(1) On the date of this pricing supplement, the estimated
value of the notes is $9.962 per note, which is less than the issue price. The estimated value of the notes is based on proprietary pricing
models of Citigroup Global Markets Inc. (“CGMI”) 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, acting as principal, has agreed to purchase
from Citigroup Global Markets Holdings Inc., and Citigroup Global Markets Holdings Inc. has agreed to sell to CGMI, the aggregate stated
principal amount of the notes set forth above for $10.00 per note. UBS Financial Services Inc. (“UBS”), acting as agent for
sales of the notes, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the notes for $10.00 per note. UBS will
not receive any underwriting discount for any note it sells in this offering. UBS proposes to offer the notes to the public at a price
of $10.00 per note. Investors that purchase and hold the notes in fee-based advisory accounts will pay advisory fees to UBS based on the
amount of assets held in those accounts. For additional information on the distribution of the notes, see “Supplemental Plan of
Distribution” in this pricing supplement. 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.
The terms of the notes are set forth in the accompanying product supplement,
prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement
and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain events may occur that
could affect whether you receive a coupon payment on a coupon payment date and whether you are repaid the stated principal amount of your
notes at maturity. These events and their consequences are described in the accompanying product supplement in the sections “Description
of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date” and “Description of the
Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance or Material Modification of
an Underlying Index,” and not in this pricing supplement. The accompanying underlying supplement contains important disclosures
regarding the underlying that are not repeated in this pricing supplement. It is important that you read the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your investment in
the notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
You may access the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant dates on the SEC website):
References to “Citigroup Global Markets Holdings Inc.,”
“Citigroup,” “we,” “our” and “us” refer to Citigroup Global Markets Holdings Inc. and
not to any of its subsidiaries. References to “Citigroup Inc.” refer to Citigroup Inc. and not to any of its subsidiaries.
In this pricing supplement, “notes” refers to the Trigger Callable Yield Notes Linked to the Russell 2000®
Index that are offered hereby, unless the context otherwise requires.
The suitability considerations identified below are not exhaustive.
Whether or not the notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an
investment in the notes in light of your particular circumstances. You should also review “Summary Risk Factors” beginning
on page PS-7 of this pricing supplement, “The Russell 2000® Index” beginning on page PS-12 of this pricing
supplement, “Risk Factors Relating to the Securities” beginning on page EA-7 of the accompanying product supplement and “Equity
Index Descriptions—The Russell Indices” beginning on page US-67 of the accompanying underlying supplement.
Issuer |
Citigroup Global Markets Holdings Inc. |
Guarantee |
All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc. |
Issue price |
100% of the stated principal amount per note |
Stated principal amount per note |
$10.00 per note |
Term |
Approximately 1.25 years, unless called earlier |
Trade date |
November 29, 2022 |
Settlement date |
November 30, 2022 |
Final valuation date[1] |
February 26, 2024 |
Maturity date |
February 29, 2024 |
Underlying |
Russell 2000® Index (Ticker: RTY) |
Issuer call feature |
Beginning approximately three months after issuance, the
issuer may, in its sole discretion, call the notes in whole, but not in part, on any coupon payment date prior to the maturity date by
providing notice on the call notice date prior to such coupon payment date.
If the notes are called, we will pay you on the applicable
coupon payment date a cash payment per $10.00 stated principal amount of each note equal to the stated principal amount per note plus
any coupon otherwise due on such coupon payment date.
After the notes are called, no further payments will be made
on the notes.
|
Coupon payment dates |
The 29th day of each month (or the last day in the case of February), beginning in December 2022, provided that the final coupon payment date will be the maturity date. Each coupon payment date is subject to postponement to the following business day if such day is not a business day. No interest will accrue as a result of any delayed payment. See “Call Notice Dates and Coupon Payment Dates for the Offering of the Notes” on page PS-6.” |
Coupon/coupon rate |
Each coupon payment will be in the amount of $0.0846 for each $10.00 stated principal amount note (based on the per annum coupon rate of approximately 10.15%). |
Payment at maturity (per $10.00 stated principal amount of notes) |
If the notes are not called prior to maturity and the final underlying
level is greater than or equal to the downside threshold, we will pay you the $10.00 stated principal amount plus any coupon otherwise
due on the maturity date.
If the notes are not called prior to maturity and the final underlying
level is less than the downside threshold, we will pay you, in addition to the final coupon, a cash payment on the maturity date that
is less than your stated principal amount and may be zero, resulting in a loss that is proportionate to the negative underlying return,
equal to:
$10.00
× (1 + underlying return)
Accordingly, you may lose all or a substantial portion of your
stated principal amount at maturity, depending on how significantly the underlying declines.
|
Underlying return |
final underlying level – initial underlying level
initial underlying level |
Downside threshold |
60.00% of the initial underlying level, as specified on the cover of this pricing supplement. |
Initial underlying level |
The closing level of the underlying on the trade date, as specified on the cover page of this pricing supplement. |
Final underlying level |
The closing level of the underlying on the final valuation date. |
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. THE CONTINGENT REPAYMENT OF THE STATED PRINCIPAL AMOUNT APPLIES ONLY IF YOU HOLD THE NOTES TO MATURITY. ANY PAYMENT ON THE NOTES IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER AND THE GUARANTOR. IF CITIGROUP GLOBAL MARKETS HOLDINGS INC. AND CITIGROUP INC. WERE TO DEFAULT ON THEIR OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT. |
1 Subject to postponement as described under
“Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date” in the
accompanying product supplement.
|
Trade date |
|
The closing level of the underlying (the initial underlying level) is observed, the coupon rate is set and the downside threshold for the underlying is determined. |
|
|
|
|
|
Monthly
(callable by the issuer in its sole discretion
after three months)
|
|
We pay the applicable coupon.
Beginning approximately three months after issuance, the issuer
may, in its sole discretion, call the notes in whole, but not in part, on any coupon payment date prior to the maturity date by providing
notice on the call notice date prior to such coupon payment date.
If the notes are called, we will pay you on the applicable coupon
payment date a cash payment per $10.00 stated principal amount of each note equal to the stated principal amount per note plus any coupon
otherwise due on such coupon payment date.
After the notes are called, no further payments will be made
on the notes.
|
|
|
|
|
|
Maturity date (if not previously called) |
|
If the notes are not called prior to maturity, the final underlying
level is observed on the final valuation date.
If the notes are not called prior to maturity and the final
underlying level is greater than or equal to the downside threshold, we will pay you the $10.00 stated principal amount plus any coupon
otherwise due on the maturity date.
If the notes are not called prior to maturity and the final
underlying level is less than the downside threshold, we will pay you, in addition to the final coupon, a cash payment on the maturity
date that is less than your stated principal amount and may be zero, resulting in a loss that is proportionate to the negative underlying
return, equal to:
$10.00
× (1 + underlying return)
Accordingly, you may lose all or a substantial portion
of your stated principal amount at maturity, depending on how significantly the underlying declines.
|
Call Notice Dates and Coupon
Payment Dates for the Offering of the Notes
Call Notice Dates |
Coupon Payment Dates |
N/A |
December 29, 2022 |
N/A |
January 30, 2023 |
February 23, 2023* |
February 28, 2023 |
March 24, 2023 |
March 29, 2023 |
April 26, 2023 |
May 1, 2023 |
May 24, 2023 |
May 30, 2023 |
June 26, 2023 |
June 29, 2023 |
July 26, 2023 |
July 31, 2023 |
August 24, 2023 |
August 29, 2023 |
September 26, 2023 |
September 29, 2023 |
October 25, 2023 |
October 30, 2023 |
November 24, 2023 |
November 29, 2023 |
December 26, 2023 |
December 29, 2023 |
January 24, 2024 |
January 29, 2024 |
N/A |
February 29, 2024 (the maturity date) |
* The notes are callable beginning on the third coupon payment date,
which is February 28, 2023.
An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional debt securities
(guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the notes, and are
also subject to risks associated with the underlying. Accordingly, the notes are suitable only for investors who are capable of understanding
the complexities and risks of the notes. You should consult your own financial, tax and legal advisers as to the risks of an investment
in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the notes
contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product supplement.
You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated by
reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent Quarterly
Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
| ¨ | You may lose some or all of your investment — The notes differ from ordinary debt securities in that we will not necessarily
repay the full stated principal amount of your notes at maturity. If the notes are not called prior to maturity (beginning approximately
three months after issuance) and the final underlying level is less than the downside threshold, you will lose 1% of the stated principal
amount of the notes for every 1% by which the final underlying level is less than the initial underlying level. There is no minimum payment
at maturity on the notes, and you may lose up to all of your investment in the notes. |
| ¨ | Higher coupon rates are associated with greater risk — The notes offer coupon payments at an annualized rate that, if
all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same maturity.
This higher potential yield is associated with greater levels of expected risk as of the trade date for the notes, including the risk
that the amount you receive at maturity may be significantly less than the stated principal amount of your notes and may be zero. The
volatility of the underlying is an important factor affecting this risk. Greater expected volatility of the underlying as of the trade
date may result in a higher coupon rate, but would also represent a greater expected likelihood as of the trade date that the closing
level of the underlying will be less than the downside threshold on the final valuation date, such that you will not be repaid the stated
principal amount of your notes at maturity. |
| ¨ | You may not be adequately compensated for assuming the downside risk of the underlying — The coupon payments on the notes
are the compensation you receive for assuming the downside risk of the underlying, as well as all the other risks of the notes. The coupon
payments are the compensation you receive not only for the downside risk of the underlying, but also for all of the other risks of the
notes, including the risk that the notes may be called prior to maturity, interest rate risk and our and Citigroup Inc.’s credit
risk. If those other risks increase or are otherwise greater than you currently anticipate, the coupon payments may turn out to be inadequate
to compensate you for all the risks of the notes, including the downside risk of the underlying. |
| ¨ | We may call the notes in our sole discretion, which will limit your ability to receive the coupon payments — Beginning
approximately three months after issuance, we may call the notes on any coupon payment date prior to the maturity date by providing notice
on the call notice date prior to such coupon payment date. In the event that we call the notes, you will receive the stated principal
amount of your notes and any coupon otherwise due on such coupon payment date. Thus, the term of the notes may be limited to as short
as approximately three months. If we call the notes prior to maturity, you will not receive any additional coupon payments. It is more
likely that we will call the notes in our sole discretion prior to maturity to the extent that the expected coupon payable on the notes
is greater than the coupon that would be payable on other instruments issued by us of comparable maturity, terms and credit rating trading
in the market. The greater likelihood of us calling the notes in that environment increases the risk that you will not be able to reinvest
the proceeds from the called notes in an another investment that provides a similar yield with a similar level of risk. We are less likely
to call the notes prior to maturity when the expected coupon payable on the notes is less than the coupon that would be payable on other
comparable instruments issued by us. Therefore, the notes are more likely to remain outstanding when the expected coupon payable on the
notes is less than what would be payable on other comparable instruments. |
| ¨ | The notes offer downside exposure to the underlying, but no upside exposure to the underlying — You will not participate
in any appreciation in the level of the underlying over the term of the notes. Consequently, your return on the notes will be limited
to the coupon payments you receive and may be significantly less than the return on the underlying over the term of the notes. In addition,
you will not receive any dividends or other distributions or have any other rights with respect to the underlying or the stocks included
in the underlying. |
| ¨ | The payment at maturity depends on the closing level of the underlying on a single day — If the closing level of the
underlying on the final valuation date is less than the downside threshold, you will not receive the full stated principal amount of your
notes at maturity, even if the closing level of the underlying is greater than the downside threshold on other dates during the term of
the notes. |
| ¨ | Investing in the notes is not equivalent to investing in the underlying or the stocks that constitute the underlying —
You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect to any of the
stocks that constitute the underlying. It is important to understand that, for purposes of measuring the performance of the underlying,
the levels used will not reflect the receipt or reinvestment of dividends or distributions on the stocks that constitute the underlying.
Dividend or distribution yield on the stocks that constitute the underlying would be expected to represent a significant portion of the
overall return on a direct investment in the stocks that constitute the underlying, but will not be reflected in the performance of the
underlying as measured for purposes of the notes (except to the extent that dividends and distributions reduce the level of the underlying). |
| ¨ | The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. — Any payment on
the notes will be made by Citigroup Global Markets Holdings Inc. and is guaranteed by Citigroup Inc., and therefore is subject to the
credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our obligations under the notes and Citigroup
Inc. defaults on its guarantee obligations, you may not receive any payments that become due under the notes. As a result, the value of
the notes prior to maturity will be affected by changes in the market’s view of our and Citigroup Inc.’s creditworthiness.
Any decline, or anticipated decline, in either of our or Citigroup Inc.’s credit ratings or increase, or anticipated increase, in
the credit spreads charged by the market for taking either of our or Citigroup Inc.’s credit risk is likely to adversely affect
the value of the notes. |
| ¨ | 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 probability that the underlying will fall below the downside threshold on the final valuation date will depend in part on the
volatility of the underlying — “Volatility” refers to the frequency and magnitude of changes in the level of the
underlying. In general, the greater the volatility of the underlying, the greater the probability that the underlying will experience
a large decline over the term of the notes and fall below the downside threshold on the final valuation date. The underlying has historically
experienced significant volatility. As a result, there is a significant risk that the underlying will fall below the downside threshold
on the final valuation date, such that you will incur a significant loss on your investment in the notes. The terms of the notes are set,
in part, based on expectations about the volatility of the underlying as of the trade date. If expectations about the volatility of the
underlying change over the term of the notes, the value of the notes may be adversely affected, and if the actual volatility of the underlying
proves to be greater than initially expected, the notes may prove to be riskier than expected on the trade date. |
| ¨ | The estimated value of the notes on the trade 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) hedging and other costs incurred by us and our affiliates in connection
with the offering of the notes and (ii) 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 volatility of the underlying, dividend yields on the stocks that
constitute the underlying 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 coupon rate that is payable on the notes. |
Because there is not an active market for
traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of
traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the
notes, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted
for discretionary factors such as CGMI’s preferences with respect to purchasing the notes prior to maturity.
| ¨ | 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 — As described under “Valuation
of the Notes” below, the payout on the notes could be replicated by a hypothetical package of financial instruments consisting of
a fixed-income bond and one or more derivative instruments. As a result, the factors that influence the values of fixed-income bonds and
derivative instruments will also influence the terms of the notes at issuance and the value of the notes prior to maturity. Accordingly,
the value of your notes prior to maturity will fluctuate based on the level and volatility of the underlying and a number of other factors,
including the price and volatility of the stocks that constitute the underlying, dividend yields on the stocks that constitute the underlying,
interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary
market rate. Changes in the level of the underlying may not result in a comparable change in the value of your notes. You should understand
that the value of your notes at any time prior to maturity may be significantly less than the issue price. The stated payout from the
issuer only applies if you hold the notes to maturity or earlier issuer call, as applicable. |
| ¨ | 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 decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing
supplement. |
| ¨ | The Russell 2000® Index is subject to risks associated with small capitalization stocks — The stocks that
constitute the Russell 2000® Index are issued by companies with relatively small market capitalization.
The stock prices of smaller companies may be more volatile than the stock prices of large capitalization companies.
These companies tend to be less well-established than large market capitalization companies.
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. Small capitalization companies are less likely to pay
dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse
market conditions. |
| ¨ | Our offering of the notes is not a recommendation of the underlying — The fact that we are offering the notes does not
mean that we believe that investing in an instrument linked to the underlying is likely to achieve favorable returns. In fact, as we are
part of a global financial institution, our affiliates may have positions (including short positions) in the stocks that constitute the
underlying or in instruments related to the underlying or such stocks, and may publish research or express opinions, that in each case
are inconsistent with an investment linked to the underlying. These and other activities of our affiliates may affect the level of the
underlying in a way that has a negative impact on your interests as a holder of the notes. |
| ¨ | Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the notes — Any such research, opinions or recommendations could affect the closing level of the
underlying and the value of the notes. Our affiliates, and UBS and its affiliates, publish research from time to time on financial markets
and other matters that may influence the value of the notes, or express opinions or provide recommendations that may be inconsistent with
purchasing or holding the notes. Any research, opinions or recommendations expressed by our affiliates or by UBS or its affiliates may
not be consistent with each other and may be modified from time to time without notice. These and other activities of our affiliates or
UBS or its affiliates may adversely affect the level of the underlying and may have a negative impact on your interests as a holder of
the notes. Investors should make their own independent investigation of the merits of investing in the notes and the underlying to which
the notes are linked. |
| ¨ | Trading and other transactions by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets may
impair the value of the notes — We have hedged our exposure under the notes through CGMI or other of our affiliates, who have
entered into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded instruments, relating to
the underlying or the stocks included in the underlying and may adjust such positions during the term of the notes. It is possible that
our affiliates could receive substantial returns from these hedging activities while the value of the notes declines. Our affiliates and
UBS and its affiliates may also engage in trading in instruments linked to the underlying on a regular basis as part of their respective
general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions
for customers, including block transactions. Such trading and hedging activities may affect the level of the underlying and reduce the
return on your investment in the notes. Our affiliates or UBS or its affiliates may also issue or underwrite other securities or financial
or derivative instruments with returns linked or related to the underlying. By introducing competing products into the marketplace in
this manner, our affiliates or UBS or its affiliates could adversely affect the value of the notes. Any of the foregoing activities described
in this paragraph may reflect trading strategies that differ from, or are in direct opposition to, investors’ trading and investment
strategies relating to the notes. |
| ¨ | Our affiliates, or UBS or its affiliates, may have economic interests that are adverse to yours as a result of their respective
business activities — Our affiliates or UBS or its affiliates may currently or from time to time engage in business with the
issuers of the stocks that constitute the underlying, including extending loans to, making equity investments in or providing advisory
services to such issuers. In the course of this business, our affiliates or UBS or its affiliates may acquire non-public information about
those issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS or any of its affiliates is or becomes a
creditor of any such issuer, they may exercise any remedies against that issuer that are available to them without regard to your interests. |
| ¨ | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes —
If certain events occur, such as market disruption events or the discontinuance of the underlying, CGMI, as calculation agent, will be
required to |
make discretionary judgments that could
significantly affect the payments on the notes. Such judgments could include, among other things:
| ¨ | determining whether a market disruption event has occurred with respect to the underlying; |
| ¨ | if a market disruption event occurs on the final valuation date with respect to the underlying, determining whether to postpone the
final valuation date; |
| ¨ | determining the level of the underlying if the level of the underlying is not otherwise available or a market disruption event has
occurred; and |
| ¨ | selecting a successor underlying or performing an alternative calculation of the level of the underlying if the underlying is discontinued
or materially modified (see “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying
Index—Discontinuance or Material Modification of an Underlying Index” in the accompanying product supplement). |
In making these judgments, the calculation agent’s
interests as an affiliate of ours could be adverse to your interests as a holder of the notes.
| ¨ | Adjustments to the underlying may affect the value of your notes — FTSE Russell, as publisher of the Russell 2000®
Index, may add, delete or substitute the stocks that constitute the underlying or make other methodological changes that could affect
the level of the underlying. FTSE Russell may discontinue or suspend calculation or publication of the underlying at any time without
regard to your interests as holders of the notes. |
| ¨ | The U.S. federal tax consequences of an investment in the notes are unclear. There is
no direct legal authority regarding the proper U.S. federal tax treatment of the notes, and we do not plan to request a ruling from the
Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the notes are uncertain, and
the IRS or a court might not agree with the treatment of the notes as described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment of the notes, the tax consequences of the ownership and disposition
of the notes might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the notes, possibly retroactively. |
As described in “United States Federal
Tax Considerations” below, in connection with any information reporting requirements we may have in respect of the notes under applicable
law, we intend to treat a portion of each coupon payment as attributable to interest and the remainder to option premium. However, in
light of the uncertain treatment of the notes, it is possible that other persons having withholding or information reporting responsibility
in respect of the notes may treat a note differently, for instance, by treating the entire coupon payment as ordinary income at the time
received or accrued by a holder and/or treating some or all of each coupon payment on a note to a non-U.S. investor as subject to withholding
tax at a rate of 30%.
If withholding applies to the notes,
we will not be required to pay any additional amounts with respect to amounts withheld.
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon an issuer
call or at maturity for a $10.00 stated principal amount note with the following assumptions* (the actual terms of the notes are listed
on the cover page of this pricing supplement; amounts may have been rounded for ease of reference):
| t | Stated Principal Amount: $10 |
| t | Term: Approximately 1.25 years, unless called earlier |
| t | Hypothetical Initial Underlying Level: 100.00 |
| t | Hypothetical Coupon Rate: 9.25% per annum (or 0.771% per month) |
| t | Hypothetical Monthly Coupon Payment: $0.0771 per month per note |
| t | Issuer Call: Monthly, after approximately three months, as set forth on page PS-4 of this pricing supplement |
| t | Hypothetical Downside Threshold: 60.00, which is 60% of its hypothetical initial underlying level |
*The hypothetical contingent coupon rate does not represent the actual
contingent coupon rate. The actual contingent coupon rate is listed on the cover page of this pricing supplement. In addition, the examples
below are based on the above hypothetical values and do not reflect the actual initial underlying level or downside threshold. For the
actual initial underlying level and downside threshold, see the cover page of this pricing supplement. We have used these hypothetical
values, rather than the actual values, to simplify the calculations and aid understanding of how the securities work. However, you should
understand that any actual payments on the securities will be calculated based on the actual initial underlying level and downside threshold,
and not on the hypothetical values indicated below.
Example 1 — The notes are called on the third coupon payment
date.
Date |
|
Payment (per note) |
First Coupon Payment Date |
|
$0.0771 |
Second Coupon Payment Date |
|
$0.0771 |
Third Coupon Payment Date |
|
$10.0771 (principal amount plus coupon); notes are called |
|
Total Payment: |
$10.2313 (2.313% total return) |
Since the notes are not callable by us prior to the third coupon payment
date, we will pay you a coupon of $0.0771 per note on each of the first two coupon payment dates. However, the notes are called by us
in our sole discretion on the third coupon payment date and we will pay you a total of $10.0771 per note (equal to the stated principal
amount plus the coupon) on that coupon payment date. When added to the coupon payments of $0.1542 received with respect to the first two
coupon payment dates, you would have been paid a total of $10.2313 per note, representing a 2.313% total return on the notes over the
approximately three months the notes were outstanding before they were called by us in our sole discretion. You will not receive any further
payments on the notes.
Example 2 — The notes are NOT called and the final underlying
level is above the downside threshold.
Date |
Closing Level of The Underlying |
Payment (per note) |
First through Fourteenth Coupon Payment Dates |
N/A |
$1.0794 in total coupons; notes are not called |
Final Valuation Date |
80.00 (at or above downside threshold) |
$10.0771 (principal amount plus final coupon) |
|
|
|
Total Payment: |
$11.1565 (11.565%) total return) |
Since the notes are not called by us on any of the first fourteen coupon
payment dates, we will pay you a coupon of $0.0771 per note on each coupon payment date, for a total of $1.0794. Because the final underlying
level is greater than the downside threshold, we will pay you $10 per note (equal to the stated principal amount) on the maturity date,
in addition to the final coupon. When added to the coupon payments of $1.0794 received with respect to the first fourteen coupon payment
dates, you would have been paid a total of $11.1565 per note, representing a 11.565% total return on the notes over the 1.25-year term
of the notes.
Example 3 — Notes are NOT called and the final underlying level
is below the downside threshold.
Date |
Closing Level of The Underlying |
Payment (per note) |
First through Fourteenth Coupon Payment Dates |
N/A |
$1.0794 in total coupons; notes are not called |
Final Valuation Date |
30.00 (below downside threshold) |
Final coupon + [$10.00 × (1 + underlying return)] =
$0.0771 + [$10.00 × (1 +
-70.00%)] =
$0.0771 + ($10.00 × 0.30) =
$3.0771 |
|
|
|
Total Payment: |
$1.0794 + $3.0771 = $4.1565
(-58.435% total return) |
Since the notes are not called by us on any of the first fourteen coupon
payment dates, we will pay you a coupon of $0.0771 per note on each coupon payment date, for a total of $1.0794. On the final valuation
date, the underlying closes below the downside threshold. Therefore, at maturity, in addition to receiving the final coupon, investors
are exposed to the downside performance of the underlying and you will receive $3.0771 per note, which reflects the final coupon plus
a return reflecting the percentage decrease of the underlying from the trade date to the final valuation date. When added to the coupon
payments of $1.0794 received with respect to the first fourteen coupon payment dates, you would have been paid a total of $4.1565 per
note, representing a 58.435% loss on the notes over the 1.25-year term of the notes.
The Russell 2000®
Index
The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded
on a major U.S. exchange. It is calculated and maintained by FTSE Russell, a subsidiary of London Stock Exchange Group. The Russell 2000®
Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark of FTSE
Russell and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
Russell Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000® Index.
The graph below illustrates the performance of the Russell 2000®
Index from January 3, 2012 to November 29, 2022. The closing level of the Russell 2000® Index on November 29, 2022 was
1,836.551. We obtained the closing levels of the Russell 2000® Index from Bloomberg, and we have not participated in the
preparation of or verified such information. Currently, whereas the sponsor of the Russell 2000® Index publishes the official
closing level of the Russell 2000® Index to six decimal places, Bloomberg reports the closing level to three decimal places.
As a result, the closing level of the Russell 2000® Index reported by Bloomberg may be lower or higher than the official
closing level of the Russell 2000® Index published by the sponsor of the Russell 2000® Index. The historical
closing levels of the Russell 2000® Index should not be taken as an indication of future performance and no assurance can
be given as to the final underlying level or any future closing level of the Russell 2000® Index. We cannot give you assurance
that the performance of the Russell 2000® Index will result in a positive return on your initial investment and you could
lose a significant portion or all of the stated principal amount at maturity.
United States Federal Tax Considerations |
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the notes. In connection with any information reporting requirements
we may have in respect of the notes under applicable law, we intend (in the absence of an administrative determination or judicial ruling
to the contrary) to treat a note as a put option (the “Put Option”) written by you with respect to the underlying shares,
secured by a cash deposit equal to the stated principal amount of the note (the “Deposit”). In the opinion of our counsel,
Davis Polk & Wardwell LLP, which is based on current market conditions, this treatment of the notes is reasonable under current law;
however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld,
and that alternative treatments are possible. Under this treatment:
| · | a portion of each coupon payment made with respect to the notes will be attributable to interest on the Deposit; and |
| · | the remainder will represent premium attributable to your grant of the Put Option (“Put Premium”). |
We will treat 58.38% of each coupon payment as interest on the Deposit
and 41.62% as Put Premium.
Assuming the treatment of a note as a Put Option and a Deposit is respected,
amounts treated as interest on the Deposit should be taxed as ordinary interest income, while the Put Premium should not be taken into
account prior to maturity or disposition of the notes. See “United States Federal Tax Considerations—Tax Consequences to U.S.
Holders” in the accompanying product supplement.
We do not plan to request a ruling from the IRS regarding the treatment
of the notes. An alternative characterization of the notes could materially and adversely affect the tax consequences of ownership and
disposition of the notes, including the timing and character of income recognized. In addition, the U.S. Treasury Department and the IRS
requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar
financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. Furthermore,
members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the notes, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative tax treatments of the
notes and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in the
section of the accompanying product supplement entitled “United States Federal Tax Considerations,” if you are a Non-U.S.
Holder (as defined in the accompanying product supplement) of the notes, under current law you generally should not be subject to U.S.
federal withholding or income tax in respect of any amount paid to you with respect to the 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.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders—Dividend Equivalents under Section 871(m) of the Code” in the accompanying product supplement,
Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”)
generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“Underlying Securities”) or indices that include Underlying Securities. Section 871(m)
generally applies to instruments that substantially replicate the economic performance of one or more Underlying Securities, as determined
based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice, exempt financial
instruments issued prior to January 1, 2025 that do not have a “delta” of one. Based on the terms of the notes and representations
provided by us, our counsel is of the opinion that the notes should not be treated as transactions that have a “delta” of
one within the meaning of the regulations with respect to any Underlying Security and, therefore, should not be subject to withholding
tax under Section 871(m).
A determination that the notes are not subject to Section 871(m) is
not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend
on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application
of Section 871(m) to the notes.
While we currently do not intend to withhold on payments on the notes
to Non-U.S. Holders (subject to compliance with the applicable certification requirements and the discussion in the accompanying product
supplement regarding “FATCA”), in light of the uncertain treatment of the notes other persons having withholding or information
reporting responsibility in respect of the notes may treat some or all of each coupon payment on a note as subject to withholding tax
at a rate of 30%. Moreover, it is possible that in the future we may determine that we should withhold at a rate of 30% on coupon payments
on the notes. We will not be required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the notes.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the notes and any tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
Supplemental Plan of Distribution |
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
lead agent for the sale of the notes, will not receive an underwriting discount for any note sold in this offering. UBS, as agent for
sales of the notes, has agreed to purchase from CGMI, and CGMI has agreed to
sell to UBS, all of the notes sold in this offering for $10.00 per note.
UBS proposes to offer the notes to the public at a price of $10.00 per note. UBS will not receive any underwriting discount for any note
it sells in this offering. Investors that purchase and hold the notes in fee-based advisory accounts will pay advisory fees to UBS based
on the amount of assets held in those accounts. If all of the notes are not sold at the initial offering price, CGMI may change the public
offering price and other selling terms. For the avoidance of doubt, the underwriting discount will not be rebated if the notes are called
by the issuer prior to maturity.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in the accompanying prospectus supplement and prospectus for additional
information.
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 “Summary 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 or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
During a temporary adjustment period immediately 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 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 over the temporary adjustment period. CGMI currently
expects that the temporary adjustment period will be approximately three months, but the actual length of the temporary adjustment period
may be shortened due to various factors, such as the volume of secondary market purchases of the notes and other factors that cannot be
predicted. However, CGMI is not obligated to buy the notes from investors at any time. See “Summary Risk Factors—The notes
will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the notes offered by this pricing supplement have been executed and issued by
Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor,
such notes and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings Inc.
and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this 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 opinions set forth below of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets
Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc. In addition, this opinion is subject
to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021, which has been filed as an exhibit to
a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been duly authorized, executed and delivered
by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the notes nor the issuance and delivery
of the notes and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc. with the terms
of the notes and the related guarantee respectively, will result in a violation of any provision of any instrument or agreement then binding
upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by any court or governmental
body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the 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 Global Markets Holdings Inc. has duly authorized
the issuance and sale of such notes and such authorization has not been modified or rescinded; (ii) Citigroup Global Markets Holdings
Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been duly authorized, executed
and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture and of the notes offered
by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global Markets Holdings Inc. of
its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other
constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New
York.
Alexia Breuvart, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Global Markets Holdings Inc.), the
authenticity of all documents submitted to her or such persons as originals,
the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the authenticity
of the originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the
guarantee of such notes by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly existing
and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered by
Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination,
she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers
of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents
of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
© 2022 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
Citigroup (NYSE:C)
Historical Stock Chart
From Mar 2024 to May 2024
Citigroup (NYSE:C)
Historical Stock Chart
From May 2023 to May 2024