Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
|
|
Potential
Autocall Dates:
|
Each valuation date beginning in April
2022 and ending in July 2023.
|
Initial
Underlying Value:
|
With respect to the SPDR® S&P
500® ETF Trust: $445.87, its closing value on the pricing date.
With respect to the Financial Select Sector SPDR® Fund: $39.51, its closing value on the pricing date.
With respect to the SPDR® S&P® Biotech ETF: $125.08, its closing value on the pricing date.
With respect to the Consumer Staples Select Sector SPDR® Fund: $70.81, its closing value on the pricing date.
|
Coupon Barrier
Value:
|
With respect to the SPDR® S&P
500® ETF Trust: $312.109, which is equal to 70% of its initial underlying value.
With respect to the Financial Select Sector SPDR® Fund: $27.657, which is equal to 70% of its initial underlying value.
With respect to the SPDR® S&P® Biotech ETF: $87.556, which is equal to 70% of its initial underlying
value.
With respect to the Consumer Staples Select Sector SPDR® Fund: $49.567, which is equal to 70% of its initial underlying
value.
|
Final Barrier
Value:
|
With respect to the SPDR® S&P
500® ETF Trust: $312.109, which is equal to 70% of its initial underlying value.
With respect to the Financial Select Sector SPDR® Fund: $27.657, which is equal to 70% of its initial underlying value.
With respect to the SPDR® S&P® Biotech ETF: $87.556, which is equal to 70% of its initial underlying
value.
With respect to the Consumer Staples Select Sector SPDR® Fund: $49.567, which is equal to 70% of its initial underlying
value.
|
Underlying
Performance Factor:
|
For each underlying on any valuation date, its closing value on that
valuation date divided by its initial underlying value
|
Worst
Performing Underlying:
|
For any valuation date, the underlying with the lowest
underlying performance factor determined as of that valuation date
|
Calculation Agent:
|
CGMI
|
Denominations:
|
$1,000 and any integral multiple of $1,000.
|
CUSIP /
ISIN:
|
17329ULE9 / US17329ULE90
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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|
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, underlying supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in
this pricing supplement. For example, the accompanying product supplement contains important information about how the closing value
of the underlyings will be determined and other specified events with respect to the underlyings. The accompanying underlying supplement
contains information about the underlyings that is 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 deciding whether
to invest in the securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
When we refer to “we,” “us”
and “our” in this pricing supplement, we refer only to Citigroup Global Market Holdings Inc. and not to any of its affiliates,
including Citigroup Inc.
You may access the product supplement, underlying
supplement and prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing
our filings for the relevant date on the SEC website):
|
•
|
Product Supplement No. EA-04-09 dated
May 11, 2021:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010321007044/dp150747_424b2-coba0409.htm
|
•
|
Underlying Supplement No. 10 dated May
11, 2021:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010321007028/dp150879_424b2-us10.htm
|
•
|
Prospectus Supplement and Prospectus
each dated May 11, 2021:
|
https://www.sec.gov/Archives/edgar/data/200245/000119312521157552/d423193d424b2.htm
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
|
|
We have designed the securities for investors
who:
|
·
|
seek
an investment with periodic contingent coupon payments equal to the amount indicated on the
cover hereof until the earlier of maturity or automatic redemption, if, and only if,
the closing value of the worst performing underlying on the relevant valuation date is greater
than or equal to its coupon barrier value;
|
|
·
|
understand
that if the closing value of the worst performing underlying on the final valuation date
is less than its final barrier value, they will be fully exposed to the decline in the worst
performing underlying from its initial underlying value and will receive significantly less
than the stated principal amount, and possibly nothing, at maturity;
|
|
·
|
are
willing to accept the risk that they may not receive any contingent coupon payment on one
or more, or any, contingent coupon payment dates over the term of the securities and may
lose all of the stated principal amount per security at maturity;
|
|
·
|
understand
that the securities may be automatically redeemed prior to maturity and that the term of
the securities may be limited;
|
|
·
|
understand
that the return on the securities will depend solely on the performance of the underlying
that is the worst performing underlying on each valuation date and that they will not benefit
in any way from the performance of any better performing underlying;
|
|
·
|
understand
that the securities are riskier than alternative investments linked to only one of the underlyings
or linked to a basket composed of each underlying;
|
|
·
|
understand
and are willing to accept the full downside risks of each underlying;
|
|
·
|
are
willing to forgo participation in any appreciation of any underlying and dividends on the
underlyings; and
|
|
·
|
are
willing to hold the securities to maturity.
|
The securities are not designed for, and may
not be a suitable investment for, investors who:
|
·
|
seek
a liquid investment or are unable or unwilling to hold the securities to maturity;
|
|
·
|
seek
full return of the stated principal amount of the securities at maturity;
|
|
·
|
seek
a security with a fixed term;
|
|
·
|
are
unwilling to purchase securities with an estimated value as of the pricing date that is lower
than the public offering price and that may be as low as the amount set forth on the cover
page;
|
|
·
|
are
unwilling to accept the risk that the closing value of the worst performing underlying on
the final valuation date may be less than its final barrier value;
|
|
·
|
seek
certainty of current income over the term of the securities;
|
|
·
|
seek
exposure to the upside performance of any or each underlying;
|
|
·
|
seek
exposure to a basket composed of each underlying or a similar investment in which the overall
return is based on a blend of the performances of the underlyings, rather than solely on
the worst performing underlying;
|
|
·
|
are
unwilling to accept the risk of exposure to the United States equity market;
|
|
·
|
are
unwilling to accept the risk of exposure to the financial services sector;
|
|
·
|
are
unwilling to accept the risk of exposure to the biotechnical industry;
|
|
·
|
are
unwilling to accept the risk of exposure to the consumer staples sector;
|
|
·
|
are
unwilling to accept the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup
Inc.; or
|
|
·
|
prefer
the lower risk of conventional fixed income investments with comparable maturities issued
by companies with comparable credit ratings.
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
|
|
Determining
Payment On A Contingent Coupon Payment Date and at Maturity
|
If the securities have not been previously automatically
redeemed, on each contingent coupon payment date, you will either receive a contingent coupon payment or you will not receive a contingent
coupon payment, depending on the closing value of the worst performing underlying on the related valuation date.
Step 1: Determine which underlying is
the worst performing underlying on the relevant valuation date. The worst performing underlying on any valuation date is the underlying
with the lowest underlying performance factor on that valuation date. The underlying performance factor of an underlying on a valuation
date is its closing value on that valuation date divided by its initial underlying value.
Step 2: Determine whether a contingent
coupon is paid on the applicable contingent coupon payment date based on the closing value of the worst performing underlying on the
relevant valuation date, as follows:
If the relevant valuation date were also a potential
autocall date and the closing value of the worst performing underlying on the relevant valuation date were greater than or equal to its
initial underlying value, the securities would be automatically redeemed on the applicable contingent coupon payment date for an amount
in cash equal to $1,000 plus the related contingent coupon payment.
On the maturity date, if the securities have
not been automatically redeemed prior to the maturity date, you will receive (in addition to the final contingent coupon payment, if
any) a cash payment per security (the payment at maturity) calculated as follows:
Step 1: Determine which underlying is
the worst performing underlying on the final valuation date. The worst performing underlying on the final valuation date is the underlying
with the lowest underlying performance factor on the final valuation date. The underlying performance factor of an underlying on the
final valuation date is its closing value on the final valuation date divided by its initial underlying value.
Step 2: Calculate the payment at maturity
based on the closing value of the worst performing underlying on the final valuation date, as follows:
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
|
|
Hypothetical
Payout Profile
|
The following profile illustrates the potential
payment at maturity on the securities (excluding the final contingent coupon payment, if any) for a range of hypothetical performances
of the worst performing underlying on the final valuation date from its initial underlying value to its closing value on the final valuation
date, assuming the securities have not been automatically redeemed prior to the maturity date. This graph has been prepared for purposes
of illustration only. Your actual return on the securities will depend on the actual closing value of the worst performing underlying
on the final valuation date and whether you hold your securities to the maturity date. The performance of any better performing underlying
is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
|
|
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 each of the underlyings. 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.
You May Lose Some 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, your payment at maturity will depend on the closing value of the worst performing underlying on the final
valuation date. If the closing value of the worst performing underlying on the final valuation date is less than its final barrier value,
you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing underlying has declined
from its initial underlying value. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment.
You Will Not Receive Any Contingent Coupon
On The Contingent Coupon Payment Date Following Any Valuation Date On Which The Closing Value Of The Worst Performing Underlying Is Less
Than Its Coupon Barrier Value.
A contingent coupon payment will be made on a
contingent coupon payment date if and only if the closing value of the worst performing underlying on the immediately preceding valuation
date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying is less than its coupon
barrier value on any valuation date, you will not receive any contingent coupon payment on the immediately following contingent coupon
payment date. If the closing value of the worst performing underlying is below its coupon barrier value on each valuation date, you will
not receive any contingent coupon payments over the term of the securities.
Higher Contingent Coupon Rates Are Associated
With Greater Risk.
The securities offer contingent coupon payments
at an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities
of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing date for the securities,
including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent coupon payment dates and the
risk that the securities will not be automatically redeemed and the value of what 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 between the underlyings are important
factors affecting these risks. Greater expected volatility of and lower expected correlation between the underlyings 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 value of the worst performing underlying on one or more valuation dates will be less than its coupon barrier value, such
that you will not receive one or more, or any, contingent coupon payments during the term of the securities and (ii) the securities will
not be automatically redeemed and the closing value of the worst performing underlying on the final valuation date will be less than
its final barrier value, such that you will not be repaid the stated principal amount of your securities at maturity.
The Securities Are Subject To Heightened Risk
Because They Have Multiple Underlyings.
The securities are more risky than similar investments
that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying will perform
poorly, adversely affecting your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
|
|
The Securities Are Subject To The Risks Of
Each Of The Underlyings And Will Be Negatively Affected If Any One Underlying Performs Poorly, Regardless Of The Performance Of Any Other
Underlying.
You are subject to risks associated with each
of the underlyings. If any one underlying performs poorly, you will be negatively affected, regardless of the performance of any other
underlying. The securities are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would
be better than the performance of the worst performing underlying alone. Instead, you are subject to the full risks of whichever of the
underlyings is the worst performing underlying.
You Will Not Benefit In Any Way From The Performance
Of Any Better Performing Underlying.
The return on the securities depends solely on
the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying.
You Will Be Subject To Risks Relating To The
Relationship Between The Underlyings.
It is preferable from your perspective for the
underlyings to be correlated with each other, in the sense that they tend to increase or decrease at similar times and by similar magnitudes.
By investing in the securities, you assume the risk that the underlyings will not exhibit this relationship. The less correlated the
underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the securities. All that is necessary
for the securities to perform poorly is for one of the underlyings to perform poorly; the performance of any underlying that is not the
worst performing underlying is not relevant to your return on the securities. It is impossible to predict what the relationship between
the underlyings will be over the term of the securities. The underlyings differ in significant ways and, therefore, may not be correlated
with each other.
You May Not Be Adequately Compensated For
Assuming The Downside Risk Of The Worst Performing Underlying.
The potential contingent coupon payments on the
securities are the compensation you receive for assuming the downside risk of the worst performing underlying, 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, but also for all
of the other risks of the securities, including the risk that the securities may be automatically redeemed prior to maturity, interest
rate risk and our and Citigroup Inc.’s credit risk. If those other risks increase or are otherwise greater than you currently anticipate,
the contingent coupon payments may turn out to be inadequate to compensate you for all the risks of the securities, including the downside
risk of the worst performing underlying.
The Securities May Be Automatically Redeemed
Prior To Maturity, Limiting Your Opportunity To Receive Contingent Coupon Payments.
On any potential autocall date, the securities
will be automatically redeemed if the closing value of the worst performing underlying on that potential autocall date is greater than
or equal to its initial underlying value. Thus, the term of the securities may be limited. 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.
The Securities Offer Downside Exposure To
The Worst Performing Underlying, But No Upside Exposure To Any Underlying.
You will not participate in any appreciation
in the value of any underlying 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 any underlying over the term of the securities.
In addition, as an investor in the securities, you will not receive any dividends or other distributions or have any other rights with
respect to any underlying.
The Performance Of The Securities Will Depend
On The Closing Values Of The Underlyings Solely On The Valuation Dates, Which Makes The Securities Particularly Sensitive To Volatility
In The Closing Values Of The Underlyings.
Whether the contingent coupon will be paid on
any given contingent coupon payment date and whether the securities will be automatically redeemed prior to maturity will depend on the
closing values of the underlyings solely on the applicable valuation dates, regardless of the closing values of the underlyings 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 value of the worst performing underlying on the final valuation date, and not on any other day during the term of the
securities. Because the performance of the securities depends
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
|
|
on the closing values of the underlyings on a
limited number of dates, the securities will be particularly sensitive to volatility in the closing values of the underlyings. You should
understand that the closing value of each of the underlyings has historically been highly volatile.
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.
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. We have been advised that Wells Fargo currently intends
to make a secondary market in relation to the securities. However, Wells Fargo may suspend or terminate making a market without notice,
at any time and for any reason. If Wells Fargo suspends or terminates making a market, there may be no secondary market at all for the
securities because it is likely that Wells Fargo 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.
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 Public Offering Price.
The difference is attributable to certain costs
associated with selling, structuring and hedging the securities that are included in the public offering price. These costs include (i)
any selling concessions or other 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 and/or Wells Fargo or its 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.
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 between the underlyings, dividend yields on the underlyings
and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering,
CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not
an accurate reflection of the value of the 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.
The Estimated Value Of The Securities Would
Be Lower If It Were Calculated Based On Wells Fargo’s Determination of The Secondary Market Rate With Respect To Us.
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. We expect that our internal funding rate is generally lower than Wells Fargo’s determination
of the secondary market rate with respect to us, which is the rate that we expect Wells Fargo 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 Wells Fargo’s determination of the secondary market rate with respect to us, 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 is payable on the securities.
Because there is not an active market for traded
instruments referencing our outstanding debt obligations, Wells Fargo may determine the secondary market rate with respect to us for
purposes of any purchase of the securities from you in the secondary market based on
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
|
|
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 Wells Fargo may deem appropriate.
The Estimated Value Of The Securities Is Not
An Indication Of The Price, If Any, At Which Any 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, we expect that any value of the securities determined for purposes of a secondary market transaction
will be based on Wells Fargo’s determination of the secondary market rate with respect to us, which will likely result in a lower
value for the securities than if our internal funding rate were used. In addition, we expect that 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 may be reduced 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 public offering price.
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 closing values of the underlyings, the volatility of the closing values of the underlyings, the correlation
between the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk Factors Relating
to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based
on many unpredictable factors” in the accompanying product supplement. Changes in the closing values of the underlyings 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 public offering price.
We Have Been Advised That, Immediately Following
Issuance, Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements
Prepared By Wells Fargo 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.
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.
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
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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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.
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 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.
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.
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.
The SPDR® S&P®
Biotech ETF Is Subject To Risks Associated With Investing In The Biotechnology Sector.
The stocks held by the SPDR® S&P®
Biotech ETF are generally concentrated in the biotechnology industry. Companies within the biotech industry invest heavily in research
and development which may not necessarily lead to commercially successful products. This industry is also subject to increased governmental
regulation which may delay or inhibit the release of new products. Many biotech companies are dependent upon their ability to use and
enforce intellectual property rights and patents. Any impairment of such rights may have adverse financial consequences. Biotech stocks,
especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Biotech companies can be significantly
affected by technological change and obsolescence, product liability lawsuits and consequential high insurance costs.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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The SPDR® S&P®
Biotech ETF Is Subject To Risks Associated With The Health Care Sector.
Companies in the health care sector are subject
to extensive government regulation and their profitability can be significantly affected by restrictions on government reimbursement
for medical expenses, rising costs of medical products and services, pricing pressure (including price discounting), limited product
lines and an increased emphasis on the delivery of healthcare through outpatient services. Companies in the health care sector are heavily
dependent on obtaining and defending patents, which may be time consuming and costly, and the expiration of patents may also adversely
affect the profitability of the companies. Health care companies are also subject to extensive litigation based on product liability
and similar claims. In addition, their products can become obsolete due to industry innovation, changes in technologies or other market
developments. Many new products in the health care sector require significant research and development and may be subject to regulatory
approvals, all of which may be time consuming and costly with no guarantee that any product will come to market.
The Consumer Staples Select Sector SPDR®
Fund Is Subject To Risks Associated With The Consumer Staples Sector.
The stocks held by the Consumer Staples Select
Sector SPDR® Fund are generally concentrated in the consumer staples sector. As a result, the value of the securities
may be subject to greater volatility and may be more adversely affected by a single economic, political or regulatory occurrence affecting
this industry than a different investment linked to securities of a more broadly diversified group of issuers. Consumer staples companies
are subject to government regulation affecting their products, which may negatively impact their performance. For instance, government
regulations may affect the permissibility of using various food additives and production methods, which could affect company profitability.
Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by litigation. Also, the success of
food, beverage, household and personal product companies may be strongly affected by consumer interest, marketing campaigns and other
factors affecting supply and demand, including performance of the overall domestic and global economy, interest rates, competition and
consumer confidence and spending.
Our Offering Of The Securities Is Not A Recommendation
Of Any Underlying.
The fact that we are offering the securities
does not mean that we or Wells Fargo or its affiliates believe that investing in an instrument linked to the underlyings is likely to
achieve favorable returns. In fact, as we and Wells Fargo and its affiliates are each part of respective global financial institutions,
our affiliates and affiliates of Wells Fargo may have positions (including short positions) in the underlyings or in instruments related
to the underlyings, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the
underlyings. These and other activities of our affiliates or of Wells Fargo or its affiliates may affect the closing values of the underlyings
in a way that negatively affects the value of and your return on the securities.
The Closing Value Of An Underlying May Be
Adversely Affected By Our Or Our Affiliates’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.
We expect to hedge our obligations under the
securities through CGMI or other of our affiliates and/or Wells Fargo or its affiliates, who may take positions in the underlyings or
in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates and
Wells Fargo and its affiliates also take positions in the underlyings or in financial instruments related to the underlyings 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 closing value of the underlyings in a way that negatively affects the value
of and your return on the securities. They could also result in substantial returns for us or our affiliates or Wells Fargo and its affiliates
while the value of the securities declines.
We And Our Affiliates And Wells Fargo And
Its Affiliates May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.
Our affiliates and Wells Fargo and its affiliates
engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating investments,
underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings in a way
that negatively affects the value of and your return on the securities. They could also result in substantial returns for us or our affiliates
or Wells Fargo or its affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates
or Wells Fargo or its affiliates may acquire non-public information, which will not be disclosed to you.
The Calculation Agent, Which Is An Affiliate
Of Ours, Will Make Important Determinations With Respect To The Securities.
If certain events occur during the term of the
securities, such as market disruption events and other events with respect to an underlying, CGMI, as calculation agent, will be required
to make discretionary judgments that could significantly affect your return on
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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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. See “Risk
Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation agent, which is an affiliate of
ours, will make important determinations with respect to the securities” in the accompanying product supplement.
Even If An Underlying 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 by an underlying unless the amount of the dividend per share, together with any
other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an amount equal to at least
10% of the closing value of the underlying on the date of declaration of the dividend. Any dividend will reduce the closing value of
an underlying by the amount of the dividend per share. If an underlying 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.
The Securities Will Not Be Adjusted For All
Events That May Have A Dilutive Effect On Or Otherwise Adversely Affect The Closing Value Of An Underlying.
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
underlying share issuances. 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 of an underlying would not.
The Securities May Become Linked To An Underlying
Other Than An Original Underlying Upon The Occurrence Of A Reorganization Event Or Upon The Delisting Of The Underlying Shares Of An
Underlying.
For example, if an underlying enters into a merger
agreement that provides for holders of the shares of such underlying to receive shares of another entity and such shares are marketable
securities, the closing value of the underlying following consummation of the merger will be based on the value of such other shares.
Additionally, if the underlying shares of an underlying are delisted, the calculation agent may select a successor underlying. See “Description
of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying
product supplement.
The Value And Performance Of The Underlying
Shares Of An Underlying May Not Completely Track The Performance Of The Underlying Index That The Underlying Seeks To Track Or The Net
Asset Value Per Share Of The Underlying.
An underlying does not fully replicate the underlying
index that it seeks to track and may hold securities different from those included in its underlying index. In addition, the performance
of an underlying will reflect additional transaction costs and fees that are not included in the calculation of its underlying index.
All of these factors may lead to a lack of correlation between the performance of an underlying and its underlying index. In addition,
corporate actions with respect to the equity securities held by an underlying (such as mergers and spin-offs) may impact the variance
between the performance of the underlying and its underlying index. Finally, because the underlying shares of an underlying are traded
on an exchange and are subject to market supply and investor demand, the closing value of an underlying may differ from the net asset
value per share of the underlying.
During periods of market volatility, securities
included in an underlying’s underlying index may be unavailable in the secondary market, market participants may be unable to calculate
accurately the net asset value per share of the underlying and the liquidity of the underlying may be adversely affected. This kind of
market volatility may also disrupt the ability of market participants to create and redeem underlying shares of an underlying. Further,
market volatility may adversely affect, sometimes materially, the price at which market participants are willing to buy and sell the
underlying shares of an underlying. As a result, under these circumstances, the closing value of an underlying may vary substantially
from the net asset value per share of the underlying. For all of the foregoing reasons, the performance of an underlying may not correlate
with the performance of its underlying index and/or its net asset value per share, which could materially and adversely affect the value
of the securities and/or reduce your return on the securities.
Changes That Affect The Underlyings May Affect
The Value Of Your Securities.
The sponsors of the underlyings may at any time
make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings. We
are not affiliated with any such underlying sponsor and, accordingly, we have no
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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control over any changes any such sponsor may
make. Such changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
A Contingent Coupon Payment Date And The Stated
Maturity Date May Be Postponed If A Valuation Date is Postponed.
A valuation date (including the final valuation
date) with respect to an underlying will be postponed if the applicable originally scheduled valuation date is not a trading day with
respect to any underlying or if the calculation agent determines that a market disruption event has occurred or is continuing with respect
to that underlying on that valuation date. If such a postponement occurs with respect to a valuation date other than the final valuation
date, then the related contingent coupon payment date will be postponed. If such a postponement occurs with respect to the final valuation
date, the stated maturity date will be the later of (i) the initial stated maturity date and (ii) three business days after
the last final valuation date as postponed.
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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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If the securities are automatically redeemed:
If the securities are automatically redeemed
prior to maturity, you will receive the stated principal amount of your securities plus the related contingent coupon payment
on the immediately following contingent coupon payment date. In the event the securities are automatically redeemed, your total return
on the securities will equal any contingent coupon payments received prior to such contingent coupon payment date and the contingent
coupon payment received on such contingent coupon payment date.
If the securities are not automatically redeemed:
If the securities are not automatically redeemed
prior to maturity, the following table illustrates, for a range of hypothetical underlying performance factors of the worst performing
underlying on the final valuation date, the hypothetical payment at maturity payable at maturity per security (excluding the final contingent
coupon payment, if any). The underlying performance factor of the worst performing underlying on the final valuation date is its closing
value on the final valuation date divided by its initial underlying value.
Hypothetical
underlying performance factor of worst performing underlying on final valuation date
|
Hypothetical
payment at maturity per security
|
175.00%
|
$1,000.00
|
160.00%
|
$1,000.00
|
150.00%
|
$1,000.00
|
140.00%
|
$1,000.00
|
130.00%
|
$1,000.00
|
120.00%
|
$1,000.00
|
110.00%
|
$1,000.00
|
100.00%
|
$1,000.00
|
90.00%
|
$1,000.00
|
80.00%
|
$1,000.00
|
70.00%
|
$1,000.00
|
69.99%
|
$699.90
|
60.00%
|
$600.00
|
50.00%
|
$500.00
|
40.00%
|
$400.00
|
25.00%
|
$250.00
|
The above figures do not take into account contingent
coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive return
based on the payment at maturity; any positive return will be based solely on the contingent coupon payments, if any, received during
the term of the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If the securities are not automatically redeemed prior to maturity, the actual amount
you will receive at maturity will depend on the actual closing value of the worst performing underlying on the final valuation date.
The performance of any better performing underlying is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
|
|
The examples in the first section below illustrate
how to determine whether a contingent coupon will be paid and whether the securities will be automatically redeemed following a valuation
date that is also a potential autocall date. The examples in the second section below illustrate how to determine the payment at maturity
on the securities if the securities are not automatically redeemed prior to maturity. The examples are solely for illustrative purposes,
do not show all possible outcomes and are not a prediction of any payment that may be made on the securities.
The examples below are based on the following
hypothetical values and do not reflect the actual initial underlying values, coupon barrier values or final barrier values of the underlyings.
For the actual initial underlying value, coupon barrier value and final barrier value of each underlying, see “Terms of the Securities”
above. We have used these hypothetical values, rather than the actual values, to simplify the calculations and aid understanding of how
the securities work. However, you should understand that the actual payments on the securities will be calculated based on the actual
initial underlying value, coupon barrier value and final barrier value of each underlying, and not the hypothetical values indicated
below.
Underlying
|
Hypothetical
initial underlying value
|
Hypothetical
coupon barrier value
|
Hypothetical
final barrier value
|
SPDR®
S&P 500® ETF Trust
|
$100.00
|
$70.00
(70% of its hypothetical initial underlying value)
|
$70.00
(70% of its hypothetical initial underlying value)
|
Financial
Select Sector SPDR® Fund
|
$100.00
|
$70.00
(70% of its hypothetical initial underlying value)
|
$70.00
(70% of its hypothetical initial underlying value)
|
SPDR®
S&P® Biotech ETF
|
$100.00
|
$70.00
(70% of its hypothetical initial underlying value)
|
$70.00
(70% of its hypothetical initial underlying value)
|
Consumer
Staples Select Sector SPDR® Fund
|
$100.00
|
$70.00
(70% of its hypothetical initial underlying value)
|
$70.00
(70% of its hypothetical initial underlying value)
|
Hypothetical
Contingent Coupon Payments and any Payment upon Automatic Early Redemption Following a Valuation Date that is also a Potential Autocall
Date
|
The hypothetical examples below
illustrate how to determine whether a contingent coupon will be paid and whether the securities will be automatically redeemed following
a hypothetical valuation date that is also a potential autocall date, assuming that the closing values of the underlyings on the hypothetical
valuation date are as indicated below.
|
Hypothetical
closing value of SPDR® S&P 500® ETF Trust on hypothetical valuation date
|
Hypothetical
closing value of Financial Select Sector SPDR® Fund on hypothetical valuation date
|
Hypothetical
closing value of SPDR® S&P® Biotech ETF on hypothetical valuation date
|
Hypothetical
closing value of Consumer Staples Select Sector SPDR® Fund on hypothetical valuation date
|
Hypothetical
payment per security on related contingent coupon payment date
|
Example
1:
|
$120.00
(underlying performance factor =
$120.00 / $100.00 = 1.20)
|
$85.00
(underlying performance factor =
$85.00 / $100.00 = 0.85)
|
$80.00
(underlying performance factor =
$80.00 / $100.00 = 0.80)
|
$90.00
(underlying performance factor =
$90.00 / $100.00 = 0.90)
|
$22.50
(contingent coupon is paid; securities not redeemed)
|
Example
2:
|
$110.00
(underlying performance factor =
$110.00 / $100.00 = 1.10)
|
$45.00
(underlying performance factor =
$45.00 / $100.00 = 0.45)
|
$110.00
(underlying performance factor =
$110.00 / $100.00 = 1.10)
|
$105.00
(underlying performance factor =
$105.00 / $100.00 = 1.05)
|
$0.00
(no contingent coupon; securities not redeemed)
|
Example
3:
|
$105.00
(underlying performance factor =
$105.00 / $100.00 = 1.05)
|
$110.00
(underlying performance factor =
$110.00 / $100.00 = 1.10)
|
$120.00
(underlying performance factor =
$120.00 / $100.00 = 1.20)
|
$115.00
(underlying performance factor =
$115.00 / $100.00 = 1.15)
|
$1,022.50
(contingent coupon is paid; securities redeemed)
|
Example 1: On the hypothetical
valuation date, the SPDR® S&P® Biotech ETF has the lowest underlying performance factor and, therefore,
is the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the hypothetical valuation
date is greater than its coupon barrier value but less than its initial underlying value. As a result, investors in
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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the securities would receive
the contingent coupon payment of $22.50 per security on the related contingent coupon payment date and the securities would not be automatically
redeemed.
Example 2: On the hypothetical
valuation date, the Financial Select Sector SPDR® Fund has the lowest underlying performance factor and, therefore, is
the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the hypothetical valuation
date is less than its coupon barrier value. As a result, investors would not receive any payment on the related contingent coupon payment
date, even though each other underlying has appreciated from its initial underlying value, and the securities would not be automatically
redeemed.
Investors in the securities
will not receive a contingent coupon on the contingent coupon payment date following a valuation date if, on that valuation date, the
closing value of the worst performing underlying is less than its coupon barrier value. Whether a contingent coupon is paid following
a valuation date depends solely on the closing value of the worst performing underlying.
Example 3: On the hypothetical
valuation date, the SPDR® S&P 500® ETF Trust has the lowest underlying performance factor and, therefore,
is the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the hypothetical valuation
date is greater than both its coupon barrier value and its initial underlying value. As a result, the securities would be automatically
redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000 plus the related contingent coupon
payment, for a total of $1,022.50 per security.
If the valuation date were
not also a potential autocall date, the securities would not be automatically redeemed on the related contingent coupon payment date.
Hypothetical
Payments at Maturity
|
The next hypothetical examples illustrate the
calculation of the payment at maturity on the securities, assuming that the securities have not been earlier automatically redeemed and
that the closing values of the underlyings on the final valuation date are as indicated below.
|
Hypothetical
closing value of SPDR® S&P 500® ETF Trust on final valuation date
|
Hypothetical
closing value of Financial Select Sector SPDR® Fund on final valuation date
|
Hypothetical
closing value of SPDR® S&P® Biotech ETF on final valuation date
|
Hypothetical
closing value of Consumer Staples Select Sector SPDR® Fund on hypothetical valuation date
|
Hypothetical
payment at maturity per security
|
Example
4
|
$130.00
(underlying
performance factor =
$130.00 / $100.00 = 1.30)
|
$120.00
(underlying
performance factor =
$120.00 / $100.00 = 1.20)
|
$110.00
(underlying
performance factor =
$110.00 / $100.00 = 1.10)
|
$80.00
(underlying
performance factor =
$80.00 / $100.00 = 0.80)
|
$1,022.50
|
Example
5
|
$50.00
(underlying
performance factor =
$50.00 / $100.00 = 0.50)
|
$80.00
(underlying
performance factor =
$80.00 / $100.00 = 0.80)
|
$90.00
(underlying
performance factor =
$90.00 / $100.00 = 0.90)
|
$110.00
(underlying
performance factor =
$110.00 / $100.00 = 1.10)
|
$500.00
|
Example
6
|
$70.00
(underlying
performance factor =
$70.00 / $100.00 = 0.70)
|
$20.00
(underlying
performance factor =
$20.00 / $100.00 = 0.20)
|
$120.00
(underlying
performance factor =
$120.00 / $100.00 = 1.20)
|
$120.00
(underlying
performance factor =
$120.00 / $100.00 = 1.20)
|
$200.00
|
Example 4: On the final
valuation date, the Consumer Staples Select Sector SPDR® Fund has the lowest underlying performance factor and, therefore,
is the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the final valuation date
is greater than its final barrier value. Accordingly, at maturity, you would receive the stated principal amount of the securities plus
the contingent coupon payment due at maturity, for a total of $1,022.50 per security, but you would not participate in the appreciation
of any of the underlyings.
Example 5: On the final
valuation date, the SPDR® S&P 500® ETF Trust has the lowest underlying performance factor and, therefore,
is the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the final valuation date
is less than its final barrier value. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000 × the underlying
performance factor of the worst performing underlying on the final valuation date
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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= $1,000 × 0.50
= $500
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. In addition, because the closing value of the worst performing underlying on the final valuation
date is below its coupon barrier value, you would not receive any contingent coupon payment at maturity.
Example 6: On the final
valuation date, the Financial Select Sector SPDR® Fund has the lowest underlying performance factor and, therefore, is
the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the final valuation date is
less than its final barrier value. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000 × the underlying
performance factor of the worst performing underlying on the final valuation date
= $1,000 × 0.20
= $200
In this scenario, because the
closing value of the worst performing underlying on the final valuation date is less than its final barrier value, you would lose a significant
portion of your investment in the securities. In addition, because the closing value of the worst performing underlying is below its
coupon barrier value, you would not receive any contingent coupon payment at maturity.
It is possible that the
closing value of the worst performing underlying will be less than its coupon barrier value on each valuation date and less than its
final barrier value on the final valuation date, such that you will not receive any contingent coupon payments over the term of the securities
and will receive significantly less than the stated principal amount of your securities at maturity.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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Additional
Terms of the Securities
|
The following provisions supersede the provisions in the product supplement
to the extent that they are inconsistent from those provisions.
Certain Definitions
The “closing value” of each underlying
on any date is its closing price of its underlying shares on such date, subject to adjustment as provided in the accompanying product
supplement. The “underlying shares” of each underlying are its shares that are traded on a U.S. national securities exchange
on the pricing date.
“Closing price” means, with respect
to any underlying shares (or any other securities in the circumstances described under “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments”
in the accompanying product supplement), on any date of determination, the official closing price of such underlying shares on the relevant
stock exchange or, if such price is not available on the relevant stock exchange, on any other U.S. national securities exchange on which
such underlying shares (or such other securities) are listed or admitted to trading, as determined by the calculation agent. If no such
price is available pursuant to the immediately preceding sentence, the closing price with respect to such underlying shares (or such
other securities) on the applicable date of determination will be the arithmetic mean, as determined by the calculation agent, of the
bid prices of such underlying shares (or such other securities) obtained from as many dealers in such underlying shares (or such other
securities) (which may include CGMI or any of our other affiliates or subsidiaries), but not exceeding three such dealers, as will make
such bid prices available to the calculation agent. If no bid prices are provided from any third party dealers, the closing price will
be determined by the calculation agent in its sole and absolute discretion (acting in good faith) taking into account any information
that it deems relevant. If a market disruption event occurs with respect to such underlying shares (or such other securities) on the
applicable date of determination, the calculation agent may, in its sole discretion, determine the closing price thereof on such date
either (x) pursuant to the two immediately preceding sentences or (y) if available, pursuant to the first sentence of this paragraph.
The “then-current market price” of
any underlying shares, for the purpose of applying any dilution adjustment set forth in “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, means the closing price per such underlying share on the scheduled trading day immediately preceding
the related adjustment date (as defined in such section of the accompanying product supplement).
A “trading day” with respect to an
underlying means a day, as determined by the calculation agent, on which the relevant stock exchange and each related futures or options
exchange with respect to such underlying or any successor thereto, if applicable, are scheduled to be open for trading for their respective
regular trading sessions.
The “relevant stock exchange” for
an underlying means the primary exchange or quotation system on which shares (or other applicable securities) of such underlying are
traded, as determined by the calculation agent.
The “related futures or options exchange”
for an underlying means each exchange or quotation system where trading has a material effect (as determined by the calculation agent)
on the overall market for futures or options contracts relating to such underlying.
Postponement of a Valuation Date
If any valuation date is not a trading day with
respect to any underlying, such valuation date will be postponed to the next succeeding day that is a trading day with respect to each
underlying. A valuation date for an underlying is also subject to postponement due to the occurrence of a market disruption event with
respect to such underlying on such valuation date. See “—Market Disruption Events.”
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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Market Disruption Events
A “market disruption event” with respect to each underlying
means any of the following events as determined by the calculation agent in its sole discretion:
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(A)
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The occurrence or existence of a material
suspension of or limitation imposed on trading by the relevant stock exchange or otherwise
relating to the shares (or other applicable securities) of such underlying or any successor
underlying on the relevant stock exchange at any time during the one-hour period that ends
at the close of trading on such day, whether by reason of movements in price exceeding limits
permitted by such relevant stock exchange or otherwise.
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(B)
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The occurrence or existence of a material
suspension of or limitation imposed on trading by any related futures or options exchange
or otherwise in futures or options contracts relating to the shares (or other applicable
securities) of such underlying or any successor underlying on any related futures or options
exchange at any time during the one-hour period that ends at the close of trading on that
day, whether by reason of movements in price exceeding limits permitted by the related futures
or options exchange or otherwise.
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(C)
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The occurrence or existence of any event,
other than an early closure, that materially disrupts or impairs the ability of market participants
in general to effect transactions in, or obtain market values for, shares (or other applicable
securities) of such underlying or any successor underlying on the relevant stock exchange
at any time during the one-hour period that ends at the close of trading on that day.
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(D)
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The occurrence or existence of any event,
other than an early closure, that materially disrupts or impairs the ability of market participants
in general to effect transactions in, or obtain market values for, futures or options contracts
relating to shares (or other applicable securities) of such underlying or any successor underlying
on any related futures or options exchange at any time during the one-hour period that ends
at the close of trading on that day.
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(E)
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The closure of the relevant stock exchange
or any related futures or options exchange with respect to such underlying or any successor
underlying prior to its scheduled closing time unless the earlier closing time is announced
by the relevant stock exchange or related futures or options exchange, as applicable, at
least one hour prior to the earlier of (1) the actual closing time for the regular trading
session on such relevant stock exchange or related futures or options exchange, as applicable,
and (2) the submission deadline for orders to be entered into the relevant stock exchange
or related futures or options exchange, as applicable, system for execution at the close
of trading on that day.
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(F)
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The relevant stock exchange or any related
futures or options exchange with respect to such underlying or any successor underlying fails
to open for trading during its regular trading session.
|
For purposes of determining whether a market
disruption event has occurred with respect to an underlying:
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(1)
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“close of trading”
means the scheduled closing time of the relevant stock exchange with respect to such underlying
or any successor underlying; and
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(2)
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the “scheduled closing time”
of the relevant stock exchange or any related futures or options exchange on any trading
day for such underlying or any successor underlying means the scheduled weekday closing time
of such relevant stock exchange or related futures or options exchange on such trading day,
without regard to after hours or any other trading outside the regular trading session hours.
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If a market disruption event occurs or is continuing
with respect to an underlying on any valuation date, then such valuation date for such underlying will be postponed to the first succeeding
trading day for such underlying on which a market disruption event for such underlying has not occurred and is not continuing; however,
if such first succeeding trading day has not occurred as of the eighth trading day for such underlying after the originally scheduled
valuation date, that eighth trading day shall be deemed to be the valuation date for such underlying. If a valuation date has been postponed
eight trading days for an underlying after the originally scheduled valuation date and a market disruption event occurs or is continuing
with respect to such underlying on such eighth trading day, the calculation agent will determine the closing value of such underlying
on such eighth trading day based on its good faith estimate of the value of the underlying shares of such underlying as of the close
of trading on such eighth trading day. Notwithstanding the postponement of a valuation date for an underlying due to a market disruption
event with respect to such underlying on such valuation date, the originally scheduled valuation date will remain the valuation date
for any underlying not affected by a market disruption event on such day.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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Delisting, Liquidation or Termination of an
Underlying
If the closing value of an underlying is determined
by reference to its underlying index as described in the accompanying product supplement in the section “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 at any time the publisher of such underlying index (i) announces that it will make a material change in the
formula for or the method of calculating such underlying index or in any other way materially modifies such underlying index (other than
a modification prescribed in that formula or method to maintain such underlying index in the event of changes in constituent stock and
capitalization and other routine events) or (ii) permanently cancels such underlying index and no successor underlying index is chosen
as described in the accompanying product supplement, then the calculation agent will calculate the closing value of the underlying index
of such underlying in accordance with the formula last used to calculate such closing value before such event, but using only those securities
that were held by the underlying index of such underlying immediately prior to such event without any rebalancing or substitution of
such securities following such event without any rebalancing or substitution of such securities following such event. Such value, as
calculated by the calculation agent, will be substituted for the relevant value of an underlying index for all purposes. In such event,
the calculation agent will make such adjustments, if any, to any level of an underlying index that is used for purposes of the securities
as it determines are appropriate in the circumstances.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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Information
About the SPDR® S&P 500® ETF Trust
|
The SPDR® S&P 500®
ETF Trust is an exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the
performance of the S&P 500® Index. The S&P 500® Index consists of the common stocks of 500 issuers
selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets.
The SPDR® S&P 500®
ETF Trust is managed by State Street Bank and Trust Company (“SSBTC”), as trustee of the SPDR® S&P
500® ETF Trust and PDR Services LLC (“PDRS”), as sponsor of the SPDR® S&P 500®
ETF Trust. Information provided to or filed with the SEC by the SPDR® S&P 500® ETF Trust pursuant
to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file
numbers 033-46080 and 811-06125, respectively, through the SEC’s website at http://www.sec.gov. In addition, information may be
obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The underlying shares of the SPDR® S&P 500® ETF Trust trade on the NYSE Arca under the ticker symbol
“SPY.”
Please refer to the section “Fund Descriptions—SPDR®
S&P 500® ETF Trust” in the accompanying underlying supplement for important disclosures regarding the
SPDR® S&P 500® ETF Trust.
We have derived all information regarding the
SPDR® S&P 500® ETF Trust from publicly available information and have not independently verified any
information regarding the SPDR® S&P 500® ETF Trust. This pricing supplement relates only to the securities
and not to the SPDR® S&P 500® ETF Trust. We make no representation as to the performance of the SPDR®
S&P 500® ETF Trust over the term of the securities.
The securities represent obligations of Citigroup
Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the SPDR® S&P 500®
ETF Trust is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the SPDR® S&P 500®
ETF Trust on October 15, 2021 was $445.87.
The graph below shows the closing value of the
SPDR® S&P 500® ETF Trust for each day such value was available from January 4, 2016 to October 15,
2021. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values
as an indication of future performance.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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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, Inc. under the ticker symbol “XLF.”
Please refer to the section “Fund Descriptions—The
Select Sector SPDR® Funds” in the accompanying underlying supplement for additional information.
We have derived all information regarding the
Financial Select Sector SPDR® Fund from publicly available information and have not independently verified any information
regarding the Financial Select Sector SPDR® Fund. This pricing supplement relates only to the securities and not to the
Financial Select Sector SPDR® Fund. We make no representation as to the performance of the Financial Select Sector SPDR®
Fund over the term of the securities.
The securities represent obligations of Citigroup
Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Financial Select Sector SPDR® Fund
is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Financial Select Sector SPDR®
Fund on October 15, 2021 was $39.51.
The graph below shows the closing value of the
Financial Select Sector SPDR® Fund for each day such value was available from January 4, 2016 to October 15, 2021. We
obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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Information
About the SPDR® S&P® Biotech ETF
|
The SPDR® S&P®
Biotech ETF is an exchange-traded fund that seeks to provide investment results that, before fees and expenses, correspond generally
to the total return performance of the S&P® Biotechnology Select Industry Index. The SPDR® S&P®
Biotech ETF is managed by SSGA Funds Management, Inc. (“SSGA FM”), an investment advisor to the SPDR®
S&P® Biotech ETF, and the SPDR® Series Trust, a registered investment company. The Select Sector SPDR®
Trust consists of numerous separate investment portfolios, including the SPDR® S&P® Biotech ETF.
Information provided to or filed with the SEC
by the SPDR® Series 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 333-57793 and 811-08839, 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 SPDR® S&P® Biotech
ETF trade on the NYSE Arca under the ticker symbol “XBI.”
Please refer to the section “Fund Descriptions—
The SPDR® S&P® Industry ETFs” in the accompanying underlying supplement for additional information.
We have derived all information regarding the
SPDR® S&P® Biotech ETF from publicly available information and have not independently verified any
information regarding the SPDR® S&P® Biotech ETF. This pricing supplement relates only to the securities
and not to the SPDR® S&P® Biotech ETF. We make no representation as to the performance of the SPDR®
S&P® Biotech ETF over the term of the securities.
The securities represent obligations of Citigroup
Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the SPDR® S&P® Biotech
ETF is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the SPDR®
S&P® Biotech ETF on October 15, 2021 was $125.08.
The graph below shows the closing value of the
SPDR® S&P® Biotech ETF for each day such value was available from January 4, 2016 to October 15, 2021.
We obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as
an indication of future performance.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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Information
About the Consumer Staples Select Sector SPDR® Fund
|
The Consumer Staples 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 Consumer Staples Select Sector Index. The S&P Consumer Staples 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 consumer staples sector. The S&P Consumer Staples Select Sector Index includes
companies in the following industries: (i) food and staples retailing, (ii) beverages, (iii) food products, (iv) tobacco, (v) household
products and (vi) personal products.
The Consumer Staples Select Sector SPDR® Fund is managed
by the Select Sector SPDR® Trust, a registered investment company. The Select Sector SPDR® Trust consists
of eleven separate investment portfolios, including the Consumer Staples 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 Consumer Staples Select
Sector SPDR® Fund trade on the NYSE Arca under the ticker symbol “XLP.”
Please refer to the section “Fund Descriptions— The Select
Sector SPDR® Funds” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Consumer Staples Select
Sector SPDR® Fund from publicly available information and have not independently verified any information regarding the
Consumer Staples Select Sector SPDR® Fund. This pricing supplement relates only to the securities and not to the Consumer
Staples Select Sector SPDR® Fund. We make no representation as to the performance of the Consumer Staples Select Sector
SPDR® Fund over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Consumer Staples Select Sector SPDR® Fund is not involved
in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Consumer Staples Select
Sector SPDR® Fund on October 15, 2021 was $70.81.
The graph below shows the closing value of the
Consumer Staples Select Sector SPDR® Fund for each day such value was available from January 4, 2016 to October 15, 2021.
We obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as
an indication of future performance.
When evaluating the historical performance of
the shares of the Consumer Staples Select Sector SPDR® Fund contained below, you should bear in mind that the index tracked
by the Consumer Staples Select Sector SPDR® Fund included a different composition of stocks prior to September 2018 than
it includes after that date, as described under “Summary Risk Factors—The index tracked by the Consumer Staples Select Sector
SPDR® Fund underwent a significant change in September 2018 and, as a result, the index tracked by the Consumer Staples
Select Sector SPDR® Fund will differ in important ways from the index tracked by the Consumer Staples Select Sector SPDR®
Fund in the past.” The historical performance of the shares of the Consumer Staples Select Sector SPDR® Fund
might have been meaningfully different had the index included, during the period prior to September 2018, the same composition of stocks
as it includes after that date.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 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.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, this treatment
of the securities is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that
this treatment is more likely than not to be upheld, and that alternative treatments are possible.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S.
federal income tax consequences should result under current law:
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·
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Any coupon payments on the securities should be taxable as
ordinary income to you at the time received or accrued in accordance with your regular method of accounting for U.S. federal income tax
purposes.
|
|
·
|
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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 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
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Pursuant to the terms of the Amended and Restated
Global Selling Agency Agreement, dated April 7, 2017, CGMI, acting as principal, will purchase the securities from Citigroup Global Markets
Holdings Inc. CGMI, as the lead agent for the offering, has agreed to sell the securities to Wells Fargo, as agent. Wells Fargo will
receive an underwriting discount and commission of 1.825% ($18.25) for each security it sells. Wells Fargo will pay selected dealers,
which may include WFA, a fixed selling commission of 1.25% ($12.50) for each security they sell. In addition to the selling commission
allowed to WFA, Wells Fargo will pay $0.75 per security of the underwriting discount and commission to WFA as a distribution expense
fee for each security sold by WFA.
In addition, in respect of certain securities
sold in this offering, CGMI may pay a fee of up to $2.50 per security to selected securities dealers in consideration for marketing and
other services in connection with the distribution of the securities to other securities dealers.
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.
The public offering price of the securities includes
the underwriting discount and commission described on the cover page of this pricing supplement and the estimated cost of hedging our
obligations under the securities. We expect to hedge our obligations under the securities through affiliated or unaffiliated counterparties,
which may include our affiliates and affiliates of Wells Fargo. Our cost of hedging will include the projected profit that such counterparties,
which may include our affiliates and affiliates of Wells Fargo, expect to realize in consideration for assuming the risks inherent in
hedging our obligations under the securities. Because hedging our obligations entails risks and may be influenced by market forces beyond
the control of any counterparty, which may include our affiliates and affiliates of Wells Fargo, such hedging may result in a profit
that is more or less than expected, or could result in a loss.
This pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus may be used by Wells Fargo or an affiliate of Wells Fargo
in connection with offers and sales related to market-making or other transactions in the securities. Wells Fargo or an affiliate of
Wells Fargo may act as principal or agent in such transactions. Such sales will be made at prices related to prevailing market prices
at the time of sale or otherwise.
No action has been or will be taken by Citigroup
Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them that would permit a public offering of the securities
or possession or distribution of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement
or prospectus in any jurisdiction, other than the United States, where action for that purpose is required. No offers, sales or deliveries
of the securities, or distribution of this pricing supplement, the accompanying product supplement, underlying supplement or prospectus
supplement and prospectus, may be made in or from any jurisdiction except in circumstances that will result in compliance with any applicable
laws and regulations and will not impose any obligations on Citigroup Global Markets Holdings Inc., Wells Fargo or any broker-dealer
affiliates of any of them.
For the following jurisdictions, please note
specifically:
Prohibition of Sales to European Economic
Area Retail Investors
The securities may not be offered, sold or otherwise
made available to any retail investor in the European Economic Area (“EEA”). For the purposes of this provision:
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(a)
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the expression “retail investor”
means a person who is one (or more) of the following:
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(i)
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a retail client as defined in point
(11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
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(ii)
|
a customer within the meaning of Directive
(EU) 2016/97 (the “Insurance Distribution Directive”), where that customer would
not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II;
or
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(iii)
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not a qualified investor as defined
in Regulation (3)(e) (EU) 2017/1129 (as amended, the “Prospectus Regulation”);
and
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(b)
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the expression an “offer”
includes the communication in any form and by any means of sufficient information on the
terms of the offer and the securities to be offered so as to enable an investor to decide
to purchase or subscribe for the securities.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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Consequently no key information document required
by Regulation (EU) No 1286/2014 (the “PRIIPs Regulation”) for offering or selling the securities or otherwise making them
available to retail investors in the EEA has been prepared and therefore offering or selling the securities or otherwise making them
available to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.
Prohibition of Sales to United Kingdom Retail
Investors
The securities may not be offered, sold or otherwise
made available to any retail investor in the United Kingdom. For the purposes of this provision:
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(a)
|
the expression "retail investor"
means a person who is one (or more) of the following:
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(i)
|
a retail client, as defined in point
(8) of Article 2 of Regulation (EU) No 2017/565 as it forms part of United Kingdom domestic
law by virtue of the European Union (Withdrawal) Act 2018 (the "EUWA") and the
regulations made under the EUWA; or
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(ii)
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a customer within the meaning of the
provisions of the Financial Services and Markets Act 2000 (as amended) (the “FSMA”)
and any rules or regulations made under the FSMA to implement Directive (EU) 2016/97, where
that customer would not qualify as a professional client, as defined in point (8) of Article
2(1) of Regulation (EU) No 600/2014 as it forms part of United Kingdom domestic law by virtue
of the EUWA and the regulations made under the EUWA; or
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(iii)
|
not a qualified investor as defined
in Regulation (3)(e) of the Prospectus Regulation; and
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(b)
|
the expression an “offer”
includes the communication in any form and by any means of sufficient information on the
terms of the offer and the securities to be offered so as to enable an investor to decide
to purchase or subscribe for the securities.
|
Consequently no key information document required
by Regulation (EU) No 1286/2014 as it forms part of domestic law by virtue of the EUWA (the “UK PRIIPs Regulation”) for offering
or selling any securities or otherwise making them available to retail investors in the United Kingdom has been prepared and therefore
offering or selling any securities or otherwise making them available to any retail investor in the United Kingdom may be unlawful under
the UK PRIIPs Regulation.
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.
We have been advised that, for a period of approximately
three months following issuance of the securities, the price, if any, at which Wells Fargo 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 Wells Fargo or its
affiliates, 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 costs associated with selling, structuring and hedging the securities that are included in the
public offering price 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, Wells Fargo 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
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the SPDR® S&P 500® ETF Trust, the Financial Select Sector SPDR® Fund, the SPDR® S&P® Biotech ETF and the Consumer Staples Select Sector SPDR® Fund due October 19, 2023
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of Citigroup Inc. will be valid and binding obligations
of Citigroup Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable
principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith),
provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of
applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement and is limited to
the laws of the State of New York, except that such counsel expresses no opinion as to the application of state securities or Blue Sky
laws to the 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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throughout the world.
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