Autocallable Contingent Coupon Market-Linked
Notes Based on the Worst Performing of the Russell 2000® Index and the Nasdaq-100 Index® Due October 1,
2029
KEY TERMS |
|
Issuer: |
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. |
Guarantee: |
All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc. |
Underlyings: |
Underlying |
Initial underlying value* |
Coupon barrier value** |
|
Russell 2000® Index |
1,662.509 |
1,330.007 |
|
Nasdaq-100 Index® |
11,271.75 |
9,017.400 |
|
*For each underlying, its closing value on the pricing date
**For each underlying, 80.00% of its initial underlying value
|
Stated principal amount: |
$1,000 per note |
Pricing date: |
September 27, 2022 |
Issue date: |
September 30, 2022 |
Contingent coupon payment dates: |
The last day of each month, beginning in October 2022, provided that the final contingent coupon payment date will be the maturity date. Each contingent coupon payment date is subject to postponement to the next succeeding business day if such day is not a business day. In addition, if the valuation date immediately preceding any contingent coupon payment date is postponed, that contingent coupon payment date will be postponed to the fifth business day following that valuation date as postponed, provided that the final contingent coupon payment date will be the maturity date. No interest will accrue as a result of any delayed payment. |
Valuation dates: |
October 24, 2022, November 22, 2022, December 23, 2022, January 24, 2023, February 21, 2023, March 24, 2023, April 24, 2023, May 23, 2023, June 23, 2023, July 24, 2023, August 24, 2023, September 25, 2023, October 24, 2023, November 22, 2023, December 22, 2023, January 24, 2024, February 22, 2024, March 22, 2024, April 23, 2024, May 23, 2024, June 24, 2024, July 24, 2024, August 26, 2024, September 23, 2024, October 24, 2024, November 22, 2024, December 23, 2024, January 24, 2025, February 21, 2025, March 24, 2025, April 23, 2025, May 23, 2025, June 23, 2025, July 24, 2025, August 25, 2025, September 23, 2025, October 24, 2025, November 21, 2025, December 23, 2025, January 26, 2026, February 23, 2026, March 24, 2026, April 23, 2026, May 22, 2026, June 23, 2026, July 24, 2026, August 24, 2026, September 23, 2026, October 26, 2026, November 20, 2026, December 23, 2026, January 25, 2027, February 22, 2027, March 23, 2027, April 23, 2027, May 24, 2027, June 23, 2027, July 26, 2027, August 24, 2027, September 23, 2027, October 25, 2027, November 22, 2027, December 23, 2027, January 24, 2028, February 22, 2028, March 24, 2028, April 24, 2028, May 23, 2028, June 23, 2028, July 24, 2028, August 24, 2028, September 25, 2028, October 24, 2028, November 22, 2028, December 22, 2028, January 24, 2029, February 21, 2029, March 23, 2029, April 23, 2029, May 23, 2029, June 25, 2029, July 24, 2029, August 24, 2029 and September 24, 2029 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or if a market disruption event occurs |
Maturity date: |
Unless earlier redeemed, October 1, 2029 |
Contingent coupon: |
On each contingent coupon payment date, unless previously redeemed, the notes will pay a contingent coupon equal to 0.475% of the stated principal amount of the notes (equivalent to a contingent coupon rate of approximately 5.70% per annum) if and only if the closing value of the worst performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying on any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately following contingent coupon payment date. |
Payment at maturity: |
If the notes are not automatically redeemed prior to maturity, you will receive at maturity, for each note you then hold, the stated principal amount plus the final contingent coupon payment, if applicable. |
Listing: |
The notes will not be listed on any securities exchange |
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 note: |
$1,000.00 |
$38.00 |
$962.00 |
Total: |
$1,591,000.00 |
$60,458.00 |
$1,530,542.00 |
(Key Terms continued on next page)
(1) On the date of this pricing supplement,
the estimated value of the notes is $913.10 per note, which is less than the issue price. The estimated value of the notes is based on
CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our
affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the notes from you
at any time after issuance. See “Valuation of the Notes” in this pricing supplement.
(2) CGMI
will receive an underwriting fee of up to $38.00 for each note 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 notes, 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 notes declines. See “Use of Proceeds and Hedging” in
the accompanying prospectus.
(3) The per
note proceeds to issuer indicated above represent the minimum per note proceeds to issuer for any note, assuming the maximum per note
underwriting fee. As noted above, the underwriting fee is variable.
Investing in the notes involves risks not associated with an investment
in conventional debt securities. See “Summary Risk Factors” beginning on page PS-4.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the notes 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, each of which can be accessed
via the hyperlinks below:
Product
Supplement No. EA-03-08 dated May 11, 2021 Underlying
Supplement No. 10 dated May 11, 2021
Prospectus Supplement and Prospectus each dated May 11, 2021
The notes are not bank deposits and are not insured
or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed
by, a bank.
Citigroup Global Markets Holdings Inc. |
|
KEY TERMS (continued) |
Automatic early redemption: |
If, on any potential autocall date, the closing value of the worst performing underlying on that potential autocall date is greater than or equal to its initial underlying value, each note you then hold will be automatically called on that potential autocall date for redemption on the immediately following contingent coupon payment date for an amount in cash equal to $1,000.00 plus the related contingent coupon payment. The automatic early redemption feature may significantly limit your potential return on the notes. If the worst performing underlying performs in a way that would otherwise be favorable, the notes are likely to be automatically called for redemption prior to maturity, cutting short your opportunity to receive contingent coupon payments. The notes may be automatically called for redemption as early as the first potential autocall date specified below. |
Potential autocall dates: |
The valuation dates scheduled to occur on September 25, 2023, December 22, 2023, March 22, 2024, June 24, 2024, September 23, 2024, December 23, 2024, March 24, 2025, June 23, 2025, September 23, 2025, December 23, 2025, March 24, 2026, June 23, 2026, September 23, 2026, December 23, 2026, March 23, 2027, June 23, 2027, September 23, 2027, December 23, 2027, March 24, 2028, June 23, 2028, September 25, 2028, December 22, 2028, March 23, 2029 and June 25, 2029 |
Worst performing underlying: |
For any valuation date, the underlying with the lowest underlying return determined as of that valuation date |
Underlying return: |
For each underlying on any valuation date, (i) its closing value on that valuation date minus its initial underlying value, divided by (ii) its initial underlying value |
CUSIP / ISIN: |
17330RE68 / US17330RE685 |
Citigroup Global Markets Holdings Inc. |
|
Additional Information
General. The terms of the notes are set
forth in the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, the accompanying product supplement contains important information about how the closing value of each underlying will be
determined and about adjustments that may be made to the terms of the notes upon the occurrence of market disruption events and other
specified events with respect to each underlying. The accompanying underlying supplement contains information about each 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 notes. Certain terms
used but not defined in this pricing supplement are defined in the accompanying product supplement.
Closing value. The closing value of each
underlying is its closing level, as described in the accompanying product supplement.
Citigroup Global Markets Holdings Inc. |
|
Hypothetical Examples
of Contingent Coupon Payments
The examples below illustrate how to determine whether a contingent
coupon will be paid and whether the notes will be automatically called for redemption following a valuation date that is also a potential
autocall date. 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 notes.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values or coupon barrier values of the underlyings. For the actual initial underlying value
and coupon barrier value of each underlying, 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 notes work. However, you should understand that
the actual payments on the notes will be calculated based on the actual initial underlying value and coupon barrier value of each underlying,
and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded.
Underlying |
Hypothetical initial underlying value |
Hypothetical coupon barrier value |
Russell 2000® Index |
100.00 |
80.00 (80.00% of its hypothetical initial underlying value) |
Nasdaq-100 Index® |
100.00 |
80.00 (80.00% of its hypothetical initial underlying value) |
Hypothetical Examples of Contingent Coupon Payments
and any Payment upon Automatic Early Redemption Following a Valuation Date that is also a Potential Autocall Date
The three hypothetical examples below illustrate how to determine whether
a contingent coupon will be paid and whether the notes will be automatically redeemed following a hypothetical valuation date that is
also a potential autocall date, assuming that the closing values of the underlyings on the hypothetical valuation date are as indicated
below.
|
Hypothetical closing value of the Russell 2000® Index on hypothetical valuation date |
Hypothetical closing value of the Nasdaq-100 Index® on hypothetical valuation date |
Hypothetical payment per $1,000.00 note on related contingent coupon payment date |
Example 1 |
120
(underlying return =
(120 - 100) / 100 = 20%) |
85
(underlying return =
(85 - 100) / 100 = -15%) |
$4.75
(contingent coupon is paid; notes not redeemed) |
Example 2 |
45
(underlying return =
(45 - 100) / 100 = -55%) |
120
(underlying return =
(120 - 100) / 100 = 20%) |
$0.00
(no contingent coupon; notes not redeemed) |
Example 3 |
110
(underlying return =
(110 - 100) / 100 = 10%) |
115
(underlying return =
(115 - 100) / 100 = 15%) |
$1,004.75
(contingent coupon is paid; notes redeemed) |
Example 1: On the hypothetical
valuation date, the Nasdaq-100 Index® has the lowest underlying return and, therefore, is the worst performing underlying
on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying on the hypothetical valuation
date is greater than its coupon barrier value but less than its initial underlying value. As a result, investors in the notes would receive
the contingent coupon payment on the related contingent coupon payment date and the notes would not be automatically redeemed.
Example 2: On the hypothetical
valuation date, the Russell 2000® Index has the lowest underlying return and, therefore, is the worst performing underlying
on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying on the hypothetical valuation
date is less than its coupon barrier value. As a result, investors would not receive any payment on the related contingent coupon payment
date and the notes would not be automatically redeemed.
Investors in the notes will not receive a contingent coupon on the
contingent coupon payment date following a valuation date if the closing value of the worst performing underlying on that valuation date
is less than its coupon barrier value. Whether a contingent coupon is paid following a valuation date depends solely on the closing value
of the worst performing underlying on that valuation date.
Example 3: On the hypothetical
valuation date, the Russell 2000® Index has the lowest underlying return and, therefore, is the worst performing underlying
on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying on the hypothetical valuation
date is greater than both its coupon barrier value and its initial underlying value. As a result, the notes would be automatically redeemed
on the related contingent coupon payment date for an amount in cash equal to $1,000.00 plus the related contingent coupon payment.
If the hypothetical valuation date were not also a potential autocall
date, the notes would not be automatically redeemed on the related contingent coupon payment date.
Citigroup Global Markets Holdings Inc. |
|
Summary Risk Factors
An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional debt securities
(guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the notes, and are
also subject to risks associated with each underlying. Accordingly, the notes are suitable only for investors who are capable of understanding
the complexities and risks of the notes. You should consult your own financial, tax and legal advisors as to the risks of an investment
in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the notes
contained in the section “Risk Factors Relating to the Notes” beginning on page EA-6 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.
| ▪ | Although the notes provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss on
your investment in real value terms if you do not receive one or more, or any contingent coupon payments. This is because inflation
may cause the real value of the stated principal amount to be less at maturity than it is at the time you invest, and because an investment
in the notes represents a forgone opportunity to invest in an alternative asset that does generate a positive real return at a market
rate. This potential loss in real value terms is significant given the term of the notes. You should carefully consider whether an investment
that may provide a return that is lower than the return on alternative investments is appropriate for you. |
| ▪ | The notes are riskier than notes with a shorter term. The notes are relatively long-dated. Because the notes are relatively
long-dated, many of the risks of the notes are heightened as compared to notes with a shorter term, because you will be subject to those
risks for a longer period of time. In addition, the value of a longer-dated note is typically less than the value of an otherwise comparable
note with a shorter term. |
| ▪ | You will not receive any contingent coupon on the contingent coupon payment date following any valuation date on which the closing
value of the worst performing underlying on that valuation date is less than its 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 worst performing underlying on the immediately
preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying
on any valuation date is less than its 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 worst performing underlying on each valuation date is below its coupon barrier
value, you will not receive any contingent coupon payments over the term of the notes. |
| ▪ | The notes are subject to heightened risk because they have multiple underlyings. The notes are more risky than similar investments
that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying will perform
poorly, adversely affecting your return on the notes. |
| ▪ | The notes are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs poorly.
You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively affected.
The notes are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would be better than
the performance of the worst performing underlying alone. Instead, you are subject to the full risks of whichever of the underlyings is
the worst performing underlying. |
| ▪ | You will not benefit in any way from the performance of any better performing underlying. The return on the notes depends solely
on the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying. |
| ▪ | You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective for
the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar times
and by similar magnitudes. By investing in the notes, you assume the risk that the underlyings will not exhibit this relationship. The
less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the notes.
All that is necessary for the notes to perform poorly is for one of the underlyings to perform poorly. It is impossible to predict what
the relationship between the underlyings will be over the term of the notes. The underlyings differ in significant ways and, therefore,
may not be correlated with each other. |
| ▪ | The notes may be automatically redeemed prior to maturity, limiting your opportunity to receive contingent coupon payments. On
any potential autocall date, the notes will be automatically called for redemption if the closing value of the worst performing underlying
on that potential autocall date is greater than or equal to its initial underlying value. As a result, if the worst performing underlying
performs in a way that would otherwise be favorable, the notes are likely to be automatically redeemed, |
Citigroup Global Markets Holdings Inc. |
|
cutting short your opportunity to receive
contingent coupon payments. If the notes are automatically redeemed prior to maturity, you may not be able to reinvest your funds in another
investment that provides a similar yield with a similar level of risk.
| § | The notes do not offer any upside exposure to any underlying. You will not participate in any appreciation in the value of
any underlying over the term of the notes. Consequently, your return on the notes will be limited to the contingent coupon payments you
receive, if any, and may be significantly less than the return on any underlying over the term of the notes. In addition, as an investor
in the notes, you will not receive any dividends or other distributions or have any other rights with respect to any of the stocks that
make up the underlyings. |
| § | The performance of the notes will depend on the closing values of the underlyings solely on the valuation dates, which makes the
notes particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates. Whether the contingent
coupon will be paid on any given contingent coupon payment date and whether the notes will be automatically redeemed prior to maturity
will depend on the closing values of the underlyings solely on the applicable valuation dates, regardless of the closing values of the
underlyings on other days during the term of the notes. If the notes are not automatically redeemed prior to maturity, what you receive
at maturity will depend solely on the closing value of the worst performing underlying on the final valuation date, and not on any other
day during the term of the notes. Because the performance of the notes depends on the closing values of the underlyings on a limited number
of dates, the notes will be particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates.
You should understand that the closing value of each underlying has historically been highly volatile. |
| ▪ | The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our
obligations under the notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you under the
notes. |
| ▪ | The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The notes will
not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently intends
to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily basis. Any indicative
bid price for the notes provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions
and other relevant factors, and will not be a representation by CGMI that the notes can be sold at that price, or at all. CGMI may suspend
or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates
making a market, there may be no secondary market at all for the notes because it is likely that CGMI will be the only broker-dealer that
is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity. |
| ▪ | Sale of the notes prior to maturity may result in a loss of principal. You will be entitled to receive at least the full stated
principal amount of your notes, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., only if you hold
the notes to maturity. The value of the notes may fluctuate during the term of the notes, and if you are able to sell your notes prior
to maturity, you may receive less than the full stated principal amount of your notes. |
| ▪ | The estimated value of the notes on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the notes that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection with
the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes
and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging
our obligations under the notes. These costs adversely affect the economic terms of the notes because, if they were lower, the economic
terms of the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use
of our internal funding rate, rather than our secondary market rate, to price the notes. See “The estimated value of the notes would
be lower if it were calculated based on our secondary market rate” below. |
| ▪ | The estimated value of the notes was determined for us by our affiliate using proprietary pricing models. CGMI derived the
estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made
discretionary judgments about the inputs to its models, such as the volatility of, and correlation between, the closing values of the
underlyings, dividend yields on the stocks that constitute the underlyings and interest rates. CGMI’s views on these inputs may
differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both
the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the notes. Moreover,
the estimated value of the notes set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates
may determine for the notes for other purposes, including for accounting purposes. You should not invest in the notes because of the estimated
value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial estimated value. |
| ▪ | The estimated value of the notes would be lower if it were calculated based on our secondary market rate. The estimated value
of the notes included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing
to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than our secondary market rate, which
is the rate that CGMI will use in determining the value of the notes for purposes of any purchases of the notes from you in the secondary
market. If the estimated value included in this pricing supplement were based on our secondary market |
Citigroup Global Markets Holdings Inc. |
|
rate, rather than our internal funding
rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the notes, which
are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal
funding rate is not an interest rate that is payable on the notes.
Because there is not an active market for
traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of
traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the
notes, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted
for discretionary factors such as CGMI’s preferences with respect to purchasing the notes prior to maturity.
| ▪ | The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing to
buy the notes from you in the secondary market. Any such secondary market price will fluctuate over the term of the notes based on
the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing supplement,
any value of the notes determined for purposes of a secondary market transaction will be based on our secondary market rate, which will
likely result in a lower value for the notes than if our internal funding rate were used. In addition, any secondary market price for
the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the notes to be purchased
in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any
secondary market price for the notes will be less than the issue price. |
| ▪ | The value of the notes prior to maturity will fluctuate based on many unpredictable factors. The value of your notes prior
to maturity will fluctuate based on the closing values of the underlyings, the volatility of, and correlation between, the closing values
of the underlyings, dividend yields on the stocks that constitute the underlyings, 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 Notes—Risk Factors Relating to All Notes—The value of your notes prior to maturity will fluctuate
based on many unpredictable factors” in the accompanying product supplement. Changes in the closing values of the underlyings may
not result in a comparable change in the value of your notes. You should understand that the value of your notes at any time prior to
maturity may be significantly less than the issue price. |
| ▪ | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing
supplement. |
| ▪ | The Russell 2000® Index is subject to risks associated with small capitalization stocks. The stocks that constitute
the Russell 2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller
companies may be more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than
large market capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and
competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks,
and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions. |
| ▪ | Our offering of the notes is not a recommendation of any underlying.
The fact that we are offering the notes does not mean that we believe that investing in an instrument linked to the underlyings is likely
to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including
short positions) in the stocks that constitute the underlyings or in instruments related to the underlyings or such stocks, and may publish
research or express opinions, that in each case are inconsistent with an investment linked to the underlyings. These and other activities
of our affiliates may affect the closing values of the underlyings in a way that negatively affects the value of and your return on the
notes. |
| ▪ | The closing value of an underlying may be adversely affected by our or our
affiliates’ hedging and other trading activities.
We have hedged our obligations under the notes through CGMI or other of our affiliates, who have taken positions directly in the stocks
that constitute the underlyings or in financial instruments related to the underlyings or such stocks and may adjust such positions during
the term of the notes. Our affiliates also take positions in the stocks that constitute the underlyings or in financial instruments related
to the underlyings or such stocks 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 values of the underlyings
in a way that negatively affects the value of and your return on the notes. They could also result in substantial returns for us or our
affiliates while the value of the notes 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 underlyings
in a way that negatively affects the value of and your return on the notes. They could also result in substantial returns for us or our
affiliates while the value of the notes 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. |
Citigroup Global Markets Holdings Inc. |
|
| ▪ | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes. If certain
events occur during the term of the notes, such as market disruption events and other events with respect to an underlying, CGMI, as calculation
agent, will be required to make discretionary judgments that could significantly affect your return on the notes. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the notes. See “Risk
Factors Relating to the Notes—Risk Factors Relating to All Notes—The calculation agent, which is an affiliate of ours, will
make important determinations with respect to the notes” in the accompanying product supplement. |
| ▪ | Changes that affect the underlyings may affect the value of your notes. The sponsors of the underlyings may at any time make
methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings. We are not
affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may make. Such changes
could adversely affect the performance of the underlyings and the value of and your return on the notes. |
Citigroup Global Markets Holdings Inc. |
|
Information About the Russell 2000® Index
The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded
on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section “Equity Index Descriptions—
The Russell Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000®
Index from publicly available information and have not independently verified any information regarding the Russell 2000®
Index. This pricing supplement relates only to the notes and not to the Russell 2000® Index. We make no representation
as to the performance of the Russell 2000® Index over the term of the notes.
The notes represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000® Index is not involved in any way in this offering
and has no obligation relating to the notes or to holders of the notes.
Historical Information
The closing value of the Russell 2000® Index on September
27, 2022 was 1,662.509.
The graph below shows the closing value of the Russell 2000®
Index for each day such value was available from January 3, 2012 to September 27, 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.
Russell 2000® Index – Historical Closing Values
January 3, 2012 to September 27, 2022 |
|
Citigroup Global Markets Holdings Inc. |
|
Information About the Nasdaq-100 Index®
The Nasdaq-100 Index®
is a modified market capitalization-weighted index of stocks of the 100 largest non-financial companies listed on the Nasdaq Stock Market.
All stocks included in the Nasdaq-100 Index® are traded on a major U.S. exchange. The Nasdaq-100 Index®
was developed by the Nasdaq Stock Market, Inc. and is calculated, maintained and published by Nasdaq, Inc.
Please refer to the section “Equity
Index Descriptions— The NASDAQ-100 Index®” in the accompanying underlying supplement for additional information.
We have derived all information
regarding the Nasdaq-100 Index® from publicly available information and have not independently verified any information
regarding the Nasdaq-100 Index®. This pricing supplement relates only to the notes and not to the Nasdaq-100 Index®.
We make no representation as to the performance of the Nasdaq-100 Index® over the term of the notes.
The notes represent obligations
of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Nasdaq-100 Index® is
not involved in any way in this offering and has no obligation relating to the notes or to holders of the notes.
Historical Information
The closing value of the Nasdaq-100 Index® on September
27, 2022 was 11,271.75.
The graph below shows the closing value of the Nasdaq-100 Index®
for each day such value was available from January 3, 2012 to September 27, 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.
Nasdaq-100 Index® – Historical Closing Values
January 3, 2012 to September 27, 2022 |
|
Citigroup Global Markets Holdings Inc. |
|
United States Federal
Tax Considerations
In the opinion of our tax counsel, Davis Polk & Wardwell LLP, based
on current market conditions, the notes should be treated as “variable rate debt instruments” for U.S. federal income tax
purposes, as described in the section of the accompanying product supplement called “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Variable Rate Debt Instruments,” and the remaining discussion is based on this
treatment, except as otherwise noted.
Stated interest on the notes will be taxable to a U.S. Holder (as defined
in the accompanying product supplement) as ordinary interest income at the time it accrues or is received in accordance with the holder’s
method of tax accounting. Upon the sale or other taxable disposition of a note, a U.S. Holder generally will recognize capital gain or
loss equal to the difference between the amount realized on the disposition (other than any amount attributable to accrued interest, which
will be treated as a payment of interest) and the holder’s adjusted tax basis in the note. A U.S. Holder’s adjusted tax basis
in a note will generally equal the purchase price paid to acquire the note. Such gain or loss generally will be long-term capital gain
or loss if the U.S. Holder held the note for more than one year at the time of disposition.
Possible Alternative Tax Treatment of an Investment in the Notes
If the notes were not treated as variable rate debt instruments, they
would instead be subject to Treasury regulations governing “contingent payment debt instruments” as described in the section
of the accompanying product supplement called “United States Federal Tax Considerations―Tax Consequences to U.S. Holders—Notes
Treated as Contingent Payment Debt Instruments.” If the notes were treated as contingent payment debt instruments, (i) a U.S. Holder
would be required to recognize interest income based on our “comparable yield” for a similar non-contingent debt instrument
and a “projected payment schedule” in respect of the notes, adjusted each year to take account for the difference between
the actual and the projected payments in that year, and (ii) gain with respect to a note would be treated as ordinary income.
Non-U.S. Holders. Subject to the discussions below regarding
Section 871(m) and in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” and “—FATCA”
in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the notes,
under current law you generally will not be subject to U.S. federal withholding or income tax in respect of payments on or amounts received
on the sale, exchange, redemption or retirement of the notes, provided that (i) income in respect of the notes is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements. See
“United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement
for a more detailed discussion of the rules applicable to Non-U.S. Holders of the notes.
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 Internal Revenue Code of 1986, as
amended, and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“Underlying
Securities”) or indices that include Underlying Securities. Section 871(m) generally applies to instruments that substantially replicate
the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations.
However, the regulations, as modified by an Internal Revenue Service (“IRS”) notice, exempt financial instruments issued prior
to January 1, 2025 that do not have a “delta” of one. Based on the terms of the notes and representations provided by us,
our tax counsel is of the opinion that the notes should not be treated as transactions that have a “delta” of one within the
meaning of the regulations with respect to any Underlying Security and, therefore, should not be subject to withholding tax under Section
871(m).
A determination that the notes are not subject to Section 871(m) is
not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend
on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application
of Section 871(m) to the notes.
If withholding tax applies to the notes, we will not be required to
pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the notes.
You should also consult your tax adviser regarding all aspects of
the U.S. federal tax consequences of an investment in the notes and any tax consequences arising under the laws of any state, local or
non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc. |
|
Supplemental Plan
of Distribution
CGMI, an affiliate of Citigroup
Global Markets Holdings Inc. and the underwriter of the sale of the notes, is acting as principal and will receive an underwriting fee
of up to $38.00 for each note 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 $38.00 for each note they sell. For the avoidance of doubt, any fees or selling concessions described in this
pricing supplement will not be rebated if the notes 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 Notes
CGMI calculated the estimated value of the notes set forth on the cover
page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated value
for the notes by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the notes,
which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying the economic
terms of the notes (the “derivative component”). CGMI calculated the estimated value of the bond component using a discount
rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary derivative-pricing
model, which generated a theoretical price for the instruments that constitute the derivative component based on various inputs, including
the factors described under “Summary Risk Factors—The value of the notes prior to maturity will fluctuate based on many unpredictable
factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable
or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately four months following issuance of the
notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated for the
notes on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one or more financial
information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary
upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the term of the notes.
The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the four-month temporary adjustment
period. However, CGMI is not obligated to buy the notes from investors at any time. See “Summary Risk Factors—The notes will
not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity
of the Notes
In the opinion of Davis Polk &
Wardwell LLP, as special products counsel to Citigroup Global Markets Holdings Inc., when the notes offered by this pricing supplement
have been executed and issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and
delivered against payment therefor, such notes and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable
bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles
of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that
such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law
on the conclusions expressed above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the
State of New York, except that such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the notes.
In giving this opinion, Davis
Polk & Wardwell LLP has assumed the legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and
General Counsel of Citigroup Global Markets Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup
Inc. In addition, this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021,
which has been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been
duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms
of the notes nor the issuance and delivery of the notes and the related guarantee, nor the compliance by Citigroup Global Markets Holdings
Inc. and Citigroup Inc. with the terms of the notes and the related guarantee respectively, will result in a violation of any provision
of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction
imposed by any court or governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Alexia Breuvart,
Secretary and General Counsel of Citigroup Global Markets Holdings Inc., (i) the terms of the notes offered by this pricing supplement
have been duly established under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global
Markets Holdings Inc. has duly authorized the issuance and sale of such notes and such authorization has not been modified or rescinded;
(ii) Citigroup Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the
indenture has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the notes offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by
Citigroup Global Markets Holdings Inc. of its obligations thereunder,
Citigroup Global Markets Holdings Inc. |
|
are within its corporate powers
and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date
of this pricing supplement and is limited to the laws of the State of New York.
Alexia Breuvart, or other internal
attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her
satisfaction, of such corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate
as a basis for the opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all documents
submitted to her or such persons as originals, the conformity to original documents of all documents submitted to her or such persons
as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi,
Associate General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof)
of Citigroup Inc. has duly authorized the guarantee of such notes by Citigroup Inc. and such authorization has not been modified or rescinded;
(ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly
authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup
Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or
other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the General Corporation
Law of the State of Delaware.
Barbara Politi, or other internal
attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her
satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the
opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness
of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons
as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
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.
Citigroup (NYSE:C)
Historical Stock Chart
From Aug 2024 to Sep 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Sep 2023 to Sep 2024