Citigroup Global Markets Holdings Inc. |
December 6, 2022
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2022-USNCH15145
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03 |
Autocallable Barrier Securities Linked to the iShares®
MSCI Emerging Markets ETF Due December 11, 2025
| ▪ | The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and
guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest, do not guarantee the repayment of
principal at maturity and are subject to potential automatic early redemption on a periodic basis on the terms described below. Your return
on the securities will depend on the performance of the underlying specified below. |
| ▪ | The securities offer the potential for automatic early redemption at a premium following the valuation date prior to the final valuation
date if the closing value of the underlying is greater than or equal to the initial underlying value. If the securities are not automatically
redeemed prior to maturity, the securities will no longer offer the opportunity to receive a premium, but instead, at maturity, will provide
for (i) the opportunity to participate in any appreciation of the underlying from the initial underlying value at the upside participation
rate specified below and (ii) contingent repayment of the stated principal amount at maturity if the underlying depreciates, but only
so long as the final underlying value is greater than or equal to the final barrier value specified below. However, if the securities
are not automatically redeemed prior to maturity and the final underlying value is less than the final barrier value, you will lose 1%
of the stated principal amount of your securities for every 1% by which the final underlying value is less than the initial underlying
value. 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 iShares® MSCI Emerging Markets ETF |
Stated principal amount: |
$1,000 per security |
Pricing date: |
December 6, 2022 |
Issue date: |
December 9, 2022 |
Valuation dates: |
December 6, 2023 and December 8, 2025 (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: |
Unless earlier redeemed, December 11, 2025 |
Automatic early redemption: |
If, on the valuation date prior to the final valuation date, the closing value of the underlying is greater than or equal to the initial underlying value, the securities will be automatically redeemed on the third business day immediately following that valuation date for an amount in cash per security equal to $1,000 plus the premium applicable to that valuation date. If the securities are automatically redeemed following the valuation date prior to the final valuation date, they will cease to be outstanding and you will not have the opportunity to participate in any appreciation of the underlying. |
Premium: |
The premium applicable to the valuation date prior to the final valuation
date is the percentage of the stated principal amount indicated below. The premium may be significantly less than the appreciation
of the underlying from the pricing date to the valuation date prior to the final valuation date.
• December 6, 2023: 15.00%
of the stated principal amount |
Payment at maturity: |
If the securities are not automatically redeemed prior to maturity,
you will receive at maturity for each security you then hold:
§
If the final underlying value is greater
than the initial underlying value:
$1,000 + the return amount
§
If the final underlying value is less
than or equal to the initial underlying value but greater than or equal to the final barrier value:
$1,000
§
If the final underlying value is less
than the final barrier value:
$1,000 + ($1,000 × the underlying return)
If the securities are not automatically redeemed prior to maturity
and the final underlying value is less than the final barrier value, you will receive significantly less than the stated principal amount
of your securities, and possibly nothing, at maturity. |
Initial underlying value: |
$39.04, the closing value of the underlying on the pricing date |
Final underlying value: |
The closing value of the underlying on the final valuation date |
Underlying return: |
(i) The final underlying value minus the initial underlying value, divided by (ii) the initial underlying value |
Final barrier value: |
$23.424, 60.00% of the initial underlying value |
Return amount: |
$1,000 × the underlying return × the upside participation rate |
Upside participation rate: |
170.00% |
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: |
17330YEZ9 / US17330YEZ97 |
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 |
$7.50 |
$992.50 |
Total: |
$600,000.00 |
$4,500.00 |
$595,500.00 |
(1) On the date of this pricing supplement, the estimated value of the
securities is $976.30 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 $7.50 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. 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:
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
General. 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 deciding whether to invest in the securities. Certain terms used but not defined
in this pricing supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of the underlying
on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement. The “underlying
shares” of the underlying are its shares that are traded on a U.S. national securities exchange. Please see the accompanying product
supplement for more information.
Citigroup Global Markets Holdings Inc. |
|
Hypothetical Payment Upon Automatic Early Redemption
The following table illustrates how the amount payable per security
upon automatic early redemption will be calculated if the closing value of the underlying on the valuation date prior to the final valuation
date is greater than or equal to the initial underlying value.
If the closing value of the underlying on the valuation date below is greater than or equal to the initial underlying value... |
...then you will receive the following payment per security upon automatic early redemption: |
December 6, 2023 |
$1,000.00 + applicable premium = $1,000.00 + $150.00 = $1,150.00 |
If, on the valuation date prior to the final valuation date, the
closing value of the underlying is less than the initial underlying value, you will not receive the premium indicated above following
that valuation date. In order to receive the premium indicated above, the closing value of the underlying on the applicable valuation
date must be greater than or equal to the initial underlying value.
Payment at Maturity Diagram
The diagram below illustrates your payment at maturity of the securities,
assuming the securities have not previously been automatically redeemed, for a range of hypothetical underlying returns.
Investors in the securities will not receive any dividends with respect
to the underlying. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities. See
“Summary Risk Factors—You will not receive dividends or have any other rights with respect to the underlying” below.
Payment at Maturity Diagram |
|
n The Securities |
n The Underlying |
Citigroup Global Markets Holdings Inc. |
|
Hypothetical Examples of the Payment at Maturity
The examples below are intended to illustrate how, if the securities
are not automatically redeemed prior to maturity, your payment at maturity will depend on the final underlying value. Your actual payment
at maturity per security, if the securities are not automatically redeemed prior to maturity, will depend on the actual final underlying
value. 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 or final barrier value. For the actual initial underlying value and final barrier 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 payment at maturity on the
securities will be calculated based on the actual initial underlying value and final barrier value, and not the hypothetical values indicated
below. For ease of analysis, figures below have been rounded.
Hypothetical initial underlying value: |
$100.00 |
Hypothetical final barrier value: |
$60.00 (60.00% of the hypothetical initial underlying value) |
Example 1—Upside Scenario. The final underlying value is
$105.00, resulting in a 5.00% underlying return. In this example, the final underlying value is greater than the initial underlying
value.
Payment at maturity per security = $1,000 + the return amount
= $1,000 + ($1,000 × the underlying return × the upside
participation rate)
= $1,000 + ($1,000 × 5.00% × 170.00%)
= $1,000 + $85.00
= $1,085.00
In this scenario, the underlying has appreciated from the initial underlying
value to the final underlying value, and your total return at maturity would equal the underlying return multiplied by the upside
participation rate.
Example 2—Par Scenario. The final underlying value is $95.00,
resulting in a -5.00% underlying return. In this example, the final underlying value is less than the initial underlying value
but greater than the final barrier value.
Payment at maturity per security = $1,000
In this scenario, the underlying has depreciated from the initial underlying
value to the final underlying value so that the final underlying value is less than the initial underlying value but not below the final
barrier value. As a result, you would be repaid the stated principal amount of your securities at maturity but would not receive any positive
return on your investment.
Example 3—Downside Scenario. The final underlying value
is $30.00, resulting in a -70.00% underlying return. In this example, the final underlying value is less than the final barrier
value.
Payment at maturity per security = $1,000 + ($1,000 × the underlying
return)
= $1,000 + ($1,000 × -70.00%)
= $1,000 + -$700.00
= $300.00
In this scenario, the underlying has depreciated from the initial underlying
value to the final underlying value and the final underlying value is less than the final barrier value. As a result, your total return
at maturity in this scenario would be negative and would reflect 1-to-1 exposure to the negative performance of the underlying.
Citigroup Global Markets Holdings Inc. |
|
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 or all 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. If the securities are not automatically redeemed prior
to maturity, your payment at maturity will depend on the final underlying value. If the final underlying value is less than the final
barrier value, you will lose 1% of the stated principal amount of your securities for every 1% by which the underlying has declined from
the initial underlying value. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment. |
| § | The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest prior to maturity.
You should not invest in the securities if you seek current income during the term of the securities. |
| § | The securities may be automatically redeemed prior to maturity, limiting the term of the securities. If the closing value of
the underlying on the valuation date prior to the final valuation date is greater than or equal to the initial underlying value, the securities
will be automatically redeemed. If the securities are automatically redeemed following the valuation date prior to the final valuation
date, they will cease to be outstanding and you will not have the opportunity to participate in any appreciation of the underlying. Moreover,
you may not be able to reinvest your funds in another investment that provides a similar yield with a similar level of risk. |
| § | You will not receive dividends or have any other rights with respect to the underlying. You will not receive any dividends
with respect to the underlying. This lost dividend yield may be significant over the term of the securities. The payment scenarios described
in this pricing supplement do not show any effect of such lost dividend yield over the term of the securities. In addition, you will not
have voting rights or any other rights with respect to the underlying or the stocks included in the underlying. |
| § | The performance of the securities will depend on the closing values of the underlying solely on the valuation dates, which makes
the securities particularly sensitive to volatility in the closing values of the underlying on or near the valuation dates. Whether
the securities will be automatically redeemed prior to maturity will depend on the closing values of the underlying solely on the valuation
date prior to the final valuation date, regardless of the closing values of the underlying on other days during the term of the securities.
If the securities are not automatically redeemed prior to maturity, 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 values of the underlying on a limited number of dates, the securities will be particularly sensitive
to volatility in the closing values of the underlying on or near the valuation dates. You should understand that the closing value of
the underlying has historically been highly volatile. |
| § | 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 |
Citigroup Global Markets Holdings Inc. |
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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 temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement. |
| § | The underlying is subject to risks associated with emerging markets. The stocks included in the underlying have been issued
by companies in various foreign emerging markets. Foreign equity securities involve risks associated with the securities markets in foreign
countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies
in certain countries. There is also generally less publicly available information about foreign companies than about U.S. companies that
are subject to the reporting requirements of the Securities and Exchange Commission, and foreign companies are subject to accounting,
auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of
securities in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions,
including changes in government, economic and fiscal policies and currency exchange laws. Stocks issued by companies in emerging markets
may be subject to heightened risks, including risks of relatively unstable governments, nationalization of businesses, restrictions on
foreign ownership, prohibitions on the repatriation of assets and less protection of property rights. The economies of countries with
emerging markets may be based on only a few industries, be highly vulnerable to changes in local or global trade conditions and suffer
from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and be unable
to respond effectively to increases in trading volume, potentially increasing price volatility. Moreover, the economies in such countries
may differ unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation,
capital reinvestment, resources and self-sufficiency. |
| § | Fluctuations in exchange rates will affect the closing value of the iShares® MSCI Emerging Markets ETF. Because
the iShares® MSCI Emerging Markets ETF includes stocks that trade outside the United States and the closing value of the
iShares® MSCI Emerging Markets ETF is based on the U.S. dollar value of those stocks, the iShares® MSCI
Emerging Markets ETF is subject to currency exchange rate risk with respect to each of the currencies in which such stocks trade. Exchange
rate movements may be volatile and may be driven by numerous factors specific to the relevant countries, including the supply of, and
the demand for, the applicable currencies, as well as government policy and intervention and macroeconomic factors. Exchange rate movements
may also be influenced significantly by speculative trading. In general, if the U.S. dollar strengthens against the currencies in which
the stocks included in the |
Citigroup Global Markets Holdings Inc. |
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iShares® MSCI Emerging Markets
ETF trade, the closing value of the iShares® MSCI Emerging Markets ETF will be adversely affected for that reason alone.
| § | 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 expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take 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. |
| § | Even if the underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the
securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general, an adjustment
will not be made under the terms of the securities for any cash dividend paid by the underlying unless the amount of the dividend per
share, together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an
amount equal to at least 10% of the closing value of the underlying on the date of declaration of the dividend. Any dividend will reduce
the closing value of the underlying by the amount of the dividend per share. If the underlying pays any dividend for which an adjustment
is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” in the accompanying product supplement. |
| § | The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the closing
value of the underlying. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not
meet the criteria described above, partial tender offers or additional underlying share issuances. Moreover, the adjustments we do make
may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by
such an event in a circumstance in which a direct holder of the underlying shares would not. |
| § | The securities may become linked to an underlying other than the original underlying upon the occurrence of a reorganization event
or upon the delisting of the underlying shares. For example, if the underlying enters into a merger agreement that provides for holders
of the underlying shares to receive shares of another entity and such shares are marketable securities, the closing value of the underlying
following consummation of the merger will be based on the value of such other shares. Additionally, if the underlying shares are delisted,
the calculation agent may select a successor underlying. See “Description of the Securities—Certain Additional Terms for Securities
Linked to an Underlying Company or an Underlying ETF” in the accompanying product supplement. |
| § | The value and performance of the underlying shares may not completely track the performance of the underlying index that the underlying
seeks to track or the net asset value per share of the underlying. The underlying does not fully replicate the underlying index that
it seeks to track and may hold securities different from those included in its underlying index. In addition, the performance of the underlying
will reflect additional transaction costs and fees that are not included in the calculation of its underlying index. All of these factors
may lead to a lack of correlation between the performance of the underlying and its underlying index. In addition, corporate actions with
respect to the equity securities held by the underlying (such as mergers and spin-offs) may impact the variance between the performance
of the underlying and its underlying index. Finally, because the underlying shares are traded on an exchange and are subject to market
supply and investor demand, the closing value of the underlying may differ from the net asset value per share of the underlying. |
During periods of market volatility, securities included in
the underlying’s underlying index may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the underlying and the liquidity of the underlying may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of the underlying. Further, market volatility may adversely
affect, sometimes materially, the price at which market participants are willing to buy and sell the underlying shares. As a result, under
these circumstances, the closing value of the underlying may vary substantially from the net asset value per share of the underlying.
For all of the foregoing reasons, the performance of the
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underlying may not correlate with the performance of its underlying
index and/or its net asset value per share, which could materially and adversely affect the value of the securities and/or reduce your
return on the securities.
| § | 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 prepaid forward contracts. 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.
Even if the treatment of the securities as prepaid forward contracts is respected, a security may be treated as a “constructive
ownership transaction,” with potentially adverse consequences described below under “United States Federal Tax Considerations.”
Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities,
possibly retroactively. |
If you are a non-U.S. investor, you should review the discussion
of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
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.
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Information About the iShares® MSCI Emerging
Markets ETF
The iShares® MSCI Emerging Markets ETF is an exchange-traded
fund that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities in emerging markets, as measured by the MSCI Emerging Markets Index. The MSCI Emerging Markets Index was
developed by MSCI Inc. as an equity benchmark for international stock performance, and is designed to measure equity market performance
in the global emerging markets.
The iShares® MSCI Emerging Markets ETF is an investment
portfolio managed by iShares® Inc. BlackRock Fund Advisors is the investment adviser to the iShares® MSCI
Emerging Markets ETF. iShares®, Inc. is a registered investment company that consists of numerous separate investment portfolios,
including the iShares® MSCI Emerging Markets ETF.
Information provided to or filed with the SEC by iShares®,
Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference
to SEC file numbers 033-97598 and 811-09102, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The underlying shares of the iShares® MSCI Emerging Markets ETF trade on the NYSE Arca under the ticker symbol “EEM.”
Please refer to the section “Fund Descriptions— The iShares®
ETFs” in the accompanying underlying supplement for additional information.
We have derived all information regarding the iShares®
MSCI Emerging Markets ETF from publicly available information and have not independently verified any information regarding the iShares®
MSCI Emerging Markets ETF. This pricing supplement relates only to the securities and not to the iShares® MSCI Emerging
Markets ETF. We make no representation as to the performance of the iShares® MSCI Emerging Markets ETF 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 iShares® MSCI Emerging Markets ETF 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 iShares® MSCI Emerging Markets
ETF on December 6, 2022 was $39.04.
The graph below shows the closing value of the iShares®
MSCI Emerging Markets ETF for each day such value was available from January 3, 2012 to December 6, 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.
iShares® MSCI Emerging Markets ETF – Historical Closing Values
January 3, 2012 to December 6, 2022 |
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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.
In the opinion of our counsel, Davis Polk & Wardwell LLP, which
is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income tax purposes.
By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment.
There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
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:
| · | You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange. |
| · | Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application of
the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange or retirement
of a security should be long-term capital gain or loss if you held the security for more than one year. |
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within the
meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain you would otherwise recognize in respect
of your securities would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying long-term capital
gain.” Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated as accruing at a constant
rate over the period you held your securities, and you would be subject to an interest charge in respect of the deemed tax liability on
the income treated as accruing in prior tax years. Due to the lack of governing authority under Section 1260, our counsel is not able
to opine as to whether or how Section 1260 applies to the securities. You should read the section entitled “United States Federal
Tax Considerations—Tax Consequences to U.S. Holders—Securities Treated as Prepaid Forward Contracts—Possible Application
of Section 1260 of the Code” in the accompanying product supplement for additional information and consult your tax adviser regarding
the potential application of the “constructive ownership” rule.
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.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, 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 securities, provided that (i) income in respect of the securities 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” 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.
If withholding tax applies 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.
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 $7.50 for each security
sold in this offering. The actual underwriting fee will be equal to the selling concession provided
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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 $7.50 for each security they sell.
For the avoidance of doubt, any fees or selling concessions described in this pricing supplement will not be rebated if the securities
are automatically redeemed prior to maturity.
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 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
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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.
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and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the
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