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Citigroup Global Markets Holdings Inc.
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January 10, 2022
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2022-USNCH10331
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03
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Buffered Digital Notes Based on the Common Stock of
Amazon.com, Inc. Due January 25, 2023
Overview
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The securities offered by this pricing supplement are unsecured
senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities,
the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities offer a payment
at maturity with a value that may be greater than or less than the stated principal amount, depending on the performance of the shares
of common stock of Amazon.com, Inc. (the “underlying shares”) from the initial share price to the final share price.
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The securities offer a fixed return at maturity so long as the
final share price is greater than or equal to the buffer price as described below. In exchange for this feature, investors in
the securities must be willing to forgo (i) any appreciation of the underlying shares beyond the fixed return amount and (ii) any dividends
that may be paid on the underlying shares. In addition, investors in the securities must be willing to accept downside exposure to the
underlying shares if the final share price is less than the buffer price. If the final share price is less than the buffer price,
you will receive a number of underlying shares per security at maturity (or, if a settlement disruption occurs, the cash value of those
shares based on the final share price) that are worth less than the stated principal amount per security. There is no minimum payment
at maturity.
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In order to obtain the modified exposure to the underlying shares
that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the
risk of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations. All payments on the
securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying shares:
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Shares of common stock of Amazon.com, Inc. (ticker symbol: “AMZN”) (the “underlying share issuer”)
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Aggregate stated principal amount:
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$1,500,000
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Stated principal amount:
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$10,000 per security
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Strike date:
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January 7, 2022
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Pricing date:
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January 10, 2022
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Issue date:
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January 13, 2022
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Final valuation dates:
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January 13, 2023, January 17, 2023, January 18, 2023, January 19, 2023 and January 20, 2023 each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Maturity date:
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January 25, 2023, subject to postponement as described under “Additional Information” below
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Payment at maturity:
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For each $10,000 stated principal amount security you hold at maturity,
you will receive the following amount in U.S. dollars:
▪
If the final share price is greater than or equal to the buffer price:
$10,000 + the fixed return amount
▪
If the final share price is less than the buffer price: a fixed number of underlying shares equal to the equity ratio
(or, if a settlement disruption occurs, the cash value of those shares based on the final share price)
If the final share price is less than the buffer price, you will receive
underlying shares (or, if a settlement disruption occurs, cash based on the value thereof) that are worth less than the stated principal
amount of your securities, and possibly nothing, at maturity. You should not invest in the securities unless you are willing and able
to bear the risk of losing a significant portion, or all, of your investment.
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Initial share price:
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$3,251.08, the closing price of the underlying shares on the strike date
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Final share price:
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The arithmetic average of the closing price of the underlying shares on each of the final valuation dates
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Fixed return amount:
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$1,070.00 per security (10.70% of the stated principal amount). You will receive the fixed return amount only if the final share price is greater than or equal to the buffer price.
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Share return:
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(i) The final share price minus the initial share price, divided by (ii) the initial share price
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Buffer price:
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$2,925.972
, 90% of the initial share price
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Equity ratio:
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3.41767, the stated principal amount divided by the buffer price
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17328N3X4 / US17328N3X40
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)(2)
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Underwriting fee(3)
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Proceeds to issuer(3)
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Per security:
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$10,000.00
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$100.00
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$9,900.00
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Total:
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$1,500,000.00
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$15,000.00
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$1,485,000.00
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(1) On the date of this pricing supplement,
the estimated value of the securities is $9,724.00 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) The issue price for investors purchasing
the securities in fiduciary accounts is $9,900.00 per security.
(3) CGMI will receive an underwriting
fee of $100.00 for each security sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement
agents for the securities and, from the underwriting fee to CGMI, will receive a placement fee of $100.00 for each security they sell
in this offering to accounts other than fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement
fee for sales to fiduciary accounts. For more information on the distribution of the securities, see “Supplemental Plan of Distribution”
in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to
this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated with an investment in conventional
debt securities. See “Summary Risk Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying product 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, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks
below:
Product Supplement No. EA-02-09 dated May 11, 2021 Prospectus Supplement and Prospectus, each dated May 11, 2021
The securities are not bank deposits and
are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain
events may occur that could affect your payment at maturity. These events and their consequences are described in the accompanying product
supplement in the sections “Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation
Date,” “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an
Underlying ETF—Dilution and Reorganization Adjustments” and “—Delisting of an Underlying Company,” and not
in this pricing supplement (except as set forth in the next paragraph). It is important that you read the accompanying product 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.
Postponement of a Final Valuation Date; Postponement of the Maturity
Date. If any scheduled final valuation date is not a scheduled trading day, that final valuation date will be postponed to the next
succeeding scheduled trading day. In addition, if a market disruption event occurs on any scheduled final valuation date, the calculation
agent may, but is not required to, postpone that final valuation date to the next succeeding scheduled trading day on which a market disruption
event does not occur. If any final valuation date is postponed so that it coincides with a subsequent scheduled final valuation date,
each such subsequent final valuation date will be postponed to the next succeeding scheduled trading day (subject to further postponement
as provided above if a market disruption event occurs on such succeeding scheduled trading day). However, in no event will any scheduled
final valuation date be postponed more than five scheduled trading days after that originally scheduled final valuation date as a result
of a market disruption event occurring on that scheduled final valuation date or on an earlier scheduled final valuation date (in each
case, as any such scheduled final valuation date may be postponed). If the last final valuation date is postponed so that it falls less
than three business days prior to the scheduled maturity date, the maturity date will be postponed to the third business day after the
last final valuation date as postponed. The provisions in this paragraph supersede the related provisions in the accompanying product
supplement to the extent the provisions in this paragraph are inconsistent with those provisions. The terms “scheduled trading day”
and “market disruption event” are defined in the accompanying product supplement.
Cash Settlement. The provisions of the accompanying product
supplement describing the payment of cash at maturity in lieu of delivering any underlying shares are modified by this pricing supplement.
We will not have the right to elect, in our sole discretion, to pay cash in lieu of delivering any underlying shares at maturity.
Instead, we will pay cash in lieu of delivering any underlying shares at maturity only if a settlement disruption occurs. A “settlement
disruption” will occur if the calculation agent determines, in its sole discretion and taking into account any considerations it
deems relevant, that we cannot reasonably procure delivery of the underlying shares on the maturity date.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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Hypothetical Examples
The diagram below illustrates your payment at maturity for a range of
hypothetical share returns. If you receive underlying shares at maturity, the diagram below illustrates the value of these shares based
on their final share price.
Investors in the securities will not receive any dividends that may
be paid on the underlying shares. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities.
See “Summary Risk Factors—Investing in the securities is not equivalent to investing in the underlying shares” below.
Buffered Digital Notes
Payment at Maturity Diagram
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n The Securities
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n The Underlying Shares
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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The table and examples below illustrate various hypothetical payments
on the securities at maturity for a range of hypothetical final share prices (the final share price is the arithmetic average of the closing
price of the underlying shares on each of the five final valuation dates) of the underlying shares. The outcomes illustrated are not exhaustive,
and the actual payment at maturity you receive on the securities may differ from any example illustrated below.
The table and examples that follow are based on the following hypothetical
values and assumptions in order to illustrate how the securities work and do not reflect the actual initial share price, buffer price,
fixed return amount or equity ratio:
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Initial share price:
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$100.00 (the hypothetical closing price of the underlying shares on the strike date)
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Buffer price:
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$90.00 (90.00% of the hypothetical initial share price)
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Equity ratio:
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111.11111
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For ease of analysis, figures in the table and examples below have been
rounded.
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Hypothetical Final Share Price
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Hypothetical Share Return
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Hypothetical Payment at Maturity or Cash Value of the Underlying Shares Received at Maturity(1) Per Security
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Hypothetical Total Return on Securities at Maturity(2)
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$200.00
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100.00%
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$11,070.00
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10.70%
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$190.00
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90.00%
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$11,070.00
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10.70%
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$180.00
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80.00%
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$11,070.00
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10.70%
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$170.00
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70.00%
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$11,070.00
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10.70%
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$160.00
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60.00%
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$11,070.00
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10.70%
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$150.00
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50.00%
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$11,070.00
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10.70%
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$140.00
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40.00%
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$11,070.00
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10.70%
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$130.00
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30.00%
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$11,070.00
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10.70%
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$120.00
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20.00%
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$11,070.00
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10.70%
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$110.00
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10.00%
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$11,070.00
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10.70%
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$105.00
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5.00%
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$11,070.00
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10.70%
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$101.00
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1.00%
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$11,070.00
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10.70%
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$100.00
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0.00%
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$11,070.00
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10.70%
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$95.00
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-5.00%
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$11,070.00
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10.70%
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$90.00
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-10.00%
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$11,070.00
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10.70%
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$89.99
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-10.01%
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$9,998.89
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0.00%
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$80.00
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-20.00%
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$8,888.89
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-11.11%
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$70.00
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-30.00%
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$7,777.78
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-22.22%
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$60.00
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-40.00%
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$6,666.67
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-33.33%
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$50.00
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-50.00%
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$5,555.56
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-44.44%
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$40.00
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-60.00%
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$4,444.44
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-55.56%
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$30.00
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-70.00%
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$3,333.33
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-66.67%
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$20.00
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-80.00%
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$2,222.22
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-77.78%
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$10.00
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-90.00%
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$1,111.11
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-88.89%
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$0.00
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-100.00%
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$0.00
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-100.00%
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(1) Assumes that the
final share price is the same as the closing price of the underlying shares on the maturity date
(2) Hypothetical total return on securities at maturity =
(i) hypothetical payment at maturity per security minus $10,000 stated principal amount per security, divided by (ii) $10,000
stated principal amount per security
Example 1—Upside Scenario A. The hypothetical final share
price is $105.00 (an approximately 5.00% increase from the hypothetical initial share price), which is greater than the hypothetical
buffer price.
Payment at maturity per security = $10,000 + the fixed return amount
= $10,000.00 + $1,070.00
= $11,070.00
Because the underlying shares appreciated from the hypothetical initial
share price to the hypothetical final share price, your payment at maturity in this scenario would
be equal to the $10,000 stated principal amount per security plus the fixed return amount, or $11,070.00 per security.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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Example 2—Upside Scenario B. The hypothetical final share
price is $150.00 (an approximately 50.00% increase from the hypothetical initial share price), which is greater than the hypothetical
buffer price.
Payment at maturity per security = $10,000 + the fixed return amount
= $10,000.00 + $1,070.00
= $11,070.00
Because the underlying shares appreciated from the hypothetical initial
share price to the hypothetical final share price, your payment at maturity in this scenario would
be equal to the $10,000 stated principal amount per security plus the fixed return amount, or $11,070.00 per security. In
this scenario, the fixed return percentage is less than the appreciation of the underlying shares,
and as a result an investment in the securities would underperform a hypothetical alternative investment providing 1-to-1 exposure to
the appreciation of the underlying shares without a fixed return.
Example 3—Upside Scenario C. The hypothetical final share
price is $90.00 (an approximately 10.00% decrease from the hypothetical initial share price), which is greater than the hypothetical
buffer price.
Payment at maturity per security = $10,000 + the fixed return amount
= $10,000.00 + $1,070.00
= $11,070.00
Because the underlying shares depreciated from the hypothetical initial
share price to the hypothetical final share price, but the hypothetical final share price is greater than the buffer price, your
payment at maturity in this scenario would be equal to the $10,000 stated principal amount per security plus the fixed return amount,
or $11,070.00 per security.
Example 4—Downside Scenario A. The hypothetical final share
price is $70.00 (an approximately 30.00% decrease from the hypothetical initial share price), which is less than the hypothetical
buffer price.
Payment at maturity per security = a fixed number of underlying shares
equal to the equity ratio (or, if a settlement disruption occurs, the cash value of those shares based on the final share price)
In this scenario, the value of
a number of underlying shares equal to the equity ratio, based on the final share price, would be $7,777.78.
Therefore, the value of the underlying shares (or, if a settlement disruption occurs, cash) you receive at maturity would be significantly
less than the stated principal amount of your securities. You would incur a loss based on the performance of the underlying shares from
the initial share price to the final share price.
If the final share price is less
than the buffer price and a settlement disruption occurs, we will deliver to you on the maturity date the cash value of the number of
underlying shares we would have otherwise delivered based on their final share price. The price of those underlying shares on the maturity
date may be different than their final share price.
Example 5—Downside Scenario B. The hypothetical final share
price is $0.00 (an approximately 100.00% decrease from the hypothetical initial share price), which is less than the hypothetical
buffer price. In this scenario, the underlying shares are worthless and you would lose your entire investment in the securities at maturity.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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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 (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 the underlying shares. Accordingly, the securities are suitable 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 suitability 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.
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▪
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You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount
of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying shares. If the final share
price is less than the buffer price, you will not be repaid the stated principal amount of your securities at maturity and, instead, will
receive a number of underlying shares equal to the equity ratio (or, if a settlement disruption occurs, cash based on the value thereof).
As a result, investors will be exposed to any further depreciation of the underlying shares that may occur between the final share price
and the closing price of the underlying shares on the maturity date. These underlying shares will be worth less than the stated principal
amount per security and may be worth nothing. You should not invest in the securities if you are unwilling or unable to bear the risk
of losing the entire stated principal amount of your securities.
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At
maturity, if the final share price is less than the buffer price, you will have similar downside market risk as a purchaser of the underlying
shares at the buffer price (except that you will not receive any dividends). This will result in a smaller loss on the securities (disregarding
dividends) than would be incurred by a purchaser of the underlying shares at the initial share price, unless the final share price is
zero. However, you will be exposed at an increased rate to the decline in the price of the underlying shares below the buffer price, with
a loss on the securities of more than 1% for each additional 1% of the initial share price by which the final share price is less than
the buffer price. Therefore, the lower the final share price, the closer your loss of principal will be to the percentage decline of the
underlying shares from the initial share price. For example, if the initial share price was $100, the buffer price was $90 (90% of the
initial share price) and the final share price is below the buffer price, the number of underlying shares equal to the equity ratio at
maturity would be approximately 111.11 shares per $10,000 security ($10,000 divided by the $90 buffer price). If the final share price
was $60 (40% less than the initial share price), the value of a number of underlying shares equal to the equity ratio based on the final
share price would be approximately $6,666.67 per security (approximately 111.11 shares times
$60). If you had purchased the underlying shares at the initial share price, you would have 100 shares worth approximately $6,000 based
on the final share price, a difference of approximately $666.67 compared with the value of a number of underlying shares equal to the
equity ratio based on the final share price. However, if the final share price was $30 (70% less than the initial share price), the value
of a number of underlying shares equal to the equity ratio based on the final share price would be approximately $3,333.33 per
security (approximately 111.11 underlying shares times $30). If you had purchased the underlying shares at the initial share price, you
would have 100 shares worth approximately $3,000 based on the final share price, a difference of only approximately $333.33 compared with
the value of a number of underlying shares equal to the equity ratio based on the final share price. If the final share price was $0 (100%
less than the initial share price), the value of a number of underlying shares equal to the equity ratio based on the final share price
would be $0, the same as if you had purchased the underlying shares at the initial share price, and you would lose the entire stated principal
amount of your securities.
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▪
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The initial share price, which was set on the strike date, may be higher than the closing price of the underlying shares on the
pricing date. If the closing price of the underlying shares on the pricing date is less than the initial share price that was set
on the strike date, the terms of the securities may be less favorable to you than the terms of an alternative investment that may be available
to you that offers a similar payout as the securities but with the initial share price set on the pricing date.
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▪
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Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited to
the fixed return at maturity of 10.70%. If the underlying shares appreciates by more than the fixed return at maturity, the securities
will underperform a direct investment in the underlying shares. Your return on the securities could underperform a direct investment in
the underlying shares even if the underlying shares appreciates by less than the fixed return at maturity because, unlike a direct investment
the underlying shares, investors in the securities will not receive any dividends that may be paid on the underlying shares over the term
of the securities.
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▪
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The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other amounts
prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
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Citigroup Global Markets Holdings Inc.
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|
Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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▪
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Investing in the securities is not equivalent to investing in the underlying shares.
You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the underlying
shares. As of January 10, 2022, the underlying share issuer does not pay dividends or make other distributions on the underlying
shares. However, if the underlying share issuer were to pay dividends or make other distributions on the underlying shares, investors
in the securities would not have any rights to receive such dividends or distributions and you would be foregoing the opportunity to receive
such payments that you could have received by investing directly in the underlying shares or in another investment linked to the underlying
shares that provides for a pass-through of dividends.
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▪
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The payment at maturity on the securities is based on the arithmetic average of the closing price of the underlying shares on the
five final valuation dates. As a result, you are subject to the risk that the closing price of the underlying shares on those five
final valuation dates will result in a less favorable return than you would have received had the final share price been based on the
closing price on other days during the term of the securities. If you had invested in another instrument linked to the underlying shares
that you could sell for full value at a time selected by you, you might have achieved better returns. In addition, because the final share
price is based on the average over the five final valuation dates, your return on the securities may be less favorable than it would have
been if it were based on the closing price of the underlying shares on only one of those five final valuation dates.
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▪
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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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▪
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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 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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▪
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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 placement 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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▪
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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 the underlying shares, dividend yields on the underlying
shares 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 an interest rate that we will pay to investors
in the securities, which do not bear interest.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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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 the
price and volatility of the underlying shares, the dividend yields on the underlying shares, interest rates generally, the time remaining
to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the price 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.
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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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Our offering of the securities does not constitute a recommendation of the underlying shares by CGMI or its affiliates or by the
placement agents or their affiliates. The fact that we are offering the securities does not mean that we believe, or that the placement
agents or their affiliates believe, that investing in an instrument linked to the underlying shares are likely to achieve favorable returns.
In fact, as we and the placement agents are part of global financial institutions, our affiliates and the placement agents and their affiliates
may have positions (including short positions) in the underlying shares or in instruments related to the underlying shares or such stocks
over the term of the 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 or the placement agents or their affiliates may affect the price
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 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 and other financial instruments related to the underlying shares and may adjust such positions during the term of the
securities. Our affiliates and the placement agents and their affiliates also trade the underlying shares and other financial instruments
related to the underlying shares 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 price 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 or
the placement agents or their affiliates while the value of the securities declines.
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We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours as a result
of our affiliates’ or their business activities. Our affiliates or the placement agents or their affiliates may currently or
from time to time engage in business with the underlying share issuer, including extending loans to, making equity investments in or providing
advisory services to the underlying share issuer. In the course of this business, we or our affiliates or the placement agents or their
affiliates may acquire non-public information about the underlying share issuer, which we and they will not disclose to you. Moreover,
if any of our affiliates or the placement agents or their affiliates is or becomes a creditor of the underlying share issuer, they may
exercise any remedies against the underlying share issuer that are available to them without regard to your interests.
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You will have no rights and will not receive dividends with respect to the underlying shares. If any change to the underlying
shares is proposed, such as an amendment to the underlying share issuer’s organizational documents, you will not have the right
to vote on such change. Any such change may adversely affect the market price of the underlying shares.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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Even if the 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 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 underlying shares
on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying shares by the amount of the dividend
per underlying share. If the underlying share issuer pays any dividend for which an adjustment is not made under the terms of the securities,
holders of the securities will 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 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, partial
tender offers or additional public offerings of the underlying shares. Moreover, the adjustments we do make may not fully offset the dilutive
or adverse effect of the particular event. Investors in the securities may be adversely affected by such an event in a circumstance in
which a direct holder of the underlying shares would not.
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If the underlying shares are delisted, we may call the securities prior to maturity for an amount that may be less than the stated
principal amount. If we exercise this call right, you will receive the amount described under “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting of an Underlying Company” in
the accompanying product supplement. This amount may be less, and possibly significantly less, than the stated principal amount of the
securities.
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The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence of
a reorganization event or upon the delisting of the underlying shares. For example, if the underlying share issuer enters into a merger
agreement that provides for holders of the underlying shares to receive stock of another entity, the stock of such other entity will become
the underlying shares for all purposes of the securities upon consummation of the merger. Additionally, if the underlying shares are delisted
and we do not exercise our call right, the calculation agent may, in its sole discretion, select shares of another issuer to be the 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 of an Underlying Company” in the
accompanying product supplement.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur, such as market disruption events, corporate events with respect to the underlying share issuer that may require
a dilution adjustment or the delisting of the 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.
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The U.S. federal tax consequences of an investment in the securities are
unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan
to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment
of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid forward contracts.
If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition
of the securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could
adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.
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If you are a non-U.S. investor, you should
review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
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.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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Information About
Amazon.com, Inc.
Amazon.com, Inc. is a web-based
business that serves consumers, sellers, developers, enterprises and content creators. The shares of common stock of Amazon.com, Inc.
are registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed
with the SEC by Amazon.com, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 000-22513 through the
SEC’s website at http://www.sec.gov. In addition, information regarding Amazon.com, Inc. may be obtained from other sources including,
but not limited to, press releases, newspaper articles and other publicly disseminated documents. The shares of common stock of Amazon.com,
Inc. trade on the Nasdaq Global Select Market under the ticker symbol “AMZN.”
This pricing supplement relates
only to the securities offered hereby and does not relate to the shares of common stock of Amazon.com, Inc. or other securities of Amazon.com,
Inc. We have derived all disclosures contained in this pricing supplement regarding Amazon.com, Inc. 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 Amazon.com, Inc.
The securities represent obligations
of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. Amazon.com, Inc. 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 shares of common stock of Amazon.com, Inc.
Historical Information
The closing price of the shares of common stock of Amazon.com, Inc.
on January 10, 2022 was $3,229.72. The graph below shows the closing price of the shares of common
stock of Amazon.com, Inc. for each day such price was available from January 3, 2012 to January 10, 2022. We obtained the closing prices
from Bloomberg L.P., without independent verification. If certain corporate transactions occurred during the historical period shown below,
including, but not limited to, spin-offs or mergers, then the closing prices of the shares of common stock of Amazon.com, Inc. shown below
for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg L.P. as if any such transaction had occurred
prior to the first day in the period shown below. You should not take the historical prices of the shares of common stock of Amazon.com,
Inc. as an indication of future performance.
Amazon.com, Inc. – Historical Closing Prices
January 3, 2012 to January 10, 2022
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement. This discussion does not address the U.S. federal tax consequences of the
ownership or disposition of the underlying shares that you may receive at maturity. You should consult your tax adviser regarding the
U.S. federal tax consequences of the ownership and disposition of the underlying shares.
In the opinion of our counsel, Davis Polk & Wardwell LLP, a security
should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence
of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty regarding this treatment,
and the IRS or a court might not agree with it. Moreover, our counsel’s opinion is based on market conditions as of the date of
this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.
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Upon a sale or exchange of a security (including retirement at maturity for cash), you should recognize capital gain or loss equal
to the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain or
loss if you held the security for more than one year.
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If you receive the underlying shares (and cash in lieu of any fractional shares) at maturity, you should not recognize gain or loss
with respect to the underlying shares received. Instead, you should have an aggregate tax basis in the underlying shares received (including
any fractional shares deemed received) equal to your basis in the securities. Your holding period for any underlying shares received should
start on the day after receipt. With respect to any cash received in lieu of a fractional share, you should recognize capital loss in
an amount equal to the difference between the amount of cash received in lieu of the fractional share and the portion of your tax basis
in the securities that is allocable to the fractional share.
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We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
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 as of the date of this preliminary pricing supplement, 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).
However, the final determination regarding the treatment of the securities under Section 871(m) will be made as of the pricing date for
the securities, and it is possible that the securities will be subject to withholding tax under Section 871(m) based on the circumstances
as of that date.
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.
If withholding tax applies to the securities, we will not be required
to pay any additional amounts with respect to amounts withheld.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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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.
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 $100.00 for each security sold
in this offering. The amount of the underwriting fee to CGMI will be equal to the placement fee paid to the placement agents. J.P. Morgan
Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities and, from the underwriting fee to CGMI, will
receive a placement fee of $100.00 for each security they sell in this offering to accounts other than fiduciary accounts. CGMI and the
placement agents will forgo an underwriting fee and placement fee for sales to fiduciary accounts. In addition to the underwriting fee,
CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines.
See “Use of Proceeds and Hedging” in the accompanying prospectus.
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 price 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.
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 six 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 six-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
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on the Common Stock of Amazon.com, Inc. Due January 25, 2023
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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.
© 2022 Citigroup Global Markets Inc. All rights reserved. Citi
and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the
world.
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