SOFR in the event of the unavailability
of the level of SOFR, may adversely affect the amount of one or more interest payments to you.
Citigroup Global Markets Holdings Inc.
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Trustee:
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The Bank of New York Mellon (as trustee under an indenture dated March 8, 2016) will serve as trustee for the notes.
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Use of proceeds and hedging:
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The net proceeds received from the sale of the notes will be used for
general corporate purposes and, in part, in connection with hedging our obligations under the notes through one or more of our affiliates.
Hedging activities related to the notes by one or more of our affiliates
involves trading in one or more instruments, such as options, swaps and/or futures, based on SOFR and/or taking positions in any other
available securities or instruments that we may wish to use in connection with such hedging and may include adjustments to such positions
during the term of the notes. It is possible that our affiliates may profit from this hedging activity, even if the value of the notes
declines. Profit or loss from this hedging activity could affect the price at which Citigroup Global Markets Holdings Inc.’s affiliate,
CGMI, may be willing to purchase your notes in the secondary market. For further information on our use of proceeds and hedging, see
“Use of Proceeds and Hedging” in the accompanying prospectus.
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ERISA and IRA purchase considerations:
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Please refer to “Benefit Plan Investor Considerations” in the accompanying prospectus supplement for important information for investors that are ERISA or other benefit plans or whose underlying assets include assets of such plans.
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Fees and selling concessions:
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CGMI,
an affiliate of Citigroup Global Markets Inc., is the underwriter of the sale of the notes,
is acting as principal and will receive an underwriting fee of up to $0.60 for each note
sold in this offering. The actual underwriting fee will be equal to up to $0.60 for each
note sold by CGMI directly to the public and will otherwise be equal to the selling concession
provided to selected dealers, as described in this paragraph. CGMI will pay selected dealers
a selling concession of up to $0.60 for each note they sell.
Additionally, it is possible that
CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the notes declines.
You should refer to “Risk Factors” above and the section “Use of Proceeds and Hedging” in the accompanying
prospectus.
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Supplemental information regarding plan of distribution; conflicts of interest:
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The terms and conditions set forth in the Amended and Restated Global
Selling Agency Agreement dated April 7, 2017 among Citigroup Global Markets Holdings Inc., Citigroup Inc. and the agents named therein,
including CGMI, govern the sale and purchase of the notes.
The notes will not be listed on any securities exchange.
In order to hedge its obligations under the notes, Citigroup Global
Markets Holdings Inc. expects to enter into one or more swaps or other derivatives transactions with one or more of its affiliates. You
should refer to the sections “Risk Factors—Hedging and trading activity by us or our affiliates could result in a conflict
of interest,” and “General Information—Use of proceeds and hedging” in this pricing supplement and the section
“Use of Proceeds and Hedging” in the accompanying prospectus.
See “Plan of Distribution; Conflicts of Interest” in
the accompanying prospectus supplement for more information.
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Calculation agent:
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Citibank, N.A., an affiliate of Citigroup Global Markets Holdings Inc., will serve as calculation agent for the notes. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes and binding on Citigroup Global Markets Holdings Inc., Citigroup Inc. and the holders of the notes. Citibank, N.A. is obligated to carry out its duties and functions as calculation agent in good faith and using its reasonable judgment.
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Paying agent:
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Citibank, N.A. will serve as paying agent and registrar and will also hold the global security representing the notes as custodian for The Depository Trust Company (“DTC”).
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Contact:
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Clients may contact their local brokerage representative. Third party distributors may contact Citi Structured Investment Sales at (212) 723-7005.
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We encourage you to also read the accompanying prospectus supplement
and prospectus, which can be accessed via the hyperlink on the cover page of this pricing supplement.
Determination of Interest Payments
On each interest payment date,
the amount of each interest payment will equal the stated principal amount of the notes multiplied by the sum of the interest factors
calculated for each day during such interest period; provided that in no event will the interest payment be
Citigroup Global Markets Holdings Inc.
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less than zero. The
“interest factor” for each such day will be computed by dividing the interest rate applicable to that day by 360. The interest
rate applicable to each such day will be equal to the accrued interest compounding factor (as defined under “Determination of SOFR”
below) plus the floating rate spread.
Determination of SOFR
For the purposes of calculating interest with respect to any interest
period:
“Accrued interest compounding factor” means the result of
the following formula:
where:
“d0”, for any interest period, is
the number of U.S. government securities business days in the relevant interest period.
“i” is a series of whole numbers from one to
d0, each representing the relevant U.S. government securities business days in chronological order from, and including, the
first U.S. government securities business day in the relevant interest period.
“SOFRi”, for any day “i”
in the relevant interest period, is a reference rate equal to SOFR in respect of that day.
“ni”, for any day “i”
in the relevant interest period, is the number of calendar days from, and including, such U.S. government securities business day “i”
to, but excluding, the following U.S. government securities business day.
“d” is the number of calendar days in the relevant
interest period.
“SOFR” means, with respect to any day, the rate determined
by the calculation agent in accordance with the following provisions:
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(1)
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the Secured Overnight Financing Rate for trades made on such day that appears at approximately 3:00 p.m. (New York City time) on the
NY Federal Reserve’s website on the U.S. government securities business day immediately following such U.S. government securities
business day; or
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(2)
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if the rate specified in (1) above does not so appear, unless a benchmark transition event and its related benchmark replacement date
have occurred as described in (3) below, the Secured Overnight Financing Rate published on the NY Federal Reserve’s website for
the first preceding U.S. government securities business day for which the Secured Overnight Financing Rate was published on the NY Federal
Reserve’s website; or
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(3)
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if a benchmark transition event and its related benchmark replacement date have occurred prior to the relevant interest period end
date, the calculation agent will use the benchmark replacement to determine the rate and for all other purposes relating to the notes.
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In connection with the SOFR definition above, the following definitions
apply:
“Benchmark” means, initially, SOFR; provided that
if a benchmark transition event and its related benchmark replacement date have occurred with respect to SOFR or the then-current benchmark,
then “benchmark” means the applicable benchmark replacement.
“Benchmark replacement” means the first alternative set
forth in the order below that can be determined by Citigroup (or one of its affiliates) as of the benchmark replacement date:
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(1)
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the sum of: (a) the alternate rate of interest that has been selected or recommended by the relevant governmental body as the replacement
for the then-current benchmark for the applicable corresponding tenor and (b) the benchmark replacement adjustment; or
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(2)
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the sum of: (a) the ISDA fallback rate and (b) the benchmark replacement adjustment; or
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(3)
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the sum of: (a) the alternate rate of interest that has been selected by Citigroup (or one of its affiliates) as the replacement for
the then-current benchmark for the applicable corresponding tenor giving due consideration to any industry-accepted rate of interest as
a replacement for the then-current benchmark for U.S. dollar-denominated floating rate notes at such time and (b) the benchmark replacement
adjustment.
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“Benchmark replacement adjustment” means the first alternative
set forth in the order below that can be determined by Citigroup (or one of its affiliates) as of the benchmark replacement date:
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(1)
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the spread adjustment, or method for calculating or determining such spread adjustment, (which may be a positive or negative value
or zero) that has been selected or recommended by the relevant governmental body for the applicable unadjusted benchmark replacement;
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(2)
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if the applicable unadjusted benchmark replacement is equivalent to the ISDA fallback rate, then the ISDA fallback adjustment;
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(3)
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the spread adjustment (which may be a positive or negative value or zero) that has been selected by Citigroup (or one of its affiliates)
giving due consideration to any industry-accepted spread adjustment, or method for calculating or determining such
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Citigroup Global Markets Holdings Inc.
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spread adjustment,
for the replacement of the then-current benchmark with the applicable unadjusted benchmark replacement for U.S. dollar-denominated floating
rate notes at such time.
“Benchmark replacement conforming changes” means, with respect
to any benchmark replacement, any technical, administrative or operational changes that Citigroup (or one of its affiliates) decides may
be appropriate to reflect the adoption of such benchmark replacement in a manner substantially consistent with market practice (or, if
Citigroup (or such affiliate) decides that adoption of any portion of such market practice is not administratively feasible or if Citigroup
(or such affiliate) determines that no market practice for use of the benchmark replacement exists, in such other manner as Citigroup
(or such affiliate) determines is reasonably necessary).
“Benchmark replacement date” means the earliest to occur
of the following events with respect to the then-current benchmark:
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(1)
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in the case of clause (1) or (2) of the definition of “benchmark transition event,” the later of (a) the date of the public
statement or publication of information referenced therein and (b) the date on which the administrator of the benchmark permanently or
indefinitely ceases to provide the benchmark; or
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(2)
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in the case of clause (3) of the definition of “benchmark transition event,” the date of the public statement or publication
of information referenced therein.
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For the avoidance of doubt, if the event giving rise to the benchmark
replacement date occurs on the same day as, but earlier than, the reference time in respect of any determination, the benchmark replacement
date will be deemed to have occurred prior to the reference time for such determination.
“Benchmark transition event” means the occurrence of one
or more of the following events with respect to the then-current Benchmark:
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(1)
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a public statement or publication of information by or on behalf of the administrator of the benchmark announcing that such administrator
has ceased or will cease to provide the benchmark, permanently or indefinitely, provided that, at the time of such statement or publication,
there is no successor administrator that will continue to provide the benchmark;
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(2)
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a public statement or publication of information by the regulatory supervisor for the administrator of the benchmark, the central
bank for the currency of the benchmark, an insolvency official with jurisdiction over the administrator for the benchmark, a resolution
authority with jurisdiction over the administrator for the benchmark or a court or an entity with similar insolvency or resolution authority
over the administrator for the benchmark, which states that the administrator of the benchmark has ceased or will cease to provide the
benchmark permanently or indefinitely, provided that, at the time of such statement or publication, there is no successor administrator
that will continue to provide the benchmark; or
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(3)
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a public statement or publication of information by the regulatory supervisor for the administrator of the benchmark announcing that
the benchmark is no longer representative.
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“Corresponding tenor” with respect to a benchmark replacement
means a tenor (including overnight) having approximately the same length (disregarding business day adjustment) as the applicable tenor
for the then-current benchmark.
“ISDA” means the International Swaps and Derivatives Association,
Inc. or any successor thereto.
“ISDA definitions” means the 2006 ISDA Definitions published
by ISDA, as amended or supplemented from time to time, or any successor definitional booklet for interest rate derivatives published from
time to time.
“ISDA fallback adjustment” means the spread adjustment (which
may be a positive or negative value or zero) that would apply for derivatives transactions referencing the ISDA definitions to be determined
upon the occurrence of an index cessation event with respect to the benchmark for the applicable tenor.
“ISDA fallback rate” means the rate that would apply for
derivatives transactions referencing the ISDA definitions to be effective upon the occurrence of an index cessation date with respect
to the benchmark for the applicable tenor excluding the applicable ISDA fallback adjustment.
“NY Federal Reserve” means the Federal Reserve Bank of New
York.
“NY Federal Reserve’s website” means the website of
the NY Federal Reserve, currently at http://www.newyorkfed.org, or any successor website of the NY Federal Reserve or the website of any
successor administrator of the Secured Overnight Financing Rate.
“Reference time” with respect to any determination of the
benchmark means the time determined by Citigroup (or one of its affiliates) in accordance with the benchmark replacement conforming changes.
“Relevant governmental body” means the Federal Reserve Board
and/or the NY Federal Reserve, or a committee officially endorsed or convened by the Federal Reserve Board and/or the NY Federal Reserve
or any successor thereto.
“Unadjusted benchmark replacement” means the benchmark replacement
excluding the benchmark replacement adjustment.
Citigroup Global Markets Holdings Inc.
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About SOFR
SOFR is published by the NY
Federal Reserve and is intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.
The NY Federal Reserve reports that SOFR includes all trades in the Broad General Collateral Rate, plus bilateral Treasury repurchase
agreement (“repo”) transactions cleared through the delivery-versus-payment service offered by the Fixed Income Clearing Corporation
(the “FICC”), a subsidiary of The Depository Trust & Clearing Corporation (“DTCC”). SOFR is filtered by the
NY Federal Reserve to remove a portion of the foregoing transactions considered to be “specials”. According to the NY Federal
Reserve, “specials” are repos for specific-issue collateral which take place at cash-lending rates below those for general
collateral repos because cash providers are willing to accept a lesser return on their cash in order to obtain a particular security.
The NY Federal Reserve reports that SOFR is calculated as a volume-weighted
median of transaction-level tri-party repo data collected from The Bank of New York Mellon, which currently acts as the clearing bank
for the tri-party repo market, as well as General Collateral Finance Repo transaction data and data on bilateral Treasury repo transactions
cleared through the FICC’s delivery-versus-payment service. The NY Federal Reserve notes that it obtains information from DTCC Solutions
LLC, an affiliate of DTCC.
The NY Federal Reserve currently publishes SOFR daily on its website.
The NY Federal Reserve states on its publication page for SOFR that use of SOFR is subject to important disclaimers, limitations and indemnification
obligations, including that the NY Federal Reserve may alter the methods of calculation, publication schedule, rate revision practices
or availability of SOFR at any time without notice. Information contained in the publication page for SOFR is not incorporated by reference
in, and should not be considered part of, this pricing supplement.
This pricing supplement contains SOFR data and related information
posted to the NY Federal Reserve website. This pricing supplement is subject to the Terms of Use posted at newyorkfed.org. The NY Federal
Reserve is not responsible for publication of this pricing supplement by Citi, does not sanction or endorse any particular republication,
and has no liability for your use. This pricing supplement also describes products or services by reference to SOFR. Citi is not affiliated
with the NY Federal Reserve. The NY Federal Reserve does not sanction, endorse, or recommend any products or services offered by Citi.
Historical Information on SOFR
SOFR was 0.05% on January 13, 2022.
The graph below shows the published daily rate for SOFR for each day
it was available from April 2, 2018 to January 13, 2022. We obtained the values below from Bloomberg L.P., without independent verification.
You should not take the historical performance of SOFR as an indication of future performance.
The historical rates do not reflect the daily compounding method
used to calculate the floating rate at which interest will be payable on the notes.
Historical SOFR
April 2, 2018 to January
13, 2022
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Citigroup Global Markets Holdings Inc.
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Certain Selling Restrictions
Prohibition of Sales to EEA Retail Investors
The notes may not be offered,
sold or otherwise made available to any retail investor in the European Economic Area. For the purposes of this provision:
(a)
the expression “retail investor” means a person who is one (or more) of the following:
(i)
a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
(ii)
a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in point
(10) of Article 4(1) of MiFID II; or
(iii)
not a qualified investor as defined in Directive 2003/71/EC; and
(b)
the expression “offer” includes the communication in any form and by any means of sufficient information on the terms of the
offer and the notes offered so as to enable an investor to decide to purchase or subscribe the notes.