Fixed to Floating Rate Notes Linked to the Consumer
Price Index Due May 27, 2027
(1) On the date of this pricing supplement, the estimated value of the
notes is $970.70 per note, which is less than the issue price. The estimated value of the notes is based on CGMI’s proprietary pricing
models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication
of the price, if any, at which CGMI or any other person may be willing to buy the notes from you at any time after issuance. See “Valuation
of the Notes” in this pricing supplement.
(2) CGMI will receive an underwriting fee of up to $15.00 for each note
sold in this offering. For more information on the distribution of the notes, see “Supplemental Plan of Distribution” in this
pricing supplement. The total underwriting fee and proceeds to issuer in the table above give effect to the actual total underwriting
fee. In addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to this offering, even if the
value of the notes declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) The per note proceeds to issuer indicated above represent the minimum
per note proceeds to issuer for any note, assuming the maximum per note underwriting fee. As noted above, the underwriting fee is variable.
The notes are not bank deposits and are not
insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed
by, a bank.
Risk Factors
The following is a non-exhaustive list of certain key risk factors
for investors in the notes. You should read the risk factors below together with 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. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment
in the notes.
| · | After the first year, the notes will pay interest at a floating rate that may be as low as the minimum interest rate on one or
more interest payment dates. The rate at which the notes will bear interest during each monthly interest period after the first year
will be based on the lagging year-over-year percentage change in the CPI, which we refer to as the CPI percent change (as defined above
in “Key Terms—CPI percent change”), on the interest determination date for that interest period. As a result, the interest
payable on the notes will vary with fluctuations in the CPI, subject to the minimum interest rate. It is impossible to predict whether
the CPI percent change will rise or fall or the amount of interest payable on the notes. The per annum interest rate determined for each
monthly interest period after the first year is applicable only to that period; interest payments for any other monthly interest period
after the first year will vary. |
| · | After the first year, variations in the interest rate on the notes from one month to the next may be significant. After the
first year, the interest rate applicable to any monthly interest period will be based on the percentage change in the level of the CPI
measured over the one-year period ending three months prior to the month of the interest payment date that begins that interest period.
This method of measuring the CPI percent change may be more volatile than alternative methods that could have been used, such as a comparison
of the average level of the CPI in one year to the average level of the CPI in another year. Moreover, unlike the measure of inflation
used by the Federal Reserve in setting monetary policy, the CPI includes particularly volatile elements such as food and energy items.
If the prices of these items fluctuate dramatically year-over-year, they may also cause the CPI to experience significant fluctuations.
For example, if the price of gasoline falls dramatically from one July to the next, the level of the CPI may similarly decline. |
| · | After the first year, the yield on the notes may be lower than the yield on a standard debt security of comparable maturity.
After the first year, the interest rate on the notes will vary depending on changes in the level of the CPI and may be as low as the minimum
interest rate for any interest period. Accordingly, the rate applicable to any interest period after the first year may be less than that
which would be payable on a conventional fixed-rate, non-callable debt security of ours of comparable maturity. |
| · | Many factors, including United States monetary policy, may influence U.S. inflation rates, and could materially and adversely affect
the value of the notes. The Federal Reserve uses the tools of monetary policy, including conducting open market operations, imposing
reserve requirements, permitting depository institutions to hold contractual clearing balances and extending credit through its discount
window facility, to alter the federal funds rate, which in turn affects the U.S. money supply, interest rates and rates of inflation.
One way that the Federal Reserve might foster price stability and reduce inflation is to raise the target federal funds rate. If the Federal
Reserve employs monetary policy to reduce inflation, the level of the CPI may decrease or experience a lower rate of change, which would
adversely affect the amount of one or more interest payments to you. |
Although we expect U.S. monetary policy
to influence the rate of inflation and, accordingly, the level of the CPI, inflation is influenced by a number of unpredictable factors
and there can be no assurance that the Federal Reserve’s policies or actions will be effective. For example, in 2009, despite multiple
measures taken by the Federal Reserve to provide liquidity to the economy, inflation rates remained extremely low. Other factors that
influence interest rates or inflation rates generally may include sentiment regarding underlying strength in the U.S., European and global
economies, expectations regarding the level of price inflation, sentiment regarding credit quality in U.S., European and global credit
markets, supply and demand of various consumer goods, services and energy resources and the performance of capital markets generally.
| · | The CPI percent change may not reflect the actual levels of inflation affecting holders of the notes. The CPI is just one measure
of price inflation in the United States and, therefore, may not reflect the actual levels of inflation affecting holders of the notes.
Further, your per annum interest rate for each monthly interest period after the first year is based on the lagging year-over-year percentage
change in the level of the CPI for the one-year period ending three months prior to the month of the interest payment date that begins
that interest period. Accordingly, an investment in the notes should not be expected to fully offset any costs of inflation actually experienced
by investors during the term of the notes. |
| · | The notes are subject to the credit risk of Citigroup Inc., and any actual or anticipated
changes to its credit ratings or credit spreads may adversely affect the value of the notes. You are subject to the credit risk of
Citigroup Inc. If Citigroup Inc. defaults on its obligations under the notes, your investment would be at risk and you could lose some
or all of your investment. As a result, the value of the notes will be affected by changes in the market’s view of Citigroup Inc.’s
creditworthiness. Any decline, or anticipated decline, in Citigroup Inc.’s credit ratings or increase, or anticipated increase,
in the credit spreads charged by the market for taking Citigroup Inc. credit risk is likely to adversely affect the value of the notes. |
| · | You will be entitled to receive the full principal amount of your notes, subject to the credit risk of Citigroup Inc., only if
you hold the notes to maturity. Because the value of the notes may fluctuate, if you are able to sell your notes in the secondary
market prior to maturity, you may receive less than the stated principal amount. |
| · | The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The notes will
not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently intends
to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily basis. Any indicative
bid price for the notes provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions
and other relevant factors, and will not be a representation by CGMI that the notes can be sold at that price or at all. CGMI may suspend
or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates
making a market, there may be no secondary market at all for the notes because it is likely that CGMI will be the only broker-dealer that
is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity. |
| · | The estimated value of the notes on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the notes that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection with
the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes
and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging
our obligations under the notes. These costs adversely affect the economic terms of the notes because, if they were lower, the economic
terms of the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use
of our internal funding rate, rather than our secondary market rate, to price the notes. See “The estimated value of the notes would
be lower if it were calculated based on our secondary market rate” below. |
| · | The estimated value of the notes was determined for us by our affiliate using proprietary pricing models. CGMI derived the
estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made
discretionary judgments about the inputs to its models, such as the level and volatility of the CPI, interest and yield rates in the market
generally, the volatility of those rates and interest rates. CGMI’s views on these inputs may differ from your or others’
views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models
may prove to be wrong and therefore not an accurate reflection of the value of the notes. Moreover, the estimated value of the notes set
forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the notes for
other purposes, including for accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead,
you should be willing to hold the notes to maturity irrespective of the initial estimated value. |
| · | The estimated value of the notes would be lower if it were calculated based on our secondary market rate. The estimated value
of the notes included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing
to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than our secondary market rate, which
is the rate that CGMI will use in determining the value of the notes for purposes of any purchases of the notes from you in the secondary
market. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding
rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the notes, which
are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal
funding rate is not the same as the rate at which interest is payable on the notes. |
| · | The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing to
buy the notes from you in the secondary market. Any such secondary market price will fluctuate over the term of the notes based on
the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing supplement,
any value of the notes determined for purposes of a secondary market transaction will be based on our secondary market rate, which will
likely result in a lower value for the notes than if our internal funding rate were used. In addition, any secondary market price for
the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the notes to be purchased
in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any
secondary market price for the notes will be less than the issue price. |
| · | The value of the notes prior to maturity will fluctuate based on many unpredictable factors. The value of your notes prior
to maturity will fluctuate based on the level and volatility of the CPI, interest and yield rates in the market generally, as well as
the volatility of those rates, the time remaining to maturity of the notes, fluctuations in the prices of various consumer goods, services
and energy resources, inflation and expectations concerning inflation in the United States, a variety of economic, financial, political,
regulatory or judicial events affecting the CPI, inflation in the United States, the U.S. economy or debt markets generally, the time
remaining to maturity and our creditworthiness, as reflected in our secondary market rate. You should understand that the value of your
notes at any time prior to maturity may be significantly less than the issue price. |
| · | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing
supplement. |
| · | Our offering of the notes does not constitute a recommendation to invest in an instrument linked to the CPI. You should not
take our offering of the notes as an expression of our views about how the CPI will perform in the future or as a recommendation to invest
in any instrument linked to the CPI, including the notes. As we are part of a global financial institution, our affiliates may, and often
do, have positions (including short positions), and may publish research or express opinions, that in |
each case conflict with an investment
in the notes. You should undertake an independent determination of whether an investment in the notes is suitable for you in light of
your specific investment objectives, risk tolerance and financial resources.
| · | The CPI itself and the way the CPI is calculated may change in the future and could adversely affect the value of the notes.
The CPI is calculated and published by the Bureau of Labor Statistics of the U.S. Labor Department (the “BLS”). The BLS may
change the method by which it calculates the CPI. Changes in the way the CPI is calculated could reduce the level of the CPI, which could
reduce the amount of one or more interest payments to you after the first year and, accordingly, the value of your notes. Further, if
the CPI is discontinued or substantially altered, the calculation agent may have the sole discretion to substitute a successor index that
is comparable to the CPI, which may also adversely affect the amount of one or more interest payments to you after the first year and
the value of your notes. |
| · | You will have no rights against the publishers of the CPI. You will have no rights against the BLS, the publisher of the CPI,
even though the amount you receive on each interest payment date after the first year will depend upon the level of the CPI. The BLS is
not in any way involved in this offering and has no obligations relating to the notes or the holders of the notes. |
| · | The historical performance of the CPI is not an indication of its future performance. The historical levels of the CPI, which
are included in this pricing supplement, should not be taken as an indication of the future levels of the CPI during the term of the notes.
Changes in the level of the CPI will affect the value of the notes, but it is impossible to predict whether the level of the CPI will
rise or fall. |
| · | The calculation agent, which is an affiliate of the issuer, will make determinations with respect to the notes. Citibank, N.A.,
the calculation agent for the notes, is an affiliate of ours. As calculation agent, Citibank, N.A. will determine, among other things,
each initial CPI level and each final CPI level and will calculate the related CPI percent change, interest rate and payment to you on
each interest payment date. Any of these determinations or calculations made by Citibank, N.A. in its capacity as calculation agent, including
with respect to the calculation of the level of the CPI in the event of the unavailability of the level of the CPI, may adversely affect
the amount of one or more interest payments to you. |
| · | The U.S. federal tax consequences of an assumption of the notes are unclear. The notes may be assumed by a successor issuer,
as discussed in “Additional Terms of the Notes.” The law regarding whether or not such an assumption would be considered a
taxable modification of the notes is not entirely clear and, if the Internal Revenue Service (the “IRS”) were to treat the
assumption as a taxable modification, a U.S. Holder would generally be required to recognize gain (if any) on the notes and the timing
and character of income recognized with respect to the notes after the assumption could be affected significantly. You should read carefully
the discussion under “United States Federal Income Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an assumption of the notes. |
Additional Terms of the Notes
The notes are intended to qualify as eligible debt securities for purposes
of the Federal Reserve's total loss-absorbing capacity (“TLAC”) rule. As a result, in the event of a Citigroup Inc. bankruptcy,
Citigroup Inc.'s losses and any losses incurred by its subsidiaries would be imposed first on Citigroup Inc.’s shareholders and
then on its unsecured creditors, including the holders of the notes. Further, in a bankruptcy proceeding of Citigroup Inc. any value realized
by holders of the notes may not be sufficient to repay the amounts owed on the notes. For more information about the consequences of “TLAC”
on the notes, you should refer to the “Citigroup Inc.” section beginning on page 13 of the accompanying prospectus.
Upon at least 15 business days’ notice, any wholly owned subsidiary
(the “successor issuer”) of Citigroup Inc. may, without the consent of any holder of the notes, assume all of Citigroup Inc.’s
obligations under the notes, and in such event Citigroup Inc. shall be released from its obligations under the notes (in each case, except
as described below), subject to the following conditions:
| (a) | Citigroup Inc. shall enter into a supplemental indenture under which Citigroup Inc. fully and unconditionally guarantees all payments
on the notes when due, agrees to comply with the covenants described in the section “Description of Debt Securities—Covenants—Limitations
on Liens” and “—Limitations on Mergers and Sales of Assets” in the accompanying prospectus as applied to itself
and retains certain reporting obligations under the indenture; |
| (b) | the successor issuer shall be organized under the laws of the United States of America, any State thereof or the District of Columbia;
and |
| (c) | immediately after giving effect to such assumption of obligations, no default or event of default shall have occurred and be continuing. |
Upon any such assumption, the successor issuer shall succeed to and
be substituted for, and may exercise every right and power of, Citigroup Inc. under the notes with the same effect as if such successor
issuer had been named as the original issuer of the notes, and Citigroup Inc. shall be relieved from all obligations and covenants under
the notes, except that Citigroup Inc. shall have the obligations described in clause (a) above. For the avoidance of doubt, the successor
issuer shall not be responsible for Citigroup Inc.’s compliance with the covenants described in clause (a) above.
If a successor issuer assumes the obligations of Citigroup Inc. under
the notes as described above, events of bankruptcy or insolvency or resolution proceedings relating to Citigroup Inc. will not constitute
an event of default with respect to the notes, nor will any breach of a covenant by Citigroup Inc. (other than payment default). Therefore,
if a successor issuer assumes the obligations of Citigroup Inc. under the notes as described above, events of bankruptcy or insolvency
or resolution proceedings relating to Citigroup Inc. (in the absence of any such event occurring with respect to the successor issuer)
will not give holders the right to declare the notes to be due and payable, and a breach of a covenant by Citigroup Inc. (including the
covenants described in the section “Description of Debt Securities—Covenants—Limitations on Liens” and “—Limitations
on Mergers and Sales of Assets” in the accompanying prospectus), other than payment default, will not give holders the right to
declare the notes to be due and payable. Furthermore, if a successor issuer assumes the obligations of Citigroup Inc. under the notes
as described above, it will not be an event of default under the notes if the guarantee of the notes by Citigroup Inc. ceases to be in
full force and effect or if Citigroup Inc. repudiates the guarantee.
There are no restrictions on which subsidiary of Citigroup Inc. may
be a successor issuer other than as specifically set forth above. The successor issuer may be less creditworthy than Citigroup Inc. and/or
may have no or nominal assets. If Citigroup Inc. is resolved in bankruptcy, insolvency or other resolution proceedings and the notes are
not contemporaneously declared due and payable, and if the successor issuer is subsequently resolved in later bankruptcy, insolvency or
other resolution proceedings, the value you receive on the notes may be significantly less than what you would have received had the notes
been declared due and payable immediately upon certain events of bankruptcy or insolvency or resolution proceedings relating to Citigroup
Inc. or the breach of a covenant by Citigroup Inc.
The notes are “specified securities” for purposes of the
indenture. The terms set forth above do not apply to all securities issued under the indenture, but only to the notes offered by this
pricing supplement (and similar terms may apply to other securities issued by Citigroup Inc. that are identified as “specified securities”
in the applicable pricing supplement).
You should read carefully the discussion of U.S. federal tax consequences
of any such assumption under “General Information—U.S. federal income tax considerations” in this pricing supplement.
General Information |
Additional information: |
The description of the notes in this pricing supplement supplements,
and, to the extent inconsistent with, replaces the general terms of the notes set forth in the accompanying prospectus supplement and
prospectus. The accompanying prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing
supplement.
The notes are senior unsecured debt securities issued by Citigroup Inc.
under the senior debt indenture described in the accompanying prospectus supplement and prospectus. The notes will constitute part of
the senior debt of Citigroup Inc. and will rank equally with all other unsecured and unsubordinated debt of Citigroup Inc.
|
Business day: |
Any day that is not a Saturday or Sunday and that, in New York City, is not a day on which banking institutions are authorized or obligated by law or executive order to close. |
Regular record date: |
Interest will be payable on each interest payment date to the holders of record of the notes at the close of business on the business day immediately preceding the relevant interest payment date, except that the final interest payment will be made to the persons who hold the notes on the maturity date. |
U.S. federal income tax considerations: |
In the opinion of our tax counsel, Davis Polk &
Wardwell LLP, based on current market conditions, the notes should be treated as “contingent payment debt instruments” for
U.S. federal income tax purposes, as described in the section of the accompanying prospectus supplement called “United States Federal
Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,” and the remaining
discussion assumes this treatment is respected.
If you are a U.S. Holder, you will be required
to recognize interest income at the “comparable yield,” which generally is the yield at which we could issue a fixed-rate
debt instrument with terms similar to those of the notes, including the level of subordination, term, timing of payments and general market
conditions, but excluding any adjustments for the riskiness of the contingencies or the liquidity of the notes. Although it is not clear
how the comparable yield should be determined for notes that may be redeemed before maturity, our determination of the comparable yield
is based on the maturity date. We are required to construct a “projected payment schedule” in respect of the notes representing
a payment or a series of payments the amount and timing of which would produce a yield to maturity on the notes equal to the comparable
yield. The amount of interest you include in income in each taxable year based on the comparable yield will be adjusted upward or downward
to reflect the difference, if any, between the actual and projected payments on the notes as determined under the projected payment schedule.
We have determined that the comparable yield for
a note is a rate of 3.496%, compounded quarterly, and that the projected payment schedule with respect to a note consists of the following
payments (subject to the applicable business day convention):
|
|
June 27th, 2022 |
$4.167 |
September 27th, 2023 |
$3.572 |
|
July 27th, 2022 |
$4.167 |
October 27th, 2023 |
$3.135 |
|
August 27th, 2022 |
$4.167 |
November 27th, 2023 |
$2.885 |
|
September 27th, 2022 |
$4.167 |
December 27th, 2023 |
$2.716 |
|
October 27th, 2022 |
$4.167 |
January 27th, 2024 |
$2.656 |
|
November 27th, 2022 |
$4.167 |
February 27th, 2024 |
$2.635 |
|
December 27th, 2022 |
$4.167 |
March 27th, 2024 |
$2.660 |
|
January 27th, 2023 |
$4.167 |
April 27th, 2024 |
$2.592 |
|
February 27th, 2023 |
$4.167 |
May 27th, 2024 |
$2.657 |
|
March 27th, 2023 |
$4.167 |
June 27th, 2024 |
$2.687 |
|
April 27th, 2023 |
$4.167 |
July 27th, 2024 |
$2.717 |
|
May 27th, 2023 |
$4.167 |
August 27th, 2024 |
$2.680 |
|
June 27th, 2023 |
$4.966 |
September 27th, 2024 |
$2.643 |
|
July 27th, 2023 |
$4.248 |
October 27th, 2024 |
$2.606 |
|
August 27th, 2023 |
$4.142 |
November 27th, 2024 |
$2.570 |
|
|
|
|
|
|
December 27th, 2024 |
$2.534 |
March 27th, 2026 |
$2.219 |
|
January 27th, 2025 |
$2.498 |
April 27th, 2026 |
$2.211 |
|
February 27th, 2025 |
$2.462 |
May 27th, 2026 |
$2.203 |
|
March 27th, 2025 |
$2.427 |
June 27th, 2026 |
$2.195 |
|
April 27th, 2025 |
$2.390 |
July 27th, 2026 |
$2.187 |
|
May 27th, 2025 |
$2.355 |
August 27th, 2026 |
$2.185 |
|
June 27th, 2025 |
$2.318 |
September 27th, 2026 |
$2.183 |
|
July 27th, 2025 |
$2.282 |
October 27th, 2026 |
$2.181 |
|
August 27th, 2025 |
$2.274 |
November 27th, 2026 |
$2.180 |
|
September 27th, 2025 |
$2.265 |
December 27th, 2026 |
$2.179 |
|
October 27th, 2025 |
$2.257 |
January 27th, 2027 |
$2.177 |
|
November 27th, 2025 |
$2.250 |
February 27th, 2027 |
$2.176 |
|
December 27th, 2025 |
$2.242 |
March 27th, 2027 |
$2.175 |
|
January 27th, 2026 |
$2.234 |
April 27th, 2027 |
$2.173 |
|
February 27th, 2026 |
$2.227 |
May 27th, 2027 |
$1,002.172 |
|
Neither the comparable yield nor the projected
payment schedule constitutes a representation by us regarding the actual amounts that we will pay on the notes.
Upon the sale or exchange of the notes (including
retirement upon early redemption or at maturity), you generally will recognize gain or loss equal to the difference between the proceeds
received and your adjusted tax basis in the notes. Your adjusted tax basis will equal your purchase price for the notes increased by interest
income previously included on the notes (without regard to the adjustments described above) and decreased by prior payments according
to the projected payment schedule. Any gain generally will be treated as ordinary income, and any loss generally will be treated as ordinary
loss to the extent of prior net interest inclusions on the note and as capital loss thereafter.
Subject to the discussions in “United States
Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” and “—FATCA” in the accompanying prospectus
supplement, if you are a Non-U.S. Holder (as defined in the accompanying prospectus supplement) of notes, under current law you generally
will not be subject to U.S. federal withholding or income tax in respect of payments on or amounts received on the sale, exchange, redemption
or retirement of the notes, provided that (i) income in respect of the notes is not effectively connected with your conduct of a trade
or business in the United States, and (ii) you comply with the applicable certification requirements. See “United States Federal
Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying prospectus supplement for a more detailed discussion
of the rules applicable to Non-U.S. Holders of the notes.
If withholding tax applies to the notes, we will
not be required to pay any additional amounts with respect to amounts withheld.
Under their terms, the notes may be assumed by
a successor issuer, in which case we will guarantee the successor issuer’s payment obligations under the notes. See “Additional
Terms of the Notes.” We intend to treat such an assumption as not giving rise to a taxable modification of the notes. While our
counsel believes this treatment of such an assumption is reasonable under current law and based on the expected circumstances of the assumption,
it has not rendered an opinion regarding such treatment in light of the lack of clear authority addressing the consequences of such an
assumption. Provided that an assumption of the notes is not a taxable modification, the U.S. federal income tax treatment of the notes
would not be affected by the assumption. However, if the IRS were to treat an assumption of the notes as a taxable modification, the timing
and character of income recognized with respect to the notes after the assumption could be affected significantly, depending on circumstances
at the time of the assumption. Moreover, a U.S. Holder would generally be required to recognize gain (if any) with respect to the notes
at the time of the assumption in the same manner as described in the
|
|
accompanying prospectus supplement in respect of a sale or other taxable
disposition of the notes. You should consult your tax adviser regarding the consequences of an assumption of the notes.
You should read the section entitled “United
States Federal Tax Considerations” in the accompanying prospectus 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 notes.
You should also consult your tax adviser regarding
all aspects of the U.S. federal tax consequences of an investment in the notes and any tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
|
Fees and selling concessions: |
CGMI, an affiliate of Citigroup Inc. and the underwriter of the sale
of the notes, is acting as principal and will receive an underwriting fee of up to $15.00 for each note sold in this offering. The actual
underwriting fee will be equal to $15.00 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. From this underwriting fee, CGMI will pay selected dealers not
affiliated with CGMI a variable selling concession of up to $15.00 for each note they sell.
Additionally, it is possible that CGMI and its affiliates may profit
from hedging activity related to this offering, even if the value of the notes declines. You should refer to “Risk Factors”
above and the section “Use of Proceeds and Hedging” in the accompanying prospectus.
|
Supplemental information regarding plan of distribution; conflicts of interest: |
The terms and conditions set forth in the Amended and Restated Global
Selling Agency Agreement dated April 7, 2017 among 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 Inc. has
entered into one or more swaps or other derivatives transactions with one or more of its affiliates. You should refer to the sections
“Risk Factors—The estimated value of the notes on the pricing date, based on CGMI’s proprietary pricing models and our
internal funding rate, is less than the issue price,” and the section “Use of Proceeds and Hedging” in the accompanying
prospectus.
CGMI is an affiliate of Citigroup Inc. Accordingly, the offering of
the notes will conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth
in Rule 5121 of the Conduct Rules of the Financial Industry Regulatory Authority, Inc. Client accounts over which Citigroup Inc., its
subsidiaries or affiliates of its subsidiaries have investment discretion are not permitted to purchase the notes, either directly or
indirectly, without the prior written consent of the client.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying prospectus supplement for more information.
|
Calculation agent: |
Citibank, N.A., an affiliate of Citigroup 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 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. |
How Interest Payments on the Notes Work
During the first year of the term of the notes, the notes will bear
interest at a fixed rate. After the first year, the notes will bear interest during each monthly interest period at a per annum rate equal
to the CPI percent change determined on the interest determination date for that interest period, subject to the minimum interest rate
of 2.50% per annum.
The CPI percent change applicable to any monthly interest
period will be the percentage change in the level of the CPI measured over the one-year period ending three months prior to the month
of the interest payment date that begins that interest period. For example, the interest payment that you will receive on June 27, 2023
will depend on the year-over-year percentage change in the level of the CPI from February 2022 to February 2023.
During each interest period, interest payments will be calculated on
the basis of a 360-day year consisting of twelve 30-day months. The amount of each interest payment will equal (i) the stated principal
amount of the notes multiplied by the interest rate in effect during the applicable interest period divided by (ii) 12.
The following table sets forth hypothetical per annum interest rates
based on various levels of the CPI, assuming a hypothetical initial CPI level of 100.00. The hypothetical CPI percent changes and the
hypothetical per annum interest rates have been rounded for ease of analysis.
Hypothetical
Final CPI Level |
Hypothetical
CPI Percent Change(1) |
Hypothetical
Per Annum Interest Rate(2) |
97.000 |
-3.00% |
2.50% |
98.000 |
-2.00% |
2.50% |
98.500 |
-1.50% |
2.50% |
99.000 |
-1.00% |
2.50% |
100.000 |
0.00% |
2.50% |
101.000 |
1.00% |
2.50% |
102.000 |
2.00% |
2.50% |
103.000 |
3.00% |
3.00% |
104.000 |
4.00% |
4.00% |
105.000 |
5.00% |
5.00% |
106.000 |
6.00% |
6.00% |
107.000 |
7.00% |
7.00% |
108.000 |
8.00% |
8.00% |
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(1) Hypothetical CPI percent change = The percentage change in the level
of the CPI measured over the one-year period ending three months prior to the month of the interest payment date that begins that interest
period.
(2) Hypothetical per annum interest rate = the hypothetical CPI percent
change determined on the interest determination date for that interest period, subject to a minimum of 2.50% per annum for any interest
period.
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Determination of the Level of the Consumer Price Index
The CPI refers to the non-seasonally adjusted U.S. City Average All
Items Consumer Price Index for All Urban Consumers, as published on Bloomberg page “CPURNSA” (or any successor page) or any
successor index as described below. The U.S. Bureau of Labor Statistics (“BLS”), an agency within the United States Department
of Labor, publishes CPI data monthly.
If the CPI for any relevant month is not published on Bloomberg page
“CPURNSA” (or any successor page) by 3:00 p.m. New York City time on the relevant interest determination date, but has otherwise
been reported by the BLS, then the calculation agent will determine the CPI as reported by the BLS for such month using such other source
as on its face, after consultation with Citigroup Inc., appears to accurately set forth the CPI as reported by the BLS.
To determine each initial CPI level and each final CPI level, the calculation
agent will use the most recently available level of the CPI, determined as described above, on the relevant interest determination date,
even if such level has been adjusted from a previously reported level for the relevant month. However, if an initial CPI level or final
CPI level used by the calculation agent on any interest determination date to determine the applicable interest rate for the related interest
period is subsequently revised by the BLS, the interest rate determined on such interest determination date will not be revised.
If the CPI is rebased to a different year or period and the 1982-1984
CPI is no longer used, the base reference period for the notes will continue to be the 1982-1984 reference period as long as the 1982-1984
CPI continues to be published.
If, while the notes are outstanding, the CPI is discontinued or is substantially
altered, as determined in the sole discretion of the calculation agent, the level of the CPI will be determined by reference to (a) the
substitute index chosen by the Secretary of the Treasury for the United States Department of the Treasury’s Inflation-Protected
Securities, as described in Appendix B, Section I, Paragraph B.4 of Part IV of 69 Federal Register, No. 144 (July 28, 2004), or (b) if
no such index is chosen, the successor index chosen by the calculation agent, in its sole discretion, acting in good faith and using its
reasonable judgment. If the calculation agent determines at that time, in its sole discretion, that there is no appropriate successor
index, or that the level of the CPI is not available for any other reason, the calculation agent will determine the level of the CPI by
a computation methodology that the calculation agent determines will replicate the CPI as closely as reasonably possible under the circumstances.
Upon any selection of a successor index by the calculation agent, the
calculation agent will cause notice to be furnished to us and to the trustee, who will provide notice of such selection to the registered
holders of the notes.
Description of the Consumer Price Index
Unless otherwise stated, we have derived all information regarding the
non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers provided in this pricing supplement,
including its composition and method of calculation, from publicly available sources. Such information reflects the policies of, and is
subject to change by, the BLS. The BLS is under no obligation to continue to produce, and may discontinue or suspend the production of,
the CPI at any time. We have not independently verified any information relating to the CPI.
The BLS began calculating and publishing the CPI in January 1978 and
publishes CPI data every month. The CPI level for any particular month is published during the following month. The CPI is a measure of
the average change in consumer prices over time for a fixed market basket of goods and services, including food, clothing, shelter, fuels,
transportation, charges for doctors’ and dentists’ services and drugs. In calculating the index, price changes for the various
items are averaged together with weights that represent their importance in the spending of urban households in the United States. The
contents of the market basket of goods and services and the weights assigned to the various items are updated periodically by the BLS
to take into account changes in consumer expenditure patterns. The CPI is expressed in relative terms in relation to a time base reference
period for which the level is set at 100.0. The base reference period for these notes is the 1982-1984 average.
The notes are linked to the non-seasonally adjusted CPI. Consequently,
there is no elimination of the effect of changes that tend to occur at the same time and with approximately the same magnitude each year
(e.g., those changes relating to holidays or climate patterns).
The notes represent obligations of Citigroup Inc. only. The notes have
not been passed on by BLS. The notes are not sponsored, endorsed, sold or promoted by BLS and BLS makes no warranties and bears no liability
with respect to the notes.
Historical Information on the Consumer Price Index
The following table sets forth the published levels of the CPI as reported
by the BLS for the period from January 2012 through April 2022. We obtained the information in the table below from Bloomberg Financial
Markets, without independent verification. The historical levels of the CPI should not be taken as an indication of future levels, and
no assurance can be given as to the level of the CPI for any relevant month.
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Historical Levels of the CPI |
|
Month |
2012 |
2013 |
2014 |
2015 |
2016 |
2017 |
2018 |
2019 |
2020 |
2021 |
2022 |
January |
226.665 |
230.28 |
233.916 |
233.707 |
236.916 |
242.839 |
247.867 |
251.712 |
257.971 |
261.582 |
281.148 |
February |
227.663 |
232.166 |
234.781 |
234.722 |
237.111 |
243.603 |
248.991 |
252.776 |
258.678 |
263.014 |
283.716 |
March |
229.392 |
232.773 |
236.293 |
236.119 |
238.132 |
243.801 |
249.554 |
254.202 |
258.115 |
264.877 |
287.504 |
April |
230.085 |
232.531 |
237.072 |
236.599 |
239.261 |
244.524 |
250.546 |
255.548 |
256.389 |
267.054 |
289.109 |
May |
229.815 |
232.945 |
237.9 |
237.805 |
240.236 |
244.733 |
251.588 |
256.092 |
256.394 |
269.195 |
n/a |
June |
229.478 |
233.504 |
238.343 |
238.638 |
241.038 |
244.955 |
251.989 |
256.143 |
257.797 |
271.696 |
n/a |
July |
229.104 |
233.596 |
238.25 |
238.654 |
240.647 |
244.786 |
252.006 |
256.571 |
259.101 |
273.003 |
n/a |
August |
230.379 |
233.877 |
237.852 |
238.316 |
240.853 |
245.519 |
252.146 |
256.558 |
259.918 |
273.567 |
n/a |
September |
231.407 |
234.149 |
238.031 |
237.945 |
241.428 |
246.819 |
252.439 |
256.759 |
260.28 |
274.31 |
n/a |
October |
231.317 |
233.546 |
237.433 |
237.838 |
241.729 |
246.663 |
252.885 |
257.346 |
260.388 |
276.589 |
n/a |
November |
230.221 |
233.069 |
236.151 |
237.336 |
241.353 |
246.669 |
252.038 |
257.208 |
260.229 |
277.948 |
n/a |
December |
229.601 |
233.049 |
234.812 |
236.525 |
241.432 |
246.524 |
251.233 |
256.974 |
260.474 |
278.802 |
n/a |
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The following table sets forth the year-over-year
percentage change in the level of the CPI given the historical levels reported above. The historical figures below should not be taken
as an indication of any future value of the CPI percent change that would apply during the term of the notes.
|
Historical Year-Over-Year Percentage Change in the Level of the CPI |
|
Month |
2012 |
2013 |
2014 |
2015 |
2016 |
2017 |
2018 |
2019 |
2020 |
2021 |
2022 |
January |
2.93% |
1.59% |
1.58% |
-0.09% |
1.37% |
2.50% |
2.07% |
1.55% |
2.49% |
1.40% |
7.48% |
February |
2.87% |
1.98% |
1.13% |
-0.03% |
1.02% |
2.74% |
2.21% |
1.52% |
2.33% |
1.68% |
7.87% |
March |
2.65% |
1.47% |
1.51% |
-0.07% |
0.85% |
2.38% |
2.36% |
1.86% |
1.54% |
2.62% |
8.54% |
April |
2.30% |
1.06% |
1.95% |
-0.20% |
1.13% |
2.20% |
2.46% |
2.00% |
0.33% |
4.16% |
8.26% |
May |
1.70% |
1.36% |
2.13% |
-0.04% |
1.02% |
1.87% |
2.80% |
1.79% |
0.12% |
4.99% |
n/a |
June |
1.66% |
1.75% |
2.07% |
0.12% |
1.01% |
1.63% |
2.87% |
1.65% |
0.65% |
5.39% |
n/a |
July |
1.41% |
1.96% |
1.99% |
0.17% |
0.84% |
1.72% |
2.95% |
1.81% |
0.99% |
5.37% |
n/a |
August |
1.69% |
1.52% |
1.70% |
0.20% |
1.06% |
1.94% |
2.70% |
1.75% |
1.31% |
5.25% |
n/a |
September |
1.99% |
1.18% |
1.66% |
-0.04% |
1.46% |
2.23% |
2.28% |
1.71% |
1.37% |
5.39% |
n/a |
October |
2.16% |
0.96% |
1.66% |
0.17% |
1.64% |
2.04% |
2.52% |
1.76% |
1.18% |
6.22% |
n/a |
November |
1.76% |
1.24% |
1.32% |
0.50% |
1.69% |
2.20% |
2.18% |
2.05% |
1.17% |
6.81% |
n/a |
December |
1.74% |
1.50% |
0.76% |
0.73% |
2.07% |
2.11% |
1.91% |
2.29% |
1.36% |
7.04% |
n/a |
The following graph shows the published levels of
the CPI as reported by the BLS for the period from January 2012 through April 2022. Past movements of the CPI are not indicative of future
CPI levels. Changes in the CPI will affect the value of the notes and the interest payments on the notes but it is impossible to predict
whether the CPI will rise or fall.
Valuation of the Notes
CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the notes,
which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying the economic
terms of the notes (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 “Risk Factors—The value of the notes prior to maturity will fluctuate based on many unpredictable
factors” in this pricing supplement, but not including our creditworthiness. These inputs may be market-observable or may be based
on assumptions made by CGMI in its discretionary judgment.
For a period of approximately four months following issuance of the
notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated for the
notes on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one or more financial
information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary
upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the term of the notes.
The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the four-month temporary adjustment
period. However, CGMI is not obligated to buy the notes from investors at any time. See “Risk Factors—The notes will not be
listed on any securities exchange and you may not be able to sell them prior to maturity.”
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. |
Validity of the Notes
In the opinion of Davis Polk &
Wardwell LLP, as special products counsel to Citigroup Inc., when the notes offered by this pricing supplement have been executed and
issued by Citigroup Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such notes
will be valid and binding obligations of Citigroup Inc., enforceable in accordance with their 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 notes.
In giving this opinion, Davis
Polk & Wardwell LLP has assumed the legal conclusions expressed in the opinion set forth below of 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 notes nor the issuance and delivery of the notes, nor the compliance by Citigroup Inc.
with the terms of the notes, will result in a violation of any provision of any instrument or agreement then binding upon Citigroup Inc.
or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Inc.
In the opinion of Barbara Politi,
Associate General Counsel–Capital Markets of Citigroup Inc., (i) the terms of the notes 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 Inc. has duly
authorized the issuance and sale of such notes 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 of the notes offered by this pricing supplement by Citigroup
Inc., 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.