation date
beginning approximately three months after issuance and prior to the final valuation date,
the securities will be automatically redeemed if the closing price of the worst performing
underlying shares on that valuation date is greater than or equal to the applicable initial
share price. Thus, the term of the securities may be limited to as short as approximately
three months. If the securities are redeemed prior to maturity, you will not receive any
additional contingent coupon payments. Moreover, you may not be able to reinvest your funds
in another investment that provides a similar yield with a similar level of risk.
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The securities offer downside exposure to the worst performing
underlying shares, but no upside exposure to the underlying shares. You will not participate
in any appreciation in the price of any of the underlying shares over the term of the securities.
Consequently, your return on the securities will be limited to the contingent coupon payments
you receive, if any, and may be significantly less than the return on the underlying shares
over the term of the securities. In addition, you will not receive any dividends or other
distributions or have any other rights with respect to the underlying shares over the term
of the securities.
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The performance of the securities will depend on the closing
prices of the underlying shares solely on the relevant valuation dates, which makes the securities
particularly sensitive to the volatility of the underlying shares. Whether the contingent
coupon will be paid for any given quarter and whether the securities will be automatically
redeemed prior to maturity will depend on the closing prices of the underlying shares solely
on the applicable quarterly valuation dates, regardless of the closing prices of the underlying
shares on other days during the term of the securities. If the securities are not automatically
redeemed, what you receive at maturity will depend solely on the closing price of the worst
performing underlying shares on the final valuation date, and not on any other day during
the term of the securities. Because the performance of the securities depends on the closing
prices of the underlying shares on a limited number of dates, the securities will be particularly
sensitive to volatility in the closing prices of the underlying shares. You should understand
that all of the underlying shares have historically been highly volatile.
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The securities are subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc. If we default on our obligations under the securities
and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed
to you under the securities.
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The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity. The securities will not be listed
on any securities exchange. Therefore, there may be little or no secondary market for the
securities. CGMI currently intends to make a secondary market in relation to the securities
and to provide an indicative bid price for the securities on a daily basis. Any indicative
bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion,
taking into account prevailing market conditions and other relevant factors, and will not
be a representation by CGMI that the securities can be sold at that price, or at all. CGMI
may suspend or terminate making a market and providing indicative bid
|
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
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prices without notice, at any time and
for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it
is likely that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor
must be prepared to hold the securities until maturity.
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The estimated value of the securities on the pricing date, based
on CGMI’s proprietary pricing models and our internal funding rate, is less than the
issue price. The difference is attributable to certain costs associated with selling,
structuring and hedging the securities that are included in the issue price. These costs
include (i) the selling concessions and structuring fees paid in connection with the offering
of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection
with the offering of the securities and (iii) the expected profit (which may be more or less
than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations
under the securities. These costs adversely affect the economic terms of the securities because,
if they were lower, the economic terms of the securities would be more favorable to you.
The economic terms of the securities are also likely to be adversely affected by the use
of our internal funding rate, rather than our secondary market rate, to price the securities.
See “The estimated value of the securities would be lower if it were calculated based
on our secondary market rate” below.
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The estimated value of the securities was determined for us by
our affiliate using proprietary pricing models. CGMI derived the estimated value disclosed
on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the
volatility of and correlation among the underlying shares, dividend yields on the underlying
shares and the securities held by the underlying share issuers and interest rates. CGMI’s
views on these inputs may differ from your or others’ views, and as an underwriter
in this offering, CGMI’s interests may conflict with yours. Both the models and the
inputs to the models may prove to be wrong and therefore not an accurate reflection of the
value of the securities. Moreover, the estimated value of the securities set forth on the
cover page of this pricing supplement may differ from the value that we or our affiliates
may determine for the securities for other purposes, including for accounting purposes. You
should not invest in the securities because of the estimated value of the securities. Instead,
you should be willing to hold the securities to maturity irrespective of the initial estimated
value.
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The estimated value of the securities would be lower if it were
calculated based on our secondary market rate. The estimated value of the securities
included in this pricing supplement is calculated based on our internal funding rate, which
is the rate at which we are willing to borrow funds through the issuance of the securities.
Our internal funding rate is generally lower than our secondary market rate, which is the
rate that CGMI will use in determining the value of the securities for purposes of any purchases
of the securities from you in the secondary market. If the estimated value included in this
pricing supplement were based on our secondary market rate, rather than our internal funding
rate, it would likely be lower. We determine our internal funding rate based on factors such
as the costs associated with the securities, which are generally higher than the costs associated
with conventional debt securities, and our liquidity needs and preferences. Our internal
funding rate is not the same as the coupon that is payable on the securities.
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Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price
of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on
the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as
adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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The estimated value of the securities is not an indication of
the price, if any, at which CGMI or any other person may be willing to buy the securities
from you in the secondary market. Any such secondary market price will fluctuate over
the term of the securities based on the market and other factors described in the next risk
factor. Moreover, unlike the estimated value included in this pricing supplement, any value
of the securities determined for purposes of a secondary market transaction will be based
on our secondary market rate, which will likely result in a lower value for the securities
than if our internal funding rate were used. In addition, any secondary market price for
the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate
stated principal amount of the securities to be purchased in the secondary market transaction,
and the expected cost of unwinding related hedging transactions. As a result, it is likely
that any secondary market price for the securities will be less than the issue price.
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The value of the securities prior to maturity will fluctuate
based on many unpredictable factors. The value of your securities prior to maturity will
fluctuate based on the price and volatility of the underlying shares and a number of other
factors, including price and volatility of the securities held by the underlying share issuers,
the correlation among the underlying shares, dividend yields on the underlying shares and
the securities held by the underlying share issuers, interest rates generally, the time remaining
to maturity and our and/or Citigroup Inc.’s creditworthiness, as reflected in our secondary
market rate. Changes in the prices of the underlying shares may not result in a comparable
change in the value of your securities. You should understand that the value of your securities
at any time prior to maturity may be significantly less than the issue price.
|
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
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Immediately following issuance, any secondary market bid price
provided by CGMI, and the value that will be indicated on any brokerage account statements
prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment
period. See “Valuation of the Securities” in this pricing supplement.
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Governmental regulatory actions, such as sanctions, could adversely
affect your investment in the securities. Governmental regulatory actions, including,
without limitation, sanctions-related actions by the U.S. or a foreign government, could
prohibit or otherwise restrict persons from holding the securities or underlying shares,
or engaging in transactions in them, and any such action could adversely affect the value
of underlying shares. These regulatory actions could result in restrictions on the securities
and could result in the loss of a significant portion or all of your initial investment in
the securities, including if you are forced to divest the securities due to the government
mandates, especially if such divestment must be made at a time when the value of the securities
has declined.
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The index tracked by the Financial Select Sector SPDR®
Fund underwent a significant change on September 16, 2016 and, as a result, the index
tracked by the Financial Select Sector SPDR® Fund will differ in important
ways from the index tracked by the Financial Select Sector SPDR® Fund in the
past. The Financial Select Sector SPDR® Fund seeks to track the Financial
Select Sector Index. S&P Dow Jones Indices LLC announced that, on September 16,
2016 (the “rebalance date”), the Financial Select Sector Index would be reconstituted
by eliminating the stocks of real estate management and development companies and real estate
investment trusts (“REITs”) (other than mortgage REITs) (“real estate stocks”).
In connection with this change, the Financial Select Sector SPDR® Fund contributed
all of its real estate stocks to the Real Estate Select Sector SPDR Fund (“XLRE”)
in exchange for shares of XLRE and, on September 19, 2016, the Financial Select Sector SPDR®
Fund made an in-kind distribution of the XLRE shares to its shareholders. As
a result of this distribution, the Financial Select Sector SPDR® Fund no longer
holds real estate stocks and tracks the performance of only those financial services company
stocks (which exclude real estate stocks) that remain in the Financial Select Sector Index.
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As of September 16, 2016, according to
information published by the Financial Select Sector SPDR® Fund, the XLRE shares held by the Financial Select Sector SPDR®
Fund represented approximately 18.8% of its total assets. Accordingly, prior to the rebalance date, real estate stocks accounted
for a significant percentage of the Financial Select Sector SPDR® Fund’s holdings and, therefore, after the rebalance
date, the Financial Select Sector SPDR® Fund tracks a portfolio of stocks that differs meaningfully from the portfolio
that it tracked prior to the rebalance date. When evaluating the historical performance of the Financial Select Sector SPDR®
Fund contained in this pricing supplement, you should bear in mind that the index tracked by the Financial Select Sector SPDR®
Fund included a different composition of stocks during the historical period shown than it will include going forward. The
historical performance of the Financial Select Sector SPDR® Fund might have been meaningfully different had the index
tracked by the Financial Select Sector SPDR® Fund included during the historical period the same composition of stocks
as it includes after the rebalance date.
The changes to the Financial Select Sector
SPDR® Fund described above represent a significant change in the nature of the Financial Select Sector SPDR®
Fund. We cannot predict what effect these changes may have on the performance of the Financial Select Sector SPDR®
Fund. It is possible that these changes could adversely affect the performance of the Financial Select Sector SPDR®
Fund and, in turn, your return on the securities.
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The Financial Select Sector SPDR® Fund is subject
to risks associated with the financial services sector. All or substantially all of the
securities held by the Financial Select Sector SPDR® Fund are issued by companies
whose primary line of business is directly associated with the financial services sector,
including companies from the following sub-industries: banks, thrifts and mortgage finance,
diversified financial services, consumer finance, capital markets, mortgage REITs and insurance.
Because the value of the securities is linked to the performance of the Financial Select
Sector SPDR® Fund, an investment in the securities will be subject to concentrated
risks relating to the financial services sector. Financial services companies are subject
to extensive governmental regulation, which may limit both the amounts and types of loans
and other financial commitments they can make, the interest rates and fees they can charge,
the scope of their activities, the prices they can charge and the amount of capital they
must maintain. Profitability is largely dependent on the availability and cost of capital
funds and can fluctuate significantly when interest rates change or due to increased competition.
In addition, deterioration of the credit markets generally may cause an adverse impact in
a broad range of markets, including U.S. and international credit and interbank money markets
generally, thereby affecting a wide range of financial institutions and markets. Certain
events in the financial sector may cause an unusually high degree of volatility in the financial
markets, both domestic and foreign, and cause certain financial services companies to incur
large losses. Securities of financial services companies may experience a dramatic decline
in value when such companies experience substantial declines in the valuations of their assets,
take action to raise capital (such as the issuance of debt or equity securities), or cease
operations. Credit losses resulting from financial difficulties of borrowers and financial
losses associated with investment activities can negatively impact the sector. Insurance
companies may be subject to severe price competition. Adverse economic, business or political
developments could adversely affect financial institutions engaged in mortgage finance or
other lending or investing activities directly or indirectly connected to the value of real
estate. Because the securities are subject to the concentrated risks affecting financial
services companies, the value of the securities may be subject to
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Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
greater volatility and be more adversely
affected by a single economic, political or regulatory occurrence affecting the financial services sector than a more diversified investment.
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The Financial Select Sector SPDR® Fund may be
disproportionately affected by the performance of a small number of stocks. Approximately
41% of the Financial Select Sector SPDR® Fund is invested in just five stocks
– Berkshire Hathaway Inc. Class B, JPMorgan Chase & Co., Bank of America Corporation,
Wells Fargo & Company and Citigroup Inc. As a result, a decline in the prices of one
or more of these stocks, including as a result of events negatively affecting one or more
of these companies, may have the effect of significantly lowering the price of the Financial
Select Sector SPDR® Fund even if none of the other securities held by the
Financial Select Sector SPDR® Fund are affected by such events. Because of
the weighting of the holdings of the Financial Select Sector SPDR® Fund, the
amount you receive at maturity could be less than the cash settlement amount you would have
received if you had invested in a product linked to an exchange-traded fund that capped the
maximum weight of any one stock to a low amount or that equally weighted all stocks held
by such exchange-traded fund.
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Citigroup Inc. is an issuer of equity securities held by the
Financial Select Sector SPDR® Fund. Citigroup Inc. is currently an issuer
of equity securities held by the Financial Select Sector SPDR® Fund, but,
to our knowledge, neither we nor Citigroup are currently affiliated with any other company
the equity securities of which are held by the Financial Select Sector SPDR®
Fund. Neither we nor Citigroup Inc. have any ability to control the actions of the other
issuers of such equity securities. None of the proceeds of this offering will go to the Financial
Select Sector SPDR® Fund or the other issuers of equity securities held by
the Financial Select Sector SPDR® Fund, and none of those issuers are involved
in the offering of the securities in any way. Neither those issuers nor Citigroup Inc. have
any obligation to consider your interests as a holder of the securities in taking any corporate
actions that might affect the value of your securities.
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The Energy Select Sector SPDR® Fund is subject
to concentrated risks associated with the energy sector. The stocks included in the index
underlying the Energy Select Sector SPDR® Fund and that are generally tracked
by the Energy Select Sector SPDR® Fund are stocks of companies whose primary
business is directly associated with the energy sector, including the following two sub-sectors:
(i) oil, gas and consumable fuels and (ii) energy equipment and services. Because the securities
are linked to the performance of the Energy Select Sector SPDR® Fund, an investment
in the securities exposes investors to concentrated risks associated with investments in
the energy sector.
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Energy companies develop and produce crude
oil and natural gas and/or provide drilling and other energy resources production and distribution related services. Stock prices for
these types of companies are mainly affected by the business, financial and operating conditions of the particular company, as well as
changes in prices for oil, gas and other types of fuels, which in turn largely depend on supply and demand for various energy products
and services. Some of the factors that may influence supply and demand for energy products and services include: general economic conditions
and growth rates; weather conditions; the cost of exploring for, producing and delivering oil and gas; technological advances affecting
energy efficiency and energy consumption; the ability of the Organization of Petroleum Exporting Countries (OPEC) to set and maintain
production levels of oil; currency fluctuations; inflation; natural disasters; civil unrest, acts of sabotage or terrorism; and other
regional or global events. The profitability of energy companies may also be adversely affected by existing and future laws, regulations,
government actions and other legal requirements relating to protection of the environment, health and safety matters and others that
may increase the costs of conducting their business or may reduce or delay available business opportunities. Increased supply or weak
demand for energy products and services, as well as various developments leading to higher costs of doing business or missed business
opportunities, would adversely impact the performance of companies in the energy sector. The value of the securities may be subject to
greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting the energy sector
or one of the sub-sectors of the energy sector than a different investment linked to securities of a more broadly diversified group of
issuers.
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The Industrial Select Sector SPDR® Fund is
subject to risks associated with the industrial sector. All or substantially all
of the equity securities held by the Industrial Select Sector SPDR® Fund
are issued by companies whose primary line of business is directly associated with the industrial
sector. As a result, the value of the securities may be subject to greater volatility
and be more adversely affected by a single economic, political or regulatory occurrence affecting
this sector than a different investment linked to securities of a more broadly diversified
group of issuers. Industrial companies are affected by supply and demand both for their
specific product or service and for industrial sector products in general. Government
regulation, world events, exchange rates and economic conditions, technological developments
and liabilities for environmental damage and general civil liabilities will likewise affect
the performance of these companies. Aerospace and defense companies, a component of
the industrial sector, can be significantly affected by government spending policies because
companies involved in this industry rely, to a significant extent, on U.S. and foreign government
demand for their products and services. Thus, the financial condition of, and investor
interest in, aerospace and defense companies are heavily influenced by governmental defense
spending policies, which are typically under pressure from efforts to control the U.S. (and
other) government budgets. Transportation securities, a component of the industrial
sector, are cyclical and have occasional sharp price movements, which may result from changes
in the economy, fuel prices, labor agreements and insurance costs. These factors could
affect the industrial sector and could affect the value of the equity securities held by
the Industrial Select Sector SPDR® Fund and the price of the Industrial
Select Sector SPDR® Fund during the term of the securities, which may
adversely affect the value of your securities.
|
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
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Our offering of the securities does not constitute a recommendation
of any of the underlying shares. The fact that we are offering the securities does not
mean that we believe that investing in an instrument linked to the underlying shares 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 underlying shares or
the securities held by the underlying share issuers or in instruments related to the underlying
shares or such securities and may publish research or express opinions, that in each case
are inconsistent with an investment linked to the underlying shares. These and other activities
of our affiliates may affect the prices of the underlying shares in a way that has a negative
impact on your interests as a holder of the securities.
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The price and performance of any underlying share issuer may
not completely track the performance of its underlying index or its net asset value per share.
The underlying share issuers do not fully replicate the underlying indices that they
seek to track (each, the “ETF underlying index”) and may hold securities different
from those included in its ETF underlying index. In addition, the performance of any underlying
share issuer reflect additional transaction costs and fees that are not included in the calculation
of its ETF underlying index. All of these factors may lead to a lack of correlation between
the performance of any underlying share issuer and its ETF underlying index. In addition,
corporate actions with respect to the equity securities constituting any underlying share
issuer’s ETF underlying index or held by any underlying share issuer (such as mergers
and spin-offs) may impact the variance between the performance of any underlying share issuer
and its ETF underlying index. Finally, because any of the underlying shares are traded on
NYSE Arca and are subject to market supply and investor demand, the market value of any underlying
share issuer may differ from its net asset value per share.
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During periods of market volatility, securities
underlying any underlying share issuer may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of any underlying share issuer and the liquidity of any underlying share issuer may be adversely affected.
This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of any underlying share
issuer. Further, market volatility may adversely affect, sometimes materially, the price at which market participants are willing to
buy and sell any underlying share issuer. As a result, under these circumstances, the market value of any underlying share issuer may
vary substantially from its net asset value per share. For all of the foregoing reasons, the performance of any underlying share issuer
might not correlate with the performance of its ETF underlying index and/or its net asset value per share, which could materially and
adversely affect the value of the securities in the secondary market and/or reduce your return on the securities.
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The prices of the underlying shares may be adversely affected
by our or our affiliates’ hedging and other trading activities. We have hedged
our obligations under the securities through CGMI or other of our affiliates, who have taken
positions directly in the underlying shares or the securities held by the underlying share
issuers and other financial instruments related to the underlying shares and may adjust such
positions during the term of the securities. Our affiliates also trade the underlying shares
or the securities held by the underlying share issuers and other financial instruments related
to the underlying shares or such securities on a regular basis (taking long or short positions
or both), for their accounts, for other accounts under their management or to facilitate
transactions on behalf of customers. These activities could affect the prices of the underlying
shares in a way that negatively affects the value of the securities. They could also result
in substantial returns for us or our affiliates while the value of the securities declines.
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We and our affiliates may have economic interests that are adverse
to yours as a result of our affiliates’ business activities. Our affiliates may
currently or from time to time engage in business with the underlying share issuers or the
issuers of the securities held by the underlying share issuers, including extending loans
to, making equity investments in or providing advisory services to those issuers. In the
course of this business, we or our affiliates may acquire non-public information about the
underlying share issuers, which we will not disclose to you. Moreover, if any of our affiliates
is or becomes a creditor of any such issuer, they may exercise any remedies against that
issuer that are available to them without regard to your interests.
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Even if any underlying share issuer pays a dividend that it identifies
as special or extraordinary, no adjustment will be required under the securities for that
dividend unless it meets the criteria specified in the accompanying product supplement.
In general, an adjustment will not be made under the terms of the securities for any cash
dividend paid on any of the underlying shares unless the amount of the dividend per underlying
share, together with any other dividends paid in the same fiscal quarter, exceeds the dividend
paid per underlying share in the most recent fiscal quarter by an amount equal to at least
10% of the closing price of the applicable underlying shares on the date of declaration of
the dividend. Any dividend will reduce the closing price of the applicable underlying shares
by the amount of the dividend per underlying share. If the applicable underlying share issuer
pays any dividend for which an adjustment is not made under the terms of the securities,
holders of the securities may be adversely affected. See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution
and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying
product supplement.
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The securities will not be adjusted for all events that could
affect the price of any of the underlying shares. For example, we will not make any adjustment
for ordinary dividends or extraordinary dividends that do not meet the criteria described
above. Moreover, the adjustments we do make may not fully offset the dilutive or adverse
effect of the particular event. Investors in the
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Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
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securities may be adversely affected by
such an event in a circumstance in which a direct holder of any of the underlying shares would not.
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The securities may become linked to shares of an issuer other
than one of the original underlying share issuers upon the occurrence of a reorganization
event or upon the delisting of any of the underlying shares. For example, if any underlying
share issuer enters into a merger agreement that provides for holders of the applicable underlying
shares to receive stock of another entity, the stock of such other entity will become the
applicable underlying shares for all purposes of the securities upon consummation of the
merger. Additionally, if the applicable underlying shares are delisted or any underlying
share issuer is otherwise terminated, the calculation agent may, in its sole discretion,
select shares of another issuer to be the applicable underlying shares. 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.
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make
important determinations with respect to the securities. If certain events occur, such
as market disruption events, events with respect to any of the underlying share issuers that
may require a dilution adjustment or the delisting of the applicable underlying shares, CGMI,
as calculation agent, will be required to make discretionary judgments that could significantly
affect your return on the securities. In making these judgments, the calculation agent’s
interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
|
▪
|
Changes made by the investment adviser to any underlying share
issuer or by the sponsor of any ETF underlying index may adversely affect any underlying
shares. We are not affiliated with the investment adviser to any underlying share issuer
or with the sponsor of any ETF underlying index. Accordingly, we have no control over any
changes such investment adviser or sponsor may make to any underlying share issuer or any
ETF underlying index. Such changes could be made at any time and could adversely affect the
performance of any underlying shares.
|
|
▪
|
The U.S. federal tax consequences of an investment in the securities
are unclear. There is no direct legal authority regarding the proper U.S. federal tax
treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of
the securities are uncertain, and the IRS or a court might not agree with the treatment of
the securities as described in “United States Federal Tax Considerations” below.
If the IRS were successful in asserting an alternative treatment of the securities, the tax
consequences of the ownership and disposition of the securities might be materially and adversely
affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the securities, possibly retroactively.
|
Non-U.S. investors should note that persons
having withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Information About
the Financial Select Sector SPDR® Fund
The Financial Select Sector SPDR® Fund is an exchange-traded
fund that seeks to provide investment results that, before expenses, correspond generally to the performance of publicly traded equity
securities of companies in the Financial Select Sector Index. The Financial Select Sector Index is intended to provide an indication
of the pattern of common stock price movements of companies that are components of the S&P 500® Index and whose primary
line of business is directly associated with the financial sector, including companies from the following sub-industries: banks, thrifts
and mortgage finance, diversified financial services, consumer finance, capital markets, mortgage REITs and insurance.
The Financial Select Sector SPDR® Fund is managed by
the Select Sector SPDR® Trust, a registered investment company. The Select Sector SPDR® Trust consists
of nine separate investment portfolios, including the Financial Select Sector SPDR® Fund. Information provided to or filed
with the SEC by The Select Sector SPDR® 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 333-57791 and 811-08837, 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 shares of the Financial Select Sector SPDR® Fund trade
on the NYSE Arca under the ticker symbol “XLF.”
Please refer to the sections “Risk Factors” and “Fund
Descriptions—The Select Sector SPDR® Funds” in the accompanying underlying supplement for important disclosures
regarding the Financial Select Sector SPDR® Fund, including certain risks that are associated with an investment linked
to the Financial Select Sector SPDR® Fund.
This pricing supplement relates only to the securities offered hereby
and does not relate to the Financial Select Sector SPDR® Fund or other securities of the underlying share issuer. We have
derived all disclosures contained in this pricing supplement regarding the Financial Select Sector SPDR® Fund and the
underlying share issuer from the publicly available documents described above. In connection with the offering of the securities, 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 underlying share issuer or the Financial Select Sector SPDR® Fund.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The underlying share issuer is not involved in any way in this offering and has no obligation
relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation to you
as to the performance of the Financial Select Sector SPDR® Fund.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Historical Information
The graph below shows the closing prices of the Financial Select Sector
SPDR® Fund for each day such price was available from January 3, 2011 to November 26, 2021. The table that follows shows
the high and low closing prices of, and dividends paid on, the Financial Select Sector SPDR® Fund for each quarter in
that same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent verification. You
should not take the historical prices of the Financial Select Sector SPDR® Fund as an indication of future performance.
When evaluating the historical performance of the shares of the Financial
Select Sector SPDR® Fund contained below, you should bear in mind that the index tracked by the Financial Select Sector
SPDR® Fund included a different composition of stocks prior to September 16, 2016 than it includes after that date, as
described under “Summary Risk Factors—The index tracked by the Financial Select Sector SPDR® Fund underwent
a significant change on September 16, 2016 and, as a result, the index tracked by the Financial Select Sector SPDR® Fund
will differ in important ways from the index tracked by the Financial Select Sector SPDR® Fund in the past.” The
historical performance of the shares of the Financial Select Sector SPDR® Fund might have been meaningfully different
had the index included, during the period prior to September 16, 2016, the same composition of stocks as it includes after that date.
Financial Select
Sector SPDR® Fund – Historical Closing Prices
January 3, 2011 to November 26, 2021
|
|
* The red line indicates the downside threshold price with respect
to the Financial Select Sector SPDR® Fund of $25.201, equal to 65.00% of the closing price on November 26, 2021.
Financial
Select Sector SPDR® Fund
|
High
|
Low
|
Dividends
|
2011
|
|
|
|
First
Quarter
|
$13.97
|
$12.92
|
$0.04187
|
Second
Quarter
|
$13.56
|
$11.94
|
$0.05288
|
Third
Quarter
|
$12.71
|
$9.36
|
$0.05031
|
Fourth
Quarter
|
$11.41
|
$9.16
|
$0.08044
|
2012
|
|
|
|
First
Quarter
|
$12.97
|
$10.80
|
$0.04978
|
Second
Quarter
|
$12.92
|
$10.86
|
$0.06782
|
Third
Quarter
|
$13.22
|
$11.55
|
$0.00000
|
Fourth
Quarter
|
$13.55
|
$12.31
|
$0.06611
|
2013
|
|
|
|
First
Quarter
|
$15.00
|
$13.68
|
$0.16613
|
Second
Quarter
|
$16.38
|
$14.48
|
$0.00000
|
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Third
Quarter
|
$16.95
|
$15.76
|
$0.15770
|
Fourth
Quarter
|
$17.75
|
$15.89
|
$0.10115
|
2014
|
|
|
|
First
Quarter
|
$18.25
|
$16.67
|
$0.08285
|
Second
Quarter
|
$18.60
|
$17.28
|
$0.08961
|
Third
Quarter
|
$19.33
|
$17.99
|
$0.09836
|
Fourth
Quarter
|
$20.33
|
$17.90
|
$0.12611
|
2015
|
|
|
|
First
Quarter
|
$20.08
|
$18.68
|
$0.09072
|
Second
Quarter
|
$20.52
|
$19.56
|
$0.11014
|
Third
Quarter
|
$20.77
|
$18.09
|
$0.11347
|
Fourth
Quarter
|
$20.16
|
$18.41
|
$0.14984
|
2016
|
|
|
|
First
Quarter
|
$19.05
|
$15.99
|
$0.12300
|
Second
Quarter
|
$19.36
|
$17.42
|
$0.12110
|
Third
Quarter
|
$19.95
|
$18.17
|
$0.11439
|
Fourth
Quarter
|
$23.75
|
$19.21
|
$0.10675
|
2017
|
|
|
|
First
Quarter
|
$25.24
|
$22.95
|
$0.08790
|
Second
Quarter
|
$24.69
|
$22.90
|
$0.09306
|
Third
Quarter
|
$25.86
|
$23.88
|
$0.10322
|
Fourth
Quarter
|
$28.22
|
$26.05
|
$0.12828
|
2018
|
|
|
|
First
Quarter
|
$30.17
|
$26.82
|
$0.10456
|
Second
Quarter
|
$28.34
|
$26.36
|
$0.11897
|
Third
Quarter
|
$28.98
|
$26.48
|
$0.12750
|
Fourth
Quarter
|
$28.19
|
$22.31
|
$0.14495
|
2019
|
|
|
|
First
Quarter
|
$26.90
|
$23.48
|
$0.13466
|
Second
Quarter
|
$28.07
|
$26.01
|
$0.13946
|
Third
Quarter
|
$28.69
|
$25.98
|
$0.14427
|
Fourth
Quarter
|
$30.94
|
$26.78
|
$0.15629
|
2020
|
|
|
|
First
Quarter
|
$31.17
|
$17.66
|
$0.15930
|
Second
Quarter
|
$26.74
|
$19.55
|
$0.15160
|
Third
Quarter
|
$25.49
|
$22.68
|
$0.13528
|
Fourth
Quarter
|
$29.48
|
$23.61
|
$0.15201
|
2021
|
|
|
|
First
Quarter
|
$34.77
|
$28.95
|
$0.15123
|
Second
Quarter
|
$38.47
|
$34.47
|
$0.13930
|
Third
Quarter
|
$39.00
|
$35.11
|
$0.16203
|
Fourth
Quarter (through November 26, 2021)
|
$40.62
|
$37.82
|
$0.00000
|
The closing price of the shares of Financial Select Sector SPDR®
Fund on November 26, 2021 was $38.77.
We make no representation as to the amount of dividends, if any, that
may be paid on the shares of Financial Select Sector SPDR® Fund in the future. In any event, as an investor in the securities,
you will not be entitled to receive dividends, if any, that may be payable on the shares of Financial Select Sector SPDR®
Fund.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Information About
the Energy Select Sector SPDR® Fund
The Energy Select Sector SPDR® Fund is an exchange-traded
fund that seeks to provide investment results that, before expenses, correspond generally to the performance of publicly traded equity
securities of companies in the S&P Energy Select Sector Index. The S&P Energy Select Sector Index is intended to provide an indication
of the pattern of common stock price movements of companies that are components of the S&P 500® Index and are involved
in the development or production of energy. The S&P Energy Select Sector Index includes companies in the following two industries:
(i) oil, gas and consumable fuels and (ii) energy equipment and services.
The Energy Select Sector SPDR® Fund is managed by the
Select Sector SPDR® Trust, a registered investment company. The Select Sector SPDR® Trust consists of nine
separate investment portfolios, including the Energy Select Sector SPDR® Fund. Information provided to or filed with the
SEC by the Select Sector SPDR® 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 333-57791 and 811-08837, 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 underlying shares of the Energy Select Sector SPDR® Fund trade
on the NYSE Arca under the ticker symbol “XLE.”
Please refer to the sections “Risk Factors” and “Fund
Descriptions—The Select Sector SPDR® Funds” in the accompanying underlying supplement for important disclosures
regarding the Energy Select Sector SPDR® Fund, including certain risks that are associated with an investment linked to
the Energy Select Sector SPDR® Fund.
This pricing supplement relates only to the securities offered hereby
and does not relate to the Energy Select Sector SPDR® Fund or other securities of the underlying share issuer. We have
derived all disclosures contained in this pricing supplement regarding the Energy Select Sector SPDR® Fund and the underlying
share issuer from the publicly available documents described above. In connection with the offering of the securities, 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 underlying share issuer or the Energy Select Sector SPDR® Fund.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The underlying share issuer is not involved in any way in this offering and has no obligation
relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation to you
as to the performance of the Energy Select Sector SPDR® Fund.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Historical Information
The graph below shows the closing prices of the Energy Select Sector
SPDR® Fund for each day such price was available from January 3, 2011 to November 26, 2021. The table that follows shows
the high and low closing prices of, and dividends paid on, the Energy Select Sector SPDR® Fund for each quarter in that
same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent verification. You
should not take the historical prices of the Energy Select Sector SPDR® Fund as an indication of future performance.
Energy Select
Sector SPDR® Fund – Historical Closing Prices
January 3, 2011 to November 26, 2021
|
|
* The red line indicates the downside threshold price with respect
to the Energy Select Sector SPDR® Fund of $36.127, equal to 65.00% of the closing price on November 26, 2021.
Energy
Select Sector SPDR® Fund
|
High
|
Low
|
Dividends
|
2011
|
|
|
|
First
Quarter
|
$80.01
|
$67.78
|
$0.25490
|
Second
Quarter
|
$80.44
|
$70.99
|
$0.26457
|
Third
Quarter
|
$79.79
|
$58.59
|
$0.26444
|
Fourth
Quarter
|
$73.04
|
$56.55
|
$0.27738
|
2012
|
|
|
|
First
Quarter
|
$76.29
|
$69.46
|
$0.28462
|
Second
Quarter
|
$72.42
|
$62.00
|
$0.31109
|
Third
Quarter
|
$76.57
|
$64.96
|
$0.00000
|
Fourth
Quarter
|
$74.94
|
$68.59
|
$0.33369
|
2013
|
|
|
|
First
Quarter
|
$79.99
|
$72.86
|
$0.72805
|
Second
Quarter
|
$83.28
|
$74.09
|
$0.00000
|
Third
Quarter
|
$85.30
|
$78.83
|
$0.76704
|
Fourth
Quarter
|
$88.51
|
$81.87
|
$0.40268
|
2014
|
|
|
|
First
Quarter
|
$89.06
|
$81.89
|
$0.42707
|
Second
Quarter
|
$101.29
|
$88.45
|
$0.46353
|
Third
Quarter
|
$100.58
|
$90.62
|
$0.48327
|
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Fourth
Quarter
|
$88.77
|
$73.36
|
$0.48542
|
2015
|
|
|
|
First
Quarter
|
$82.29
|
$72.86
|
$0.51494
|
Second
Quarter
|
$82.94
|
$74.64
|
$0.50882
|
Third
Quarter
|
$74.54
|
$59.22
|
$0.47811
|
Fourth
Quarter
|
$71.40
|
$58.78
|
$0.54224
|
2016
|
|
|
|
First
Quarter
|
$63.75
|
$51.80
|
$0.45241
|
Second
Quarter
|
$69.50
|
$60.18
|
$0.43643
|
Third
Quarter
|
$71.80
|
$65.27
|
$0.41052
|
Fourth
Quarter
|
$77.83
|
$67.77
|
$0.40236
|
2017
|
|
|
|
First
Quarter
|
$76.17
|
$68.24
|
$0.41902
|
Second
Quarter
|
$70.90
|
$63.95
|
$0.44915
|
Third
Quarter
|
$68.49
|
$62.00
|
$0.86538
|
Fourth
Quarter
|
$72.60
|
$67.08
|
$0.45833
|
2018
|
|
|
|
First
Quarter
|
$78.03
|
$66.02
|
$0.47479
|
Second
Quarter
|
$78.91
|
$66.06
|
$0.51237
|
Third
Quarter
|
$77.37
|
$71.91
|
$0.51316
|
Fourth
Quarter
|
$77.79
|
$53.84
|
$0.53004
|
2019
|
|
|
|
First
Quarter
|
$67.29
|
$57.90
|
$0.51361
|
Second
Quarter
|
$68.61
|
$58.77
|
$0.57646
|
Third
Quarter
|
$64.44
|
$55.85
|
$0.56046
|
Fourth
Quarter
|
$61.99
|
$55.90
|
$0.59335
|
2020
|
|
|
|
First
Quarter
|
$60.87
|
$23.57
|
$2.35696
|
Second
Quarter
|
$46.86
|
$27.62
|
$0.50104
|
Third
Quarter
|
$38.58
|
$29.95
|
$0.54357
|
Fourth
Quarter
|
$41.60
|
$27.71
|
$0.52013
|
2021
|
|
|
|
First
Quarter
|
$53.57
|
$37.96
|
$0.51994
|
Second
Quarter
|
$56.19
|
$47.07
|
$0.53029
|
Third
Quarter
|
$54.81
|
$45.79
|
$0.59190
|
Fourth
Quarter (through November 26, 2021)
|
$59.14
|
$53.84
|
$0.00000
|
The closing price of the shares of Energy Select Sector SPDR®
Fund on November 26, 2021 was $55.58.
We make no representation as to the amount of dividends, if any, that
may be paid on the shares of Energy Select Sector SPDR® Fund in the future. In any event, as an investor in the securities,
you will not be entitled to receive dividends, if any, that may be payable on the shares of Energy Select Sector SPDR®
Fund.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Information About
the Industrial Select Sector SPDR® Fund
The Industrial Select Sector SPDR® Fund is an exchange-traded
fund that seeks to provide investment results that, before expenses, correspond generally to the performance of publicly traded equity
securities of companies in the Industrial Select Sector Index. The Industrial Select Sector Index is intended to provide an indication
of the pattern of common stock price movements of companies that are components of the S&P 500® Index and whose primary
line of business is directly associated with the industrials sector. The Industrial Select Sector Index includes companies in the following
fourteen industries: (i) aerospace and defense, (ii) industrial conglomerates, (iii) marine, (iv) transportation infrastructure, (v)
machinery, (vi) road and rail, (vii) air freight and logistics, (viii) commercial services and supplies, (ix) professional services,
(x) electrical equipment, (xi) construction and engineering, (xii) trading companies and distributors, (xiii) airlines and (xiv) building
products.
The Industrial Select Sector SPDR® Fund is managed by
the Select Sector SPDR® Trust, a registered investment company. The Select Sector SPDR® Trust consists
of nine separate investment portfolios, including the Industrial Select Sector SPDR® Fund. Information provided to or
filed with the SEC by The Select Sector SPDR® 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 333-57791 and 811-08837, 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 shares of the Industrial Select Sector SPDR® Fund trade
on the NYSE Arca under the ticker symbol “XLI.”
Please refer to the sections “Risk Factors” and “Fund
Descriptions—The Select Sector SPDR® Funds” in the accompanying underlying supplement for important disclosures
regarding the Industrial Select Sector SPDR® Fund, including certain risks that are associated with an investment linked
to the Industrial Select Sector SPDR® Fund.
This pricing supplement relates only to the securities offered hereby
and does not relate to the Industrial Select Sector SPDR® Fund or other securities of the underlying share issuer. We
have derived all disclosures contained in this pricing supplement regarding the Industrial Select Sector SPDR® Fund and
the underlying share issuer from the publicly available documents described above. In connection with the offering of the securities,
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 underlying share issuer or the Industrial Select Sector SPDR® Fund.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The underlying share issuer is not involved in any way in this offering and has no obligation
relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation to you
as to the performance of the Industrial Select Sector SPDR® Fund.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Historical Information
The graph below shows the closing prices of the Industrial Select Sector
SPDR® Fund for each day such price was available from January 3, 2011 to November 26, 2021. The table that follows shows
the high and low closing prices of, and dividends paid on, the Industrial Select Sector SPDR® Fund for each quarter in
that same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent verification. You
should not take the historical prices of the Industrial Select Sector SPDR® Fund as an indication of future performance.
Industrial
Select Sector SPDR® Fund – Historical Closing Prices
January 3, 2011 to November 26, 2021
|
|
* The red line indicates the downside threshold price with respect
to the Industrial Select Sector SPDR® Fund of $67.087, equal to 65.00% of the closing price on November 26, 2021.
Industrial
Select Sector SPDR® Fund
|
High
|
Low
|
Dividends
|
2011
|
|
|
|
First
Quarter
|
$38.03
|
$35.04
|
$0.15714
|
Second
Quarter
|
$38.70
|
$35.21
|
$0.17503
|
Third
Quarter
|
$38.28
|
$28.98
|
$0.17798
|
Fourth
Quarter
|
$34.28
|
$28.37
|
$0.21752
|
2012
|
|
|
|
First
Quarter
|
$38.15
|
$34.49
|
$0.17682
|
Second
Quarter
|
$37.66
|
$33.34
|
$0.16371
|
Third
Quarter
|
$37.76
|
$34.21
|
$0.00000
|
Fourth
Quarter
|
$38.46
|
$35.40
|
$0.23960
|
2013
|
|
|
|
First
Quarter
|
$42.12
|
$38.64
|
$0.46185
|
Second
Quarter
|
$44.36
|
$40.17
|
$0.00000
|
Third
Quarter
|
$47.76
|
$42.61
|
$0.43489
|
Fourth
Quarter
|
$52.26
|
$45.41
|
$0.25865
|
2014
|
|
|
|
First
Quarter
|
$53.00
|
$48.64
|
$0.22449
|
Second
Quarter
|
$55.59
|
$50.90
|
$0.24965
|
Third
Quarter
|
$54.75
|
$51.40
|
$0.25732
|
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
Fourth
Quarter
|
$57.50
|
$49.54
|
$0.31558
|
2015
|
|
|
|
First
Quarter
|
$58.16
|
$54.37
|
$0.26071
|
Second
Quarter
|
$57.22
|
$54.03
|
$0.27776
|
Third
Quarter
|
$54.94
|
$48.83
|
$0.28092
|
Fourth
Quarter
|
$55.40
|
$49.78
|
$0.31874
|
2016
|
|
|
|
First
Quarter
|
$55.82
|
$48.02
|
$0.28282
|
Second
Quarter
|
$57.16
|
$53.10
|
$0.30718
|
Third
Quarter
|
$59.08
|
$55.67
|
$0.31153
|
Fourth
Quarter
|
$64.05
|
$56.42
|
$0.38422
|
2017
|
|
|
|
First
Quarter
|
$66.97
|
$62.59
|
$0.29670
|
Second
Quarter
|
$69.10
|
$64.02
|
$0.32359
|
Third
Quarter
|
$71.00
|
$67.15
|
$0.31588
|
Fourth
Quarter
|
$75.81
|
$70.23
|
$0.40171
|
2018
|
|
|
|
First
Quarter
|
$80.66
|
$72.74
|
$0.30728
|
Second
Quarter
|
$76.59
|
$71.26
|
$0.30164
|
Third
Quarter
|
$80.00
|
$71.56
|
$0.38383
|
Fourth
Quarter
|
$79.60
|
$60.34
|
$0.39238
|
2019
|
|
|
|
First
Quarter
|
$76.60
|
$62.77
|
$0.42773
|
Second
Quarter
|
$78.75
|
$72.05
|
$0.33742
|
Third
Quarter
|
$79.35
|
$72.89
|
$0.41455
|
Fourth
Quarter
|
$82.50
|
$74.07
|
$0.40335
|
2020
|
|
|
|
First
Quarter
|
$85.23
|
$48.77
|
$0.39577
|
Second
Quarter
|
$76.29
|
$56.34
|
$0.30634
|
Third
Quarter
|
$79.90
|
$67.14
|
$0.30528
|
Fourth
Quarter
|
$89.65
|
$74.87
|
$0.36589
|
2021
|
|
|
|
First
Quarter
|
$98.77
|
$84.77
|
$0.29564
|
Second
Quarter
|
$105.53
|
$98.78
|
$0.31433
|
Third
Quarter
|
$105.53
|
$97.84
|
$0.32310
|
Fourth
Quarter (through November 26, 2021)
|
$107.12
|
$98.64
|
$0.00000
|
The closing price of the shares of Industrial Select Sector SPDR®
Fund on November 26, 2021 was $103.21.
We make no representation as to the amount of dividends, if any, that
may be paid on the shares of Industrial Select Sector SPDR® Fund in the future. In any event, as an investor in the securities,
you will not be entitled to receive dividends, if any, that may be payable on the shares of Industrial Select Sector SPDR®
Fund.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, this treatment
of the securities is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that
this treatment is more likely than not to be upheld, and that alternative treatments are possible.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S.
federal income tax consequences should result under current law:
|
·
|
Any coupon payments on the securities should be taxable as
ordinary income to you at the time received or accrued in accordance with your regular method of accounting for U.S. federal income tax
purposes.
|
|
·
|
Upon a sale or exchange
of a security (including retirement at maturity), you should recognize capital gain or loss
equal to the difference between the amount realized and your tax basis in the security. For
this purpose, the amount realized does not include any coupon paid on retirement and may
not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon
payment. Such gain or loss should be long-term capital gain or loss if you held the security
for more than one year.
|
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold
on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a rate of 30%. To the
extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities, we intend to so withhold.
In order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to
establish that you are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should
consult your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any amounts
withheld and the certification requirement described above.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the
regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta”
of one. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities should
not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S.
Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may
depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential
application of Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect
to amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the
laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan
of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.25 for each $10 security
sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including Morgan Stanley
Wealth Management, and their financial advisors collectively a fixed selling concession of $0.20 for each $10 security they sell. In
addition, Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security they sell. For the avoidance of
doubt, the fees and selling concessions described in this pricing supplement will not be rebated if the securities are automatically
redeemed prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will conform
with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule 5121 of the
Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment discretion will
not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of the client.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
A portion of the net proceeds from the sale of the securities will
be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or other of our
affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities declines.
This hedging activity could affect the closing prices of any of the underlying shares and, therefore, the value of and your return on
the securities. For additional information on the ways in which our counterparties may hedge our obligations under the securities, see
“Use of Proceeds and Hedging” in the accompanying prospectus.
The costs included in the original issue price of the securities will
include a fee paid by CGMI to LFT Securities, LLC, an entity in which an affiliate of Morgan Stanley Wealth Management has an ownership
interest, for providing certain electronic platform services with respect to this offering.
Valuation of the
Securities
CGMI calculated the estimated value of the securities set forth on
the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a
proprietary derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component
based on various inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to
maturity will fluctuate based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s
creditworthiness. These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through
one or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be
determined. This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates
over the term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the
three-month temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary
Risk Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and issued
by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor,
such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings
Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this
Citigroup Global Markets Holdings Inc.
|
449,725 Contingent Income Auto-Callable Securities Due December 2, 2024
Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund Principal at Risk Securities
|
|
pricing supplement and is limited to the laws of the State of New York,
except that such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed the
legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets
Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc. In addition, this opinion is subject
to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021, which has been filed as an exhibit to
a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been duly authorized, executed and delivered
by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the securities nor the issuance and
delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc.
with the terms of the securities and the related guarantee respectively, will result in a violation of any provision of any instrument
or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by
any court or governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has
duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup Global
Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been
duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture
and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup
Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of
incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited
to the laws of the State of New York.
Alexia Breuvart, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all documents submitted to her or such
persons as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic
copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is
validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed
and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its
obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive
documents. This opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State
of Delaware.
Barbara Politi, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination,
she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers
of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents
of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
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and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the
world.
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