Citigroup Global Markets Holdings Inc. |
September 28, 2022
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2022-USNCH13934
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03
|
Callable Equity Linked Securities Linked to the Worst
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM Due October 2, 2025
| ▪ | The securities offered by this pricing supplement are unsecured
debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The securities offer periodic
coupon payments at an annualized rate that is generally higher than the yield on our conventional debt securities of the same maturity.
In exchange for this higher yield, you must be willing to accept the risks that (i) the securities may be called for redemption prior
to maturity in the circumstances described below and (ii) if the securities are not redeemed by us prior to maturity and a downside event
(as described below) occurs, you may receive significantly less than the stated principal amount
of your securities, and possibly nothing, at maturity (excluding the final coupon payment). Each of these risks will
depend solely on the performance of the worst performing of the underlyings specified below. |
| ▪ | You will be subject to risks associated with each of
the underlyings and will be negatively affected by adverse movements in any one of the underlyings. Although you will
have downside exposure to the worst performing underlying, you will not receive dividends with respect to any underlying or participate
in any appreciation of any 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. |
Underlyings: |
Underlying |
Initial underlying value* |
Downside threshold value** |
|
S&P 500® Index |
3,719.04 |
2,231.424 |
|
Dow Jones Industrial AverageTM |
29,683.74 |
17,810.244 |
|
* For each underlying, its closing value on the pricing date
** For each underlying, 60% of its initial underlying value
|
Stated prin
cipal amount:
|
$1,000 per security |
Pricing date: |
September 28, 2022 |
Issue date: |
October 3, 2022 |
Valuation date: |
September 29, 2025, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur |
Maturity date: |
Unless earlier redeemed, October 2, 2025 |
Coupon payment dates: |
The 2nd day of each month, beginning in November 2022 and ending in October 2025 provided that the October 2025 coupon payment date will be the maturity date. Each coupon payment is subject to postponement to the next succeeding business day if such day is not a business day. No interest will accrue as a result of any delayed payment. |
Coupon payments: |
On each coupon payment date, unless previously redeemed, the securities will pay a coupon equal to 0.625% of the stated principal amount of the securities (equivalent to a coupon rate of 7.50% per annum) |
Payment at maturity: |
If the securities are not redeemed prior to maturity, you will receive
at maturity, for each security you then hold, the final coupon payment plus:
▪ If a downside event does
not occur: $1,000
▪ If a downside event occurs:
$1,000 + ($1,000 × the underlying return of the worst performing underlying on the valuation date)
If the securities are not redeemed prior to maturity and a downside
event occurs, you will receive less than 60% of the stated principal amount of your securities, and possibly nothing, at maturity. You
should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion, and up to all, of
your investment.
|
Downside event: |
A downside event will occur if the final underlying value of the worst performing underlying on the valuation date is less than its downside threshold value |
Listing: |
The securities 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 |
Per security: |
$1,000.00 |
$7.00 |
$993.00 |
Total: |
$2,508,000.00 |
$17,079.48 |
$2,490,920.52 |
(Key Terms continued
on next page)
(1) On the date of this pricing supplement, the estimated value of the
securities is $973.10 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) 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.
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. |
|
KEY TERMS (continued) |
Redemption: |
We may call the securities, in whole and not in part, for mandatory redemption on any potential redemption date upon not less than three business days’ notice. Following an exercise of our call right, you will receive for each security you then hold an amount in cash equal to $1,000 plus the related coupon payment. |
Potential redemption dates: |
Each coupon payment date beginning in October 2023 and ending in September 2025 |
Final underlying value: |
For each underlying, its closing value on the valuation date |
Worst performing underlying: |
For any date, the underlying with the lowest underlying return on that date |
Underlying return: |
For each underlying on any date, (i) its closing value on that date minus its initial underlying value, divided by (ii) its initial underlying value |
CUSIP / ISIN: |
17330RK46 / US17330RK468 |
Additional Information
The terms of the securities are set forth in the accompanying product
supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus
supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the
accompanying product supplement contains important information about how the closing value of each 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 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 securities. Certain
terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Citigroup Global Markets Holdings Inc. |
|
Hypothetical Examples
of the Payment at Maturity on the Securities
The table below indicates what your payment at maturity would be for
various hypothetical underlying returns of the worst performing underlying on the valuation date, assuming the securities are not redeemed
prior to maturity. Your actual payment at maturity (if the securities are not redeemed prior to maturity) will depend on the actual final
underlying value of the worst performing underlying on the valuation date.
Hypothetical Underlying Return of Worst Performing Underlying on the Valuation Date |
Hypothetical Payment at Maturity(1) |
50.00% |
$1,006.25 |
20.00% |
$1,006.25 |
10.00% |
$1,006.25 |
0.00% |
$1,006.25 |
-10.00% |
$1,006.25 |
-20.00% |
$1,006.25 |
-30.00% |
$1,006.25 |
-40.00% |
$1,006.25 |
-40.01% |
$606.15 |
-50.00% |
$506.25 |
-60.00% |
$406.25 |
-70.00% |
$306.25 |
-80.00% |
$206.25 |
-90.00% |
$106.25 |
-100.00% |
$6.25 |
(1) Includes final coupon payment. Each security
has a stated principal amount of $1,000.00.
The examples below illustrate how to determine the payment at maturity
on the securities, assuming the securities are not redeemed prior to maturity. You should understand that the term of the securities,
and your opportunity to receive the coupon payments on the securities, may be limited by the early redemption feature of the securities,
which is not reflected in the examples below. The outcomes illustrated below are not exhaustive, and your actual payment at maturity on
the securities (if the securities are not earlier redeemed) may differ from any example illustrated below.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values or downside threshold values of the underlyings. For the actual initial underlying
value and downside threshold 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 securities work. However,
you should understand that the actual payments on the securities will be calculated based on the actual initial underlying value and downside
threshold value of each underlying, and not the hypothetical values indicated below.
Underlying |
Hypothetical initial underlying value |
Hypothetical downside threshold value |
S&P 500® Index |
100 |
60 (60% of its hypothetical initial underlying value) |
Dow Jones Industrial AverageTM |
100 |
60 (60% of its hypothetical initial underlying value) |
The hypothetical examples below illustrate the calculation of the payment
at maturity on the securities, assuming that the securities have not been earlier redeemed and that the final underlying values of the
underlyings are as indicated below.
Citigroup Global Markets Holdings Inc. |
|
|
Hypothetical final underlying value of S&P 500® Index |
Hypothetical final underlying value of Dow Jones Industrial AverageTM |
Hypothetical payment at maturity per $1,000 security |
Example 1 |
130
(underlying return =
(130 – 100) / 100 = 30%)
|
120
(underlying return =
(120 – 100) / 100 = 20%)
|
$1,006.25 |
Example 2 |
50
(underlying return =
(50 – 100) / 100 = -50%)
|
90
(underlying return =
(90 – 100) / 100 = -10%)
|
$506.25 |
Example 3 |
140
(underlying return =
(140 – 100) / 100 = 40%)
|
30
(underlying return =
(30 – 100) / 100 = -70%)
|
$306.25 |
Example 1: In this example, the Dow Jones Industrial
AverageTM has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In
this scenario, the final underlying value of the worst performing underlying on the valuation date is greater than its downside threshold
value and, as a result, a downside event does not occur. Accordingly, at maturity, you would receive the $1,000 stated
principal amount of the securities plus the final coupon payment. You would not participate in the appreciation of any
of the underlyings.
Example 2: In this example, the S&P 500®
Index has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In this scenario,
the final underlying value of the worst performing underlying on the valuation date is less than its downside threshold value and, as
a result, a downside event occurs. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000 + ($1,000 × the
underlying return of the worst performing underlying on the valuation date) + the final coupon payment
= $1,000 + ($1,000 × -50%) + the final coupon
payment
= $1,000 + -$500 + $6.25
= $506.25
In this scenario, you would receive significantly
less than the stated principal amount of your securities at maturity. You would incur a loss based on the performance of the
worst performing underlying on the valuation date.
Example 3: In this example, the Dow Jones Industrial
AverageTM has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In
this scenario, the final underlying value of the worst performing underlying on the valuation date is less than its downside threshold
value and, as a result, a downside event occurs. Accordingly, at maturity, you would receive a payment per security calculated
as follows:
Payment at maturity = $1,000 + ($1,000 × the
underlying return of the worst performing underlying on the valuation date) + the final coupon payment
= $1,000 + ($1,000 × -70%) + the final coupon
payment
= $1,000 + -$700 + $6.25
= $306.25
In this scenario, you would receive
significantly less than the stated principal amount of your securities at maturity. You would incur a loss based on the performance
of the worst performing underlying on the valuation date.
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 each 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 some 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 redeemed prior to maturity and the final underlying value of the worst performing underlying on the valuation date is less than
its downside threshold value, a downside event will occur and you will lose 1% of the stated principal amount of the securities for every
1% by which the worst performing underlying on the valuation date has declined from its initial underlying value, regardless of the performance
of the other underlyings. There is no minimum payment at maturity on the securities (excluding the final coupon payment), and you may
lose up to all of your investment. |
| ▪ | We may redeem the securities prior to maturity, limiting your opportunity to receive coupon payments. We may redeem the securities
on any potential redemption date. In the event that we redeem the securities, you will receive the stated principal amount of your securities
and the related coupon payment. Thus, the term of the securities may be limited. If we redeem the securities prior to maturity, you will
not receive any additional coupon payments. Moreover, you may not be able to reinvest your funds in another investment that provides a
similar yield with a similar level of risk. If we redeem the securities prior to maturity, it is likely to be at a time when the underlyings
are performing in a manner that would otherwise have been favorable to you. By contrast, if the underlyings are performing unfavorably
from your perspective, we are less likely to redeem the securities. If we redeem the securities, we will do so at a time that is advantageous
to us and without regard to your interests. |
| ▪ | Higher coupon payment rates are associated with greater risk. The securities offer coupon payments at a per annum rate that
is higher than the rate we would pay on conventional debt securities of the same maturity. In exchange for this higher coupon payment
rate, investors in the securities will be subject to significantly greater risk than investors in our conventional debt securities, including
the risk that you may lose a significant portion, and up to all, of your investment at maturity (excluding the final coupon payment).
The volatility of and the correlation between the underlyings are important factors affecting these risks. In general, the higher the
expected volatility of the underlyings, and the lower the expected correlation between the underlyings, the greater the coupon payment
rate on the securities. However, higher expected volatility and lower expected correlation would also represent a greater expected
likelihood as of the pricing date that the final underlying value of the worst performing underlying on the valuation date will be less
than its downside threshold value, such that you will not be repaid the stated principal amount of your securities at maturity. |
| ▪ | The securities are subject to heightened risk because they have multiple underlyings. The securities 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 securities. |
| ▪ | The securities 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 securities 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 securities
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 securities, 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 securities. All
that is necessary for the securities 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 securities. The underlyings differ in significant
ways and, therefore, may not be correlated with each other. |
| ▪ | The securities offer downside exposure to the worst performing underlying, but no upside exposure to any underlying. You will
not participate in any appreciation in the value of any underlying over the term of the securities. Consequently, your return |
Citigroup Global Markets Holdings Inc. |
|
on the securities will be limited to the coupon payments
and may be significantly less than the return on any underlying over the term of the securities. In addition, as an investor
in the securities, you will not receive any dividends or other distributions or have any other rights with respect to any of the underlyings.
| ▪ | The performance of the securities will depend on the closing values of the underlyings solely on the valuation date, which makes
the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation date. If
the securities are not redeemed prior to maturity, what you receive at maturity will depend solely on the closing value of the worst performing
underlying on the 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 underlyings solely on the valuation date, the securities will be particularly sensitive to volatility
in the closing values of the underlyings on or near the valuation date. You should understand that the closing value of each 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 discretionary judgments about the inputs to its models, such as the volatility of, and correlation between,
the closing values of the underlyings, the dividend yields on 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 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 |
Citigroup Global Markets Holdings Inc. |
|
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 values of the underlyings, the volatility of, and correlation between, the closing
values of the underlyings, dividend yields on 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 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 values of the underlyings
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. |
| ▪ | Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities 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 underlyings or in
instruments related to the underlyings, 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 securities. |
| ▪ | 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 securities through CGMI or other of our affiliates, who have taken positions in the underlyings
or in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our
affiliates also take positions in the underlyings or in financial instruments related to the underlyings 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 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 underlyings
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 an underlying,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities. In
making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder
of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The
calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying
product supplement. |
| ▪ | Changes that affect the underlyings may affect the value of your securities. 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 securities. |
| ▪ | The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or
a court might not agree with the treatment of the securities as described in “United States Federal Tax Considerations” below. If
the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition
of the securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance
could adversely affect the U.S. federal tax treatment of the securities, possibly retroactively. |
Citigroup Global Markets Holdings Inc. |
|
As described in “United States Federal Tax Considerations”
below, in connection with any information reporting requirements we may have in respect of the securities under applicable law, we intend
to treat a portion of each coupon payment as attributable to interest and the remainder to option premium. However, in light of the uncertain
treatment of the securities, it is possible that other persons having withholding or information reporting responsibility in respect of
the securities may treat a security differently, for instance, by treating the entire coupon payment as ordinary income at the time received
or accrued by a holder and/or treating some or all of each coupon payment on a security to a non-U.S. investor as subject to withholding
tax at a rate of 30%.
If withholding applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
Citigroup Global Markets Holdings Inc. |
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Information About the S&P 500® Index
The S&P 500® Index consists of the common stocks
of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—
The S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for additional information.
We have derived all information regarding the S&P 500®
Index from publicly available information and have not independently verified any information regarding the S&P 500®
Index. This pricing supplement relates only to the securities and not to the S&P 500® Index. We make no representation
as to the performance of the S&P 500® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index is not involved in any way in this offering
and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the S&P 500® Index on September
28, 2022 was 3,719.04.
The graph below shows the closing value of the S&P 500®
Index for each day such value was available from January 3, 2012 to September 28, 2022. We
obtained the closing values from Bloomberg L.P., without independent verification. You should not take the historical closing values as
an indication of future performance.
S&P 500® Index
– Historical Closing Values
January 3, 2012 to September
28, 2022
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Information About the Dow Jones Industrial AverageTM
The Dow Jones Industrial AverageTM is a price-weighted index
rather than a market capitalization-weighted index. The Dow Jones Industrial AverageTM consists of 30 common stocks chosen
as representative of the broad market of U.S. industry. It is calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—The
Dow Jones Industrial AverageTM” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Dow Jones Industrial AverageTM
from publicly available information and have not independently verified any information regarding the Dow Jones Industrial AverageTM. This
pricing supplement relates only to the securities and not to the Dow Jones Industrial AverageTM. We make no representation
as to the performance of the Dow Jones Industrial AverageTM 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 Dow Jones Industrial AverageTM 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 Dow Jones Industrial AverageTM on
September 28, 2022 was 29,683.74.
The graph below shows the closing value of the Dow Jones Industrial
AverageTM for each day such value was available from January 3, 2012 to September 28, 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.
Dow Jones Industrial AverageTM – Historical Closing Values
January 3, 2012 to September 28, 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.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat a security as a put option (the “Put Option”) written by you with respect to
the underlying shares, secured by a cash deposit equal to the stated principal amount of the security (the “Deposit”). In
the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, this treatment of the securities
is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is
more likely than not to be upheld, and that alternative treatments are possible. Under this treatment:
| · | a portion of each coupon payment made with respect to the securities will be attributable to interest on the Deposit; and |
| · | the remainder will represent premium attributable to your grant of the Put Option (“Put Premium”). |
We will treat 67.96% of each coupon payment as interest on the Deposit
and 32.04% as Put Premium.
Assuming the treatment of a security as a Put Option and a Deposit is
respected, amounts treated as interest on the Deposit should be taxed as ordinary interest income, while the Put Premium should not be
taken into account prior to maturity or disposition of the securities. See “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders” in the accompanying product supplement.
We do not plan to request a ruling from the IRS regarding the treatment
of the 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 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 the
section of the accompanying product supplement entitled “United States Federal Tax Considerations,” if you are
a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, under current law you generally should not be
subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the 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 – Dividend Equivalents under Section 871(m) of the Code” in the accompanying product
supplement, Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to
certain financial instruments linked to U.S. equities (“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.
While we currently do not intend to withhold on payments on the securities
to Non-U.S. Holders (subject to compliance with the applicable certification requirements and the discussion in the accompanying product
supplement regarding “FATCA”), in light of the uncertain treatment of the securities other persons having withholding or information
reporting responsibility in respect of the securities may treat some or all of each coupon payment on a security as subject to withholding
tax at a rate of 30%. Moreover, it is possible that in the future we may determine that we should withhold at a rate of 30%
on coupon payments on the 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.
Citigroup Global Markets Holdings Inc. |
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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 $7.00 for each security sold
in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $7.00
for each security they sell. For the avoidance of doubt, the fees and selling concessions described in this pricing supplement will not
be rebated if the securities are 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
Citigroup Global Markets Holdings Inc. |
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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 modified
or rescinded; (ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance
by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation
or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to
the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal
attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her
satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the
opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness
of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons
as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 2022 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
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