Description of the Notes

The following description of the general terms of the Notes supplements the general terms and provisions set forth in the accompanying prospectus supplement and prospectus. If any specific information regarding the Notes in this product supplement is inconsistent with the more general terms described in the accompanying prospectus supplement and prospectus, you should rely on the information in this product supplement.

The pricing supplement applicable to a particular issuance of Notes will contain the specific terms of those Notes. If any information in the applicable pricing supplement is inconsistent with this product supplement, you should rely on the information in the applicable pricing supplement. The applicable pricing supplement may also add, update or change information contained in this product supplement or in the accompanying prospectus supplement and prospectus. It is important for you to consider carefully the information contained in this product supplement together with the information contained in the applicable pricing supplement and the accompanying prospectus supplement and prospectus before investing in the Notes.

General

The notes offered under this product supplement (the “Notes”) are senior unsecured debt securities issued by Citigroup Global Markets Holdings Inc. under the senior debt indenture described in the accompanying prospectus supplement and prospectus. Any payments due on the Notes are fully and unconditionally guaranteed by Citigroup Inc. The Notes will constitute part of the senior debt of Citigroup Global Markets Holdings Inc. and will rank equally with all other unsecured and unsubordinated debt of Citigroup Global Markets Holdings Inc. The guarantee of payments due on 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.

The Notes will pay periodic interest at a floating rate that will be linked to one or more U.S. dollar constant maturity swap (“CMS”) rates, as specified in the applicable pricing supplement. In addition, if applicable, the applicable pricing supplement may specify an initial period during which the Notes will pay interest at a fixed rate. For each offering of Notes, the applicable pricing supplement will specify the manner in which interest will be calculated on the Notes being offered, which may be based on any of the following:

We refer to each CMS rate to which the Notes are linked as a “Specified CMS Rate.” For general information about CMS rates, please see “About Constant Maturity Swap Rates” in this pricing supplement.

The Notes provide for the repayment of the stated principal amount on the Maturity Date.

In addition to the risks associated with the performance of the Specified CMS Rate(s), all payments due on the Notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., as guarantor of any payments due on the Notes. If Citigroup Global Markets Holdings Inc. defaults on its obligations and Citigroup Inc. defaults on its guarantee obligations under the Notes, you may not receive any payment owed to you, including the repayment of the stated principal amount of your Notes at maturity.

The stated principal amount of the Notes will be set forth in the applicable pricing supplement. Unless otherwise specified in the applicable pricing supplement, the Notes will be denominated in amounts equal to the stated principal amount and integral multiples thereof.

The Notes will mature on the date specified in the applicable pricing supplement (the “Maturity Date”). If the originally scheduled Maturity Date is not a Business Day, the payment required to be made on the Maturity Date

will be made on the next succeeding Business Day, and no interest will accrue as a result of delayed payment. A “Business Day” means any day that is not a Saturday, a Sunday or a day on which the securities exchanges or banking institutions or trust companies in the City of New York are authorized or obligated by law or executive order to close.

The “Calculation Agent” for each issuance of Notes will be our affiliate, Citibank, N.A., or any successor appointed by us, unless otherwise specified in the applicable pricing supplement. The Calculation Agent will make the determinations specified in this product supplement or in the applicable pricing supplement. 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. The Calculation Agent is obligated to carry out its duties and functions in good faith and using its reasonable judgment.

Interest Payments

Unless otherwise specified in the applicable pricing supplement, each interest payment, if any, will be payable to the persons in whose names the Notes are registered at the close of business on the Business Day preceding each Interest Payment Date (each a “Regular Record Date”), except that interest payable at maturity or upon redemption will be paid to the persons who hold the Notes at maturity or redemption, as applicable.

Each “Interest Payment Date” will be specified in the applicable pricing supplement. Unless otherwise specified in the applicable pricing supplement, if an Interest Payment Date falls on a day that is not a Business Day, the interest payment to be made on that Interest Payment Date will be made on the next succeeding Business Day, unless that day falls in the next calendar month, in which case the interest payment to be made on that Interest Payment Date will be made on the first preceding Business Day (and the Regular Record Date in respect of such Interest Payment Date will be the Business Day preceding such first preceding Business Day). Such payment will have the same force and effect as if made on that Interest Payment Date, and no additional interest will accrue as a result of delayed payment. Notwithstanding the foregoing, the final interest payment (assuming the Notes are not earlier called) will be made on the same day as the payment otherwise required to be made at maturity is made.

An “Interest Period” is the period beginning on and including the issue date of the Notes to but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date to but excluding the next succeeding Interest Payment Date, or as specified in the applicable pricing supplement.

The interest rate applicable to each Interest Period (other than an Interest Period for which the interest rate is a fixed rate, as specified in the applicable pricing supplement) will be reset on the second U.S. Government Securities Business Day prior to the beginning of that Interest Period, which we refer to as the “Interest Determination Date” for that Interest Period.

Interest will be calculated on the basis of a 360-day year consisting of twelve 30-day months. The amount of each interest payment, if any, 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) the number of Interest Periods in one year (e.g., 4 in the case of quarterly interest periods, 2 in the case of semi-annual Interest Periods and 12 in the case of monthly Interest Periods).

A “U.S. Government Securities Business Day” means any day that is not a Saturday, a Sunday or a day on which The Securities Industry and Financial Markets Association’s U.S. holiday schedule recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities.

Call Right

If specified in the applicable pricing supplement, we will have the right to call the Notes, in whole and not in part, on terms specified in the applicable pricing supplement. If applicable, the pricing supplement will specify the dates on which we may call the Notes (which will be Interest Payment Dates, unless otherwise specified in the

applicable pricing supplement), the price at which we may call the Notes and the circumstances in which we may call the Notes. Unless otherwise specified in the applicable pricing supplement, if we elect to call the Notes, we will pay you on the applicable redemption date the stated principal amount per Note you then hold plus any accrued and unpaid interest to but excluding the date of redemption. If any date on which we elect to redeem the Notes pursuant to our call right falls on a day that is not a Business Day, the payment to be made upon redemption will be made on the same day on which the applicable interest payment is made.

If we have the right to call the Notes, the provisions set forth under “Description of the Notes—Optional Redemption, Repayment and Repurchase” in the accompanying prospectus supplement will apply, subject to the terms set forth in the applicable pricing supplement.

Holders of the Notes will not have the right to require us to redeem the Notes prior to maturity, unless otherwise specified in the applicable pricing supplement.

Terms Related to the Specified CMS Rate(s)

Determining a Specified CMS Rate

A Specified CMS Rate on any date of determination is the rate for U.S. dollar interest rate swaps with the applicable designated maturity appearing on Reuters page “ICESWAP1” (or any successor page as determined by the Calculation Agent) as of 11:00 a.m. (New York City time) on that date of determination. The “designated maturity” of a Specified CMS Rate is the time period specified with respect to that Specified CMS Rate. For example, the “designated maturity” of the 30-year CMS rate is 30 years.

If, however, the applicable rate is not published on Reuters page “ICESWAP1” (or any successor page as determined by the Calculation Agent) on that date of determination, then the Calculation Agent will request mid-market semi-annual swap rate quotations from the principal New York City office of five leading swap dealers in the New York City interbank market (the “Reference Banks”) at approximately 11:00 am, New York City time, on that day. For this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. dollar interest rate swap transaction with the applicable designated maturity, commencing on that day and in a representative amount with an acknowledged dealer of good credit in the swap market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to U.S. dollar LIBOR with a designated maturity of three months. If at least three quotations are provided, the Specified CMS Rate for that day will be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest). If fewer than three quotations are provided as requested, the Specified CMS Rate will be determined by the Calculation Agent in good faith and using its reasonable judgment.

A Specified CMS Rate is calculated by ICE Benchmark Administration Limited based on tradable quotes for U.S. dollar fixed-for-floating interest rate swaps with the applicable designated maturity that are sourced from electronic trading venues.

The provisions set forth in this section “—Determining a Specified CMS Rate” are subject to the discussion in “Discontinuance of a Specified CMS Rate” below.

Discontinuance of a Specified CMS Rate

If the calculation and publication of a Specified CMS Rate is permanently canceled, then the Calculation Agent may identify an alternative rate that it determines, in its sole discretion, represents the same or a substantially similar measure or benchmark as that Specified CMS Rate, and the Calculation Agent may deem that rate (the “Successor CMS Rate”) to be the Specified CMS Rate. Upon the selection of any Successor CMS Rate by the Calculation Agent pursuant to this paragraph, references in this product supplement or the applicable pricing supplement to the original Specified CMS Rate will no longer be deemed to refer to the original Specified CMS Rate and will be deemed instead to refer to that Successor CMS Rate for all purposes. In such event, the Calculation Agent will make such adjustments, if any, to any level of the applicable Specified CMS Rate that is used for purposes of the

Notes as it determines are appropriate in the circumstances. Upon any selection by the Calculation Agent of a Successor CMS Rate, the Calculation Agent will cause notice to be furnished to us and the trustee.

If the calculation and publication of a Specified CMS Rate is permanently canceled and no Successor CMS Rate is chosen as described above, then the Calculation Agent will calculate the level of the Specified CMS Rate on each subsequent date of determination in good faith and using its reasonable judgment. Such level, as calculated by the Calculation Agent, will be the relevant Specified CMS Rate for all purposes.

Notwithstanding these alternative arrangements, the cancellation of a Specified CMS Rate may adversely affect interest payments on, and the value of, the Notes.

No Redemption at the Option of the Holder; Defeasance

The Notes will not be subject to redemption at the option of any holder prior to maturity and will not be subject to the defeasance provisions described in the accompanying prospectus under “Description of Debt Securities—Defeasance.”

Events of Default and Acceleration

In case an event of default (as described in the accompanying prospectus) with respect to any issuance of Notes shall have occurred and be continuing, the amount declared due and payable upon any acceleration of the Notes will be determined by the Calculation Agent and will equal, for each Note, the stated principal amount plus any accrued and unpaid interest to but excluding the date of acceleration.

In case of default under the Notes, whether in the payment of interest or any other payment due under the Notes, no interest will accrue on such overdue payment either before or after the Maturity Date.

Paying Agent, Trustee and CUSIP

Citibank, N.A. will serve as paying agent and registrar for the Notes and will also hold the global note representing each issuance of Notes as custodian for DTC. The Bank of New York Mellon will serve as trustee for the Notes.

The CUSIP number for each issuance of Notes will be set forth in the applicable pricing supplement.

About Constant Maturity Swap Rates

General

A constant maturity swap (“CMS”) rate for a given maturity is, at any time, a market rate for the fixed leg of a conventional fixed-for-floating U.S. dollar interest rate swap entered into at that time with that maturity. A conventional fixed-for-floating U.S. dollar interest rate swap is an agreement between two parties to exchange payment streams in U.S. dollars over a given period of time, where one party pays a fixed rate (the “fixed leg”) and the other party pays a floating rate that is reset periodically based on 3-month U.S. dollar LIBOR (the “floating leg”). For example, the 30-year CMS rate at any given time is a market rate for the fixed leg of a fixed-for-floating U.S. dollar interest rate swap with a maturity of 30 years and a floating rate reset periodically based on 3-month U.S. dollar LIBOR. 3-month U.S. dollar LIBOR is a measure of the rate at which banks lend U.S. dollars to each other for a period of 3 months in the London interbank market.

Many complex economic factors may influence CMS rates, including:

Because CMS rates are market rates and are influenced by many factors, it is impossible to predict the future value of any CMS rate.

CMS Spread Notes

If specified in the applicable pricing supplement, interest payments on the notes may be linked to the difference, or spread, between two CMS rates of different maturities. We refer to such notes as “CMS Spread Notes.” The relationship between CMS rates of different maturities may be thought of in terms of a CMS rate curve, where maturities are plotted on the x-axis of a graph and the applicable CMS rate is plotted on the y-axis. The graphs below illustrate hypothetical CMS rate curves and do not represent any actual CMS rate curve.

In normal market conditions, longer-term CMS rates are typically greater than shorter-term CMS rates, as illustrated in the first graph above. However, CMS rates do not always exhibit this relationship and, at times, longer-term CMS rates may be less than short-term CMS rates, as illustrated in the second graph above.

If you purchase CMS Spread Notes, your interest payments will depend on changes in the steepness of the CMS rate curve. If the CMS rate curve steepens, such that the spread between longer-term CMS rates and shorter-term CMS rates becomes greater, the interest payments on CMS Spread Notes will generally increase, subject to any maximum interest rate that may be applicable to the Notes. Conversely, if the CMS rate curve flattens or becomes inverted, such that the spread between longer-term CMS rates and shorter-term CMS rates becomes smaller or negative, the interest payments on CMS Spread Notes will generally decrease, possibly to zero.

The spread between CMS rates of different maturities, which we refer to as the “CMS spread,” is influenced by a number of complex economic factors, including those that affect CMS rates generally. However, the interest rate on CMS Spread Notes will depend not on how the relevant economic factors affect any one CMS rate or even CMS rates generally, but rather on how those factors affect CMS rates of different maturities differently. For example, if the relevant economic factors lead to a general increase in CMS rates but shorter-term rates rise more than longer-term rates, the CMS spread will decrease. Conversely, if CMS rates decrease generally but shorter-term rates decrease by more than longer-term rates, the CMS spread will increase.

Although there is no single factor that determines CMS spreads, CMS spreads have historically tended to fall when short-term interest rates rise. As with CMS rates, short-term interest rates are influenced by many complex factors, and it is impossible to predict their future performance. However, historically short-term interest rates have been highly sensitive to the monetary policy of the Federal Reserve Board. Accordingly, one significant risk assumed by investors in CMS Spread Notes is that the Federal Reserve Board may pursue a policy of raising short-term interest rates, which, if historical patterns hold, would lead to a decrease in the CMS spread. In that event, the floating rate payable on the Notes may decline significantly, possibly to 0%. It is important to understand that, although the policies of the Federal Reserve Board have historically had a significant influence on short-term interest rates, short-term interest rates are affected by many factors and may increase even in the absence of a Federal Reserve Board policy to increase short-term interest rates. For example, short-term interest rates tend to rise when there is a worsening of the perceived creditworthiness of the banks that participate in the interest rate swap and London interbank markets and when there is a worsening of general economic and credit conditions. Furthermore, it is important to understand that the CMS spread may decrease even in the absence of an increase in short-term interest rates because it, too, is influenced by many complex factors.

Repayment Upon Death

The right to request repayment of the Notes described below will be applicable to any particular issuance of Notes if, and only if, so specified in the applicable pricing supplement.

Following the death of any beneficial owner of the Notes, Citigroup Global Markets Holdings Inc. will repay any Notes (or the applicable portion of any Notes) that are beneficially owned by the deceased beneficial owner and are validly tendered for repayment at a price equal to the stated principal amount of the Notes tendered plus accrued and unpaid interest to but excluding the date of repayment. To be validly tendered, Notes must be submitted for repayment in accordance with the requirements set forth below by a representative of the deceased beneficial owner who has authority to act on behalf of the deceased beneficial owner under the laws of the appropriate jurisdiction (including, without limitation, the personal representative, executor, surviving joint tenant or surviving tenant by the entirety of the deceased beneficial owner). The right of the representative of a deceased beneficial owner to request repayment under this section, which we refer to as the “survivor’s option,” is subject to the following important limitations:

Notes that are validly tendered pursuant to this section will be accepted promptly in the order all such Notes are tendered, except for any Notes the acceptance of which would contravene the limitations described above. The Aggregate Annual Limit and the $250,000 Individual Annual Limit will be applied to the Notes (and, in the case of the Aggregate Annual Limit, all other Survivor’s Option Notes) in the order tendered, so that all validly tendered Notes will be accepted in for repayment in the order tendered until the relevant limit is reached, and any additional or subsequently tendered Notes will not be accepted for repayment in the current calendar year. Any Notes tendered for repayment that are not accepted in any calendar year due to the application of the Aggregate Annual Limit or the $250,000 Individual Annual Limit will be deemed to be tendered in the following calendar year (and succeeding calendar years if any Notes continue not to be accepted in the following calendar year due to the application of these limits) in the order in which such Notes were originally tendered.

Because of the limits described above, your representative may not be able to obtain repayment of any of the Notes beneficially owned by you following your death, or may only be able to obtain repayment of a portion of the Notes owned by you, and any such repayment may be delayed for multiple years. The following illustrate some of the potential effects of these limitations:

If any Notes that are validly tendered for repayment pursuant to this section are not accepted, the paying agent will deliver to any affected representative a notice that states the reasons the Notes have not been accepted for repayment. The notice will be sent by first-class mail to the broker or other entity through which the deceased beneficial owner’s interests in the Notes are held.

The death of a person holding a beneficial ownership interest in any Notes as a joint tenant with right of survivorship or tenant by the entirety with another person, or as a tenant in common with the deceased beneficial owner’s spouse, will be deemed the death of a beneficial owner of those Notes, and the entire stated principal amount of the Notes so held, plus accrued and unpaid interest to but excluding the date of repayment, will be subject to repayment pursuant to this section. However, the death of a person holding a beneficial ownership interest in any Notes as tenant in common with a person other than such deceased beneficial owner’s spouse will be deemed the death of a beneficial owner only with respect to such deceased beneficial owner’s interest in the Notes, and only a pro rata portion of those Notes corresponding to such deceased beneficial owner’s interest shall be subject to repayment pursuant to this section.

The death of a person who, during his or her lifetime, was entitled to substantially all of the beneficial ownership interests in any Notes (including the right to sell, transfer or otherwise dispose of an interest in the Notes, the right to receive the proceeds from the Notes and the right to receive principal and interest) will be deemed the death of the beneficial owner of those Notes for purposes of this section, regardless of whether that deceased beneficial owner was the registered holder of those Notes, if entitlement to those interests can be established to the satisfaction of Citigroup Global Markets Holdings Inc. and the paying agent. Such beneficial ownership interest will be deemed to exist in typical cases of nominee ownership, ownership under the Uniform Transfers to Minors Act or Uniform Gifts to Minors Act, community property or other joint ownership arrangements between spouses. In addition, a beneficial ownership interest will be deemed to exist in custodial and trust arrangements where one person has all of the beneficial ownership interests in the applicable Notes during his or her lifetime.

Any Notes accepted for repayment pursuant to this section will be repaid on the first June 15 or December 15 that occurs 35 or more calendar days after the date of such acceptance (such date, a “repayment date”). If that date is not a business day, payment will be made on the next succeeding business day. Any repayment request may be withdrawn by the representative presenting the request upon delivery of a written request for withdrawal to the

paying agent not less than 30 calendar days before the repayment date. If the Notes cease to be outstanding on or prior to the applicable repayment date, no repayment will be made pursuant to this section on that repayment date.

Subject to the foregoing, in order for a right to repayment under this section to be validly exercised, the paying agent must receive:

All questions as to the eligibility or validity of any exercise of the right to repayment under this section will be determined by Citigroup Global Markets Holdings Inc., in its sole discretion, and those determinations will be final and binding on all parties.

Because the Notes will be issued in book-entry form and held of record by a nominee of The Depository Trust Company (“DTC”), DTC’s nominee will be the holder of the Notes and therefore will be the only entity that can exercise the right to repayment of the Notes described in this section. To obtain repayment pursuant to this section, the representative of the deceased beneficial owner must provide to the broker or other entity through which the deceased beneficial owner holds an interest in the Notes:

The broker or other entity must provide to the paying agent:

The applicable broker or other entity will be responsible for disbursing to the appropriate representative any payments it receives pursuant to this section. We will not provide notice of redemption in the case of any repayment pursuant to this section.

Depending on market conditions, including changes in interest rates and our creditworthiness, it is possible that the value of the Notes in the secondary market at any time may be greater than their stated principal amount plus any accrued and unpaid interest. Accordingly, prior to exercising the option to request repayment described in this section, the representative of the deceased beneficial owner should contact the broker or other entity through which

the Notes are held to determine whether a sale of the Notes in the secondary market may result in greater proceeds than the stated principal amount plus accrued and unpaid interest pursuant to a request for repayment under this section.

The representative of a deceased beneficial owner may obtain more information from Citibank, N.A., the paying agent for the Notes, by calling 1-800-422-2066 during normal business hours in New York City.