Citigroup Global Markets Holdings Inc. |
December 5, 2022
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2022-USNCH15215
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03 |
Contingent Coupon Equity Linked Securities Linked to the
S&P 500® Index Due June 10, 2024
| ▪ | The securities offered by this pricing supplement are unsecured
debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The securities offer the potential
for periodic contingent coupon payments at an annualized rate that, if all are paid, would produce a yield that is generally higher than
the yield on our conventional debt securities of the same maturity. In exchange for this higher potential yield, you must be willing
to accept the risks that (i) your actual yield may be lower than the yield on our conventional debt securities of the same maturity because
you may not receive one or more, or any, contingent coupon payments and (ii) the value of what you receive at maturity may be significantly
less than the stated principal amount of your securities. Each of these risks will depend on the performance of the underlying specified
below. Although you will have downside exposure to the underlying, you will not receive dividends with respect to the underlying or participate
in any appreciation of the underlying. |
| ▪ | Investors in the securities must be willing to accept (i) an
investment that may have limited or no liquidity and (ii) the risk of not receiving any payments due under the securities if we and Citigroup
Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings
Inc. and Citigroup Inc. |
KEY TERMS |
Issuer: |
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. |
Guarantee: |
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc. |
Underlying: |
The S&P 500® Index |
Stated principal amount: |
$1,000 per security |
Strike date: |
December 1, 2022 |
Pricing date: |
December 5, 2022 |
Issue date: |
December 8, 2022 |
Valuation dates: |
March 6, 2023, June 5, 2023, September 5, 2023, December 5, 2023, March 5, 2024 and June 5, 2024 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur |
Maturity date: |
June 10, 2024 |
Contingent coupon payment dates: |
The third business day after each valuation date, except that the contingent coupon payment date following the final valuation date will be the maturity date |
Contingent coupon: |
On each contingent coupon payment date, the securities will pay a contingent coupon equal to 1.75% of the stated principal amount of the securities (equivalent to a contingent coupon rate of approximately 7.00% per annum) if and only if the closing value of the underlying on the immediately preceding valuation date is greater than or equal to the coupon barrier value. If the closing value of the underlying on any valuation date is less than the coupon barrier value, you will not receive any contingent coupon payment on the immediately following contingent coupon payment date. |
Payment at maturity: |
You will receive at maturity for each security you then hold (in addition
to the final contingent coupon payment, if applicable):
§
If the final underlying value is greater than or equal to the final buffer value:
$1,000
§
If the final underlying value is less than the final buffer value:
$1,000 + [$1,000 × (the underlying return + the buffer
percentage)]
If the final underlying value is less than the final buffer value, which
means that the underlying has depreciated from the initial underlying value by more than the buffer percentage, you will lose 1% of the
stated principal amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage. |
Initial underlying value: |
4,076.57, the closing value of the underlying on the strike date |
Final underlying value: |
The closing value of the underlying on the final valuation date |
Coupon barrier value: |
3,261.256, 80.00% of the initial underlying value |
Final buffer value: |
3,261.256, 80.00% of the initial underlying value |
Buffer percentage: |
20.00% |
Underlying return: |
(i) The final underlying value minus the initial underlying value, divided by (ii) the initial underlying value |
Listing: |
The securities will not be listed on any securities exchange |
CUSIP / ISIN: |
17330YX21 / US17330YX210 |
Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
Underwriting fee and issue price: |
Issue price(1) |
Underwriting fee(2) |
Proceeds to issuer(3) |
Per security: |
$1,000.00 |
$12.50 |
$987.50 |
Total: |
$500,000.00 |
$6,250.00 |
$493,750.00 |
(1) On the date of this pricing supplement,
the estimated value of the securities is $972.90 per security, which is less than the issue price. The estimated value of the securities
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 securities
from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) CGMI will receive an underwriting
fee of up to $12.50 for each security sold in this offering. The total underwriting fee and proceeds to issuer in the table above give
effect to the actual total underwriting fee. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable
selling concession of up to $12.50 for each security they sell. In addition, CGMI will pay selected dealers not affiliated with CGMI
a structuring fee of up to $3.00 for each security they sell. For more information on the distribution of the securities, see “Supplemental
Plan of Distribution” in this pricing supplement. 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 securities declines. See “Use of Proceeds and Hedging”
in the accompanying prospectus.
(3) The per security proceeds to issuer
indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting
fee. As noted above, the underwriting fee is variable.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-5.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary
is a criminal offense.
You should read this pricing supplement together
with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks
below:
Product Supplement No. EA-04-09 dated May 11, 2021 Underlying Supplement No. 10 dated May 11, 2021
Prospectus Supplement and Prospectus each dated May 11, 2021
The securities 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.
Citigroup Global Markets Holdings Inc. |
|
Additional Information
The terms of the securities are set forth in the accompanying product
supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus
supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the accompanying
product supplement contains important information about how the closing value of the underlying will be determined and about adjustments
that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events with respect
to the underlying. The accompanying underlying supplement contains information about the underlying that is not repeated in this pricing
supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus
together with this pricing supplement in connection with your investment in the securities. Certain terms used but not defined in this
pricing supplement are defined in the accompanying product supplement.
Citigroup Global Markets Holdings Inc. |
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Hypothetical Examples
The examples in the first section below illustrate how to determine
whether a contingent coupon will be paid following a valuation date. The examples in the second section below illustrate how to determine
the payment at maturity on the securities. The examples are solely for illustrative purposes, do not show all possible outcomes and are
not a prediction of any payment that may be made on the securities.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying value, coupon barrier value or final buffer value. For the actual initial underlying value,
coupon barrier value and final buffer value, 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 the actual payments on the securities will be calculated based on the actual initial underlying value, coupon barrier value and final
buffer value, and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded.
Hypothetical initial underlying value: |
100.00 |
Hypothetical coupon barrier value: |
80.00 (80.00% of the hypothetical initial underlying value) |
Hypothetical final buffer value: |
80.00 (80.00% of the hypothetical initial underlying value) |
Hypothetical Examples of Contingent Coupon Payments
Following a Valuation Date
The hypothetical examples below illustrate how to determine whether
a contingent coupon will be paid following a hypothetical valuation date, assuming that the closing value of the underlying on the hypothetical
valuation date is as indicated below.
|
Hypothetical closing value of the underlying on hypothetical valuation date |
Hypothetical payment per $1,000.00 security on related contingent coupon payment date |
Example 1 |
85
(greater than coupon barrier value) |
$17.50
(contingent coupon is paid) |
Example 2 |
45
(less than coupon barrier value) |
$0.00
(no contingent coupon) |
Example 1: On the hypothetical
valuation date, the closing value of the underlying is greater than the coupon barrier value. As a result, investors in the securities
would receive the contingent coupon payment on the related contingent coupon payment date.
Example 2: On the hypothetical
valuation date, the closing value of the underlying is less than the coupon barrier value. As a result, investors would not receive any
payment on the related contingent coupon payment date.
Investors in the securities will not receive a contingent coupon
on the contingent coupon payment date following a valuation date if the closing value of the underlying on that valuation date is less
than the coupon barrier value.
Hypothetical Examples of the Payment at Maturity
on the Securities
The next three hypothetical examples illustrate the calculation of the
payment at maturity on the securities, assuming that the final underlying value is as indicated below.
|
Hypothetical final underlying value |
Hypothetical payment at maturity per $1,000.00 security |
Example 3 |
110
(greater than final buffer value) |
$1,017.50
(contingent coupon is paid) |
Example 4 |
30
(less than final buffer value) |
$500.00 |
Example 5 |
20
(less than final buffer value) |
$400.00 |
Example 3: The final underlying
value is greater than the final buffer value. Accordingly, at maturity, you would receive the stated principal amount of the securities
plus the contingent coupon payment due at maturity, but you would not participate in the appreciation of the underlying.
Example 4: The final underlying
value is less than the final buffer value. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000.00 + [$1,000.00 × (the underlying
return + the buffer percentage)]
= $1,000.00 + [$1,000.00 × (-70.00% + 20.00%)]
= $1,000.00 + ($1,000.00 ×-50.00%)
= $1,000.00 + -$500.00
= $500.00
In this scenario, because the final underlying value is less than the
final buffer value, you would lose a significant portion of your investment in the securities. Your payment at maturity would reflect
a loss of 1% of the stated principal amount of your securities for every 1% by which the depreciation of the underlying has exceeded the
buffer percentage. In addition, because the final underlying value is below the coupon barrier value, you would not receive any contingent
coupon payment at maturity.
Citigroup Global Markets Holdings Inc. |
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Example 5: The final underlying
value is less than the final buffer value. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000.00 + [$1,000.00 × (the underlying
return + the buffer percentage)]
= $1,000.00 + [$1,000.00 × (-80.00% + 20.00%)]
= $1,000.00 + ($1,000.00 ×-60.00%)
= $1,000.00 + -$600.00
= $400.00
In this scenario, because the final underlying value is less than the
final buffer value, you would lose a significant portion of your investment in the securities. Your payment at maturity would reflect
a loss of 1% of the stated principal amount of your securities for every 1% by which the depreciation of the underlying has exceeded the
buffer percentage. In addition, because the final underlying value is below the coupon barrier value, you would not receive any contingent
coupon payment at maturity.
It is possible that the closing value of the underlying will be less
than the coupon barrier value on each valuation date and less than the final buffer value on the final valuation date, such that you will
not receive any contingent coupon payments over the term of the securities and will receive significantly less than the stated principal
amount of your securities at maturity.
Citigroup Global Markets Holdings Inc. |
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Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with the underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
| § | You may lose a significant portion of your investment. Unlike conventional debt securities, the securities do not provide for
the repayment of the stated principal amount at maturity in all circumstances. Your payment at maturity will depend on the final underlying
value. If the final underlying value is less than the final buffer value, which means that the underlying has depreciated from the initial
underlying value by more than the buffer percentage, you will lose 1% of the stated principal amount of your securities for every 1% by
which that depreciation exceeds the buffer percentage. |
| § | The initial underlying value, which was set on the strike date, may be higher than the closing value of the underlying on the pricing
date. If the closing value of the underlying on the pricing date is less than the initial underlying value that was set on the strike
date, the terms of the securities may be less favorable to you than the terms of an alternative investment that may be available to you
that offers a similar payout as the securities but with the initial underlying value set on the pricing date. |
| § | You will not receive any contingent coupon on the contingent coupon payment date following any valuation date on which the closing
value of the underlying is less than the coupon barrier value. A contingent coupon payment will be made on a contingent coupon payment
date if and only if the closing value of the underlying on the immediately preceding valuation date is greater than or equal to the coupon
barrier value. If the closing value of the underlying on any valuation date is less than the coupon barrier value, you will not receive
any contingent coupon payment on the immediately following contingent coupon payment date. If the closing value of the underlying on each
valuation date is below the coupon barrier value, you will not receive any contingent coupon payments over the term of the securities. |
| § | Higher contingent coupon rates are associated with greater risk. The securities offer contingent coupon payments at an annualized
rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same
maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing date for the securities, including
the risk that you may not receive a contingent coupon payment on one or more, or any, contingent coupon payment dates and the risk that
the value of what you receive at maturity may be significantly less than the stated principal amount of your securities. The volatility
of the closing value of the underlying is an important factor affecting these risks. Greater expected volatility of the closing value
of the underlying as of the pricing date may result in a higher contingent coupon rate, but would also represent a greater expected likelihood
as of the pricing date that the closing value of the underlying on one or more valuation dates will be less than the coupon barrier value,
such that you will not receive one or more, or any, contingent coupon payments during the term of the securities and that the final underlying
value will be less than the final buffer value, such that you will not be repaid the stated principal amount of your securities at maturity. |
| § | You may not be adequately compensated for assuming the downside risk of the underlying. The potential contingent coupon payments
on the securities are the compensation you receive for assuming the downside risk of the underlying, as well as all the other risks of
the securities. That compensation is effectively “at risk” and may, therefore, be less than you currently anticipate. First,
the actual yield you realize on the securities could be lower than you anticipate because the coupon is “contingent” and you
may not receive a contingent coupon payment on one or more, or any, of the contingent coupon payment dates. Second, the contingent coupon
payments are the compensation you receive not only for the downside risk of the underlying, but also for all of the other risks of the
securities, interest rate risk and our and Citigroup Inc.’s credit risk. If those other risks increase or are otherwise greater
than you currently anticipate, the contingent coupon payments may turn out to be inadequate to compensate you for all the risks of the
securities, including the downside risk of the underlying. |
| § | The securities offer downside exposure to the underlying, but no upside exposure to the underlying. You will not participate
in any appreciation in the value of the underlying over the term of the securities. Consequently, your return on the securities will be
limited to the contingent coupon payments you receive, if any, and may be significantly less than the return on the underlying over the
term of the securities. In addition, as an investor in the securities, you will not receive any dividends or other distributions or have
any other rights with respect to the underlying. |
| § | The performance of the securities will depend on the closing value of the underlying solely on the valuation dates, which makes
the securities particularly sensitive to volatility in the closing value of the underlying on or near the valuation dates. Whether
the contingent coupon will be paid on any given contingent coupon payment date will depend on the closing value of the underlying solely
on the applicable valuation dates, regardless of the closing value of the underlying on other days during the term of the securities.
What you receive at maturity will depend solely on the closing value of the underlying on the final valuation date, and not on any other
day during the term of the securities. Because the performance of the securities depends on the closing value of the underlying on a limited
number of dates, the securities will be particularly sensitive to volatility in the closing value of the underlying on or near the valuation
dates. You should understand that the closing value of the underlying has historically been highly volatile. |
Citigroup Global Markets Holdings Inc. |
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| § | The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities. |
| § | The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities 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 securities 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 securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity. |
| § | The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the securities 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 securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below. |
| § | The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of the closing value of the underlying, the dividend
yield on 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 securities. Moreover, the estimated value of the securities set
forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities
for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value. |
| § | The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. 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 securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on 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 securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not an interest rate that is payable on the securities. |
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, 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 securities, 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 securities prior to maturity.
| § | The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities 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 securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price. |
| § | The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the closing value of the underlying, the volatility of the closing value of the underlying,
the dividend yield on the underlying, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness,
as reflected in our secondary market rate, among other factors described under “Risk Factors Relating to the Securities—Risk
Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based on many unpredictable factors”
in the accompanying product supplement. Changes in the closing value of the underlying may not result in a comparable change in the value
of your securities. You should understand that the value of your securities at any time prior to maturity may be significantly less than
the 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 |
Citigroup Global Markets Holdings Inc. |
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temporary upward adjustment will steadily
decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing supplement.
| § | Our offering of the securities is not a recommendation of the underlying. The fact that we are offering the securities 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 underlying or in instruments
related to the underlying, 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 closing value of the underlying in a way that negatively
affects the value of and your return on the securities. |
| § | The closing value of the underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions in the underlying
or in financial instruments related to the underlying and may adjust such positions during the term of the securities. Our affiliates
also take positions in the underlying or in financial instruments related to the underlying on a regular basis (taking long or short positions
or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These activities
could affect the closing value of the underlying in a way that negatively affects the value of and your return on the securities. They
could also result in substantial returns for us or our affiliates while the value of the securities declines. |
| § | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlying
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates may acquire
non-public information, which will not be disclosed to you. |
| § | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur during the term of the securities, such as market disruption events and other events with respect to the underlying,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities.
In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder
of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product
supplement. |
| § | Changes that affect the underlying may affect the value of your securities. The sponsor of the underlying may at any time make
methodological changes or other changes in the manner in which it operates that could affect the value of the underlying. We are not affiliated
with the underlying sponsor and, accordingly, we have no control over any changes such sponsor may make. Such changes could adversely
affect the performance of the underlying and the value of and your return on the securities. |
| § | The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment of the securities as described in “United States Federal Tax Considerations” below. If the IRS
were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the
securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the securities, possibly retroactively. |
Non-U.S. investors should note that persons
having withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc. |
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Information About the S&P 500® Index
The S&P 500® Index consists of the common stocks
of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—
The S&P U.S. Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the S&P 500®
Index from publicly available information and have not independently verified any information regarding the S&P 500®
Index. This pricing supplement relates only to the securities and not to the S&P 500® Index. We make no representation
as to the performance of the S&P 500® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index is not involved in any way in this offering
and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the S&P 500® Index on December
1, 2022 was 4,076.57.
The graph below shows the closing value of the S&P 500®
Index for each day such value was available from January 3, 2012 to December 1, 2022. We obtained the closing values from Bloomberg L.P.,
without independent verification. You should not take historical closing values as an indication of future performance.
S&P 500® Index – Historical Closing Values
January 3, 2012 to December 1, 2022 |
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Citigroup Global Markets Holdings Inc. |
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United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, this treatment
of the securities is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that
this treatment is more likely than not to be upheld, and that alternative treatments are possible.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
| · | Any coupon payments on the securities should be taxable as
ordinary income to you at the time received or accrued in accordance with your regular method of accounting for U.S. federal income tax
purposes. |
| · | Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to the difference
between the amount realized and your tax basis in the security. For this purpose, the amount realized does not include any coupon paid
on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment. Such gain
or loss should be long-term capital gain or loss if you held the security for more than one year. |
We do not plan to request a ruling
from the IRS regarding the treatment of the securities. An alternative characterization of the securities could materially and adversely
affect the tax consequences of ownership and disposition of the securities, including the timing and character of income recognized. In
addition, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment
of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the subject
of future regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative
contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and
adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax
adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold
on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a rate of 30%. To the
extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities, we intend to so withhold. In
order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to establish
that you are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should consult
your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any amounts withheld
and the certification requirement described above.
As discussed under “United
States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m)
of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S.
Underlying Equities”) or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially
replicate the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury
regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2025 that
do not have a “delta” of one. Based on the terms of the securities and representations provided by us, our counsel is of the
opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations
with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the securities
are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is
complex and its application may depend on your particular circumstances, including your other transactions. You should consult your tax
adviser regarding the potential application of Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect to
amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc. |
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Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $12.50 for each security
sold in this offering. The actual underwriting fee will 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 $12.50 for each security they sell. In addition, CGMI will pay selected dealers not affiliated with CGMI a structuring fee of up
to $3.00 for each security they sell.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by 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 securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity of the
Securities
In the opinion of Davis Polk &
Wardwell LLP, as special products counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement
have been executed and issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and
delivered against payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations
of Citigroup Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable
principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement and is limited to the laws of
the State of New York, except that such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the
securities.
In giving this opinion, Davis
Polk & Wardwell LLP has assumed the legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and
General Counsel of Citigroup Global Markets Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup
Inc. In addition, this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021,
which has been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been
duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms
of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets
Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result in a violation of
any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable,
or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup
Inc., as applicable.
In the opinion of Alexia Breuvart,
Secretary and General Counsel of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement
have been duly established under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global
Markets Holdings Inc. has duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded;
(ii) Citigroup Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the
indenture has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance
by Citigroup Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate
of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited
to the laws of the State of New York.
Alexia Breuvart, or other internal
attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her
satisfaction, of such corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate
as a basis for the opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all
Citigroup Global Markets Holdings Inc. |
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documents submitted to her or
such persons as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic
copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi,
Associate General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof)
of Citigroup Inc. has duly authorized the guarantee of such securities by Citigroup Inc. and such authorization has not been modified
or rescinded; (ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance
by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation
or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the General
Corporation Law of the State of Delaware.
Barbara Politi, or other internal
attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her
satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the
opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness
of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons
as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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.
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