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Citigroup Global Markets Holdings
Inc. |
November 28, 2022
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2022-USNCH15056
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302 and 333-255302-03
|
Geared Buffer Securities Linked to an
Equally Weighted Basket of Ten Underlyings Due December 3,
2025
|
▪ |
The securities offered by this pricing supplement are unsecured
debt securities issued by Citigroup Global Markets Holdings Inc.
and guaranteed by Citigroup Inc. Unlike conventional debt
securities, the securities do not pay interest and do not repay a
fixed amount of principal at maturity. Instead, the securities
offer a payment at maturity that may be greater than, equal to or
less than the stated principal amount, depending on the performance
of an equally weighted basket composed of the underlyings specified
below. |
|
▪ |
The securities offer modified exposure to the performance of
the basket from the initial basket value to the final basket value,
with (i) the opportunity to participate in a limited range of
potential appreciation of the basket at the upside participation
rate specified below and (ii) a limited buffer against any
depreciation of the basket as described below. In exchange for
these features, investors in the securities must be willing to
forgo any appreciation of the basket in excess of the maximum
return at maturity specified below and must be willing to forgo any
dividends with respect to any underlying. In addition, investors in
the securities must be willing to accept downside exposure to any
depreciation of the basket in excess of the buffer percentage
specified below. If the basket depreciates by more than the
buffer percentage from the initial basket value to the final basket
value, you will lose more than 1% of the stated principal amount of
your securities for every 1% by which that depreciation exceeds the
buffer percentage. Accordingly, the lower the final basket value,
the less benefit you will receive from the buffer percentage. You
may lose your entire investment in the securities. |
|
▪ |
In order to obtain the modified exposure to the basket that the
securities provide, investors must be willing to accept (i) an
investment that may have limited or no liquidity and (ii) the risk
of not receiving any amount 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. |
|
Basket: |
Underlying |
Weighting |
Initial underlying
value* |
|
|
The Boeing Company |
1/10 |
$171.83 |
|
|
Cloudflare, Inc. |
1/10 |
$45.56 |
|
|
Crowdstrike Holdings,
Inc. |
1/10 |
$139.45 |
|
|
Fortinet, Inc. |
1/10 |
$52.08 |
|
|
L3Harris Technologies,
Inc. |
1/10 |
$225.86 |
|
|
Okta, Inc. |
1/10 |
$50.20 |
|
|
Palo Alto Networks, Inc. |
1/10 |
$171.39 |
|
|
Raytheon Technologies
Corporation |
1/10 |
$96.90 |
|
|
Splunk Inc. |
1/10 |
$76.48 |
|
|
Zscaler, Inc. |
1/10 |
$136.72 |
| |
For each underlying, its
closing value on the pricing date |
| Stated principal
amount: |
$1,000 per
security |
| Pricing
date: |
November 28, 2022 |
| Issue
date: |
November 30, 2022 |
| Valuation
date: |
November 28, 2025, subject to
postponement if such date is not a scheduled trading day or certain
market disruption events occur |
| Maturity
date: |
December 3, 2025 |
| Payment at
maturity: |
You will receive at maturity for each security you then hold:
§ If the final basket value is greater
than the initial basket value:
$1,000 + the return amount, subject to the maximum return at
maturity
§ If the final basket value is less than
or equal to the initial basket value but greater than or
equal to the final buffer value:
$1,000
§ If the final basket value is less
than the final buffer value:
$1,000 + [$1,000 × the buffer rate × (the basket return + the
buffer percentage)]
If the final basket value is less than the final buffer value,
which means that the basket has depreciated from the initial basket
value by more than the buffer percentage, you will lose more than
1% of the stated principal amount of your securities at maturity
for every 1% by which that depreciation exceeds the buffer
percentage. Accordingly, the lower the final basket value, the less
benefit you will receive from the buffer.
|
| Initial basket
value: |
100 |
| Final basket
value: |
100 × (1 + the sum of the
weighted underlying returns of the underlyings) |
| Return
amount: |
$1,000 × the basket return × the
upside participation rate |
| Upside
participation rate: |
100.00% |
| Basket
return: |
(i) The final basket value minus
the initial basket value, divided by (ii) the initial basket
value |
| Weighted
underlying return: |
For each underlying, its
underlying return multiplied by its weighting |
| Final
underlying value: |
For each underlying, its closing
value on the valuation date |
| Underlying
return: |
For each underlying, (i) its
final underlying value minus its initial underlying value,
divided by (ii) its initial underlying value |
| Maximum return
at maturity: |
$955.00 per security (95.50% of
the stated principal amount). The payment at maturity per security
will not exceed the stated principal amount plus the maximum return
at maturity. |
| Final buffer
value: |
80.00, 80.00% of the initial
basket value |
| Buffer
percentage: |
20.00% |
| Buffer
rate: |
The initial basket value
divided by its final buffer value, which is 125% |
| Listing: |
The securities will not be listed
on any securities exchange |
| CUSIP /
ISIN: |
17330YF96 /
US17330YF969 |
| Underwriter: |
Citigroup Global Markets Inc.
(“CGMI”), an affiliate of the issuer, acting as
principal |
| Underwriting fee and issue
price: |
Issue
price(1)(2) |
Underwriting
fee(3) |
Proceeds to
issuer(4) |
| Per
security: |
$1,000.00 |
$23.50 |
$976.50 |
| Total: |
$3,600,000.00 |
$84,600.00 |
$3,515,400.00 |
(1) On the date of this pricing supplement, the estimated value of
the securities is $928.40 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) The issue price for investors purchasing the securities in
fee-based advisory accounts will be $976.50 per security. See
“Supplemental Plan of Distribution” in this pricing supplement.
(3) CGMI will receive an underwriting fee of up to $23.50 for each
security sold in this offering. The total underwriting fee and
proceeds to issuer in the table above give effect to the actual
total underwriting fee. For more information on the distribution of
the securities, see “Supplemental Plan of Distribution” in this
pricing supplement. In addition to the underwriting fee, CGMI and
its affiliates may profit from hedging activity related to this
offering, even if the value of the securities declines. See “Use of
Proceeds and Hedging” in the accompanying prospectus.
(4) The per security proceeds to issuer indicated above represent
the minimum per security proceeds to issuer for any security,
assuming the maximum per security underwriting fee. As noted above,
the underwriting fee is variable.
Investing in the securities involves risks not associated with
an investment in conventional debt securities. See “Summary Risk
Factors” beginning on page PS-6.
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, 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, prospectus supplement and
prospectus, which can be accessed via the hyperlinks
below:
The securities are not bank deposits and are not insured or
guaranteed by the Federal Deposit Insurance Corporation or any
other governmental agency, nor are they obligations of, or
guaranteed by, a bank.
|
Citigroup Global Markets Holdings
Inc. |
| |
Additional Information
General. The terms of the securities are set forth in the
accompanying product supplement, prospectus supplement and
prospectus, as supplemented by this pricing supplement. The
accompanying product supplement, prospectus supplement and
prospectus contain important disclosures that are not repeated in
this pricing supplement. For example, the accompanying product
supplement contains important information about how the closing
value of 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. It is important that you read the accompanying
product supplement, prospectus supplement and prospectus together
with this pricing supplement in deciding whether to invest in the
securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of each underlying on any
date is the closing price of its underlying shares on such date, as
provided in the accompanying product supplement. The “underlying
shares” of (i) The Boeing Company, Fortinet, Inc., L3Harris
Technologies, Inc., Palo Alto Networks, Inc., Raytheon Technologies
Corporation, Splunk Inc. and Zscaler, Inc. are their respective
shares of common stock and (ii) Cloudflare, Inc., Crowdstrike
Holdings, Inc. and Okta, Inc. are their respective shares of Class
A common stock. Please see the accompanying product supplement for
more information.
Payout Diagram
The diagram below illustrates your payment at maturity for a range
of hypothetical basket returns.
Investors in the securities will not receive any dividends with
respect to the underlyings. The diagram and examples below do not
show any effect of lost dividend yield over the term of the
securities. See “Summary Risk Factors—You will not receive
dividends or have any other rights with respect to the underlyings”
below.
|
Payout Diagram |
 |
|
n The
Securities |
n The Basket |
|
Citigroup Global Markets Holdings
Inc. |
| |
Hypothetical Examples
The examples below illustrate how to determine the payment at
maturity on the securities, assuming the various hypothetical final
basket values indicated below. The examples are solely for
illustrative purposes, do not show all possible outcomes and are
not a prediction of what the actual payment at maturity on the
securities will be. The actual payment at maturity will depend on
the actual final basket value.
The examples below are based on the following hypothetical values
and do not reflect the actual initial underlying values of the
underlyings. For the actual initial underlying 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
payment at maturity on the securities will be calculated based on
the actual initial underlying value of each underlying, and not
these hypothetical values. For ease of analysis, figures below have
been rounded.
|
Underlying |
Hypothetical initial underlying
value |
|
The Boeing Company |
$100.00 |
|
Cloudflare, Inc. |
$100.00 |
|
Crowdstrike Holdings, Inc. |
$100.00 |
|
Fortinet, Inc. |
$100.00 |
|
L3Harris Technologies, Inc. |
$100.00 |
|
Okta, Inc. |
$100.00 |
|
Palo Alto Networks, Inc. |
$100.00 |
|
Raytheon Technologies Corporation |
$100.00 |
|
Splunk Inc. |
$100.00 |
|
Zscaler, Inc. |
$100.00 |
Example 1—Upside Scenario A. The final basket value is
105.00, resulting in a 5.00% basket return. In this example, the
final basket value is greater than the initial basket
value.
|
Underlying |
Hypothetical Final Underlying
Value |
Hypothetical Underlying
Return |
Weighting |
Hypothetical Weighted Underlying
Return |
|
The Boeing Company |
$430.00 |
330.00% |
1/10 |
33.00% |
|
Cloudflare, Inc. |
$65.00 |
-35.00% |
1/10 |
-3.50% |
|
Crowdstrike Holdings, Inc. |
$110.00 |
10.00% |
1/10 |
1.00% |
|
Fortinet, Inc. |
$140.00 |
40.00% |
1/10 |
4.00% |
|
L3Harris Technologies, Inc. |
$35.00 |
-65.00% |
1/10 |
-6.50% |
|
Okta, Inc. |
$70.00 |
-30.00% |
1/10 |
-3.00% |
|
Palo Alto Networks, Inc. |
$25.00 |
-75.00% |
1/10 |
-7.50% |
|
Raytheon Technologies Corporation |
$5.00 |
-95.00% |
1/10 |
-9.50% |
|
Splunk Inc. |
$125.00 |
25.00% |
1/10 |
2.50% |
|
Zscaler, Inc. |
$45.00 |
-55.00% |
1/10 |
-5.50% |
|
|
|
|
Sum of the hypothetical weighted underlying returns: |
5.00% |
|
|
|
|
Hypothetical final basket value: |
100 × (1 + the sum of the hypothetical weighted underlying
returns)
= 100 × (1 + 5.00%)
= 105.00000
|
Payment at maturity per security = $1,000 + the return amount,
subject to the maximum return at maturity
=
$1,000 + ($1,000 × the basket return × the upside participation
rate), subject to the maximum return at maturity
=
$1,000 + ($1,000 × 5.00% × 100.00%), subject to the maximum return
at maturity
=
$1,000 + $50.00, subject to the maximum return at maturity
=
$1,050.00
In this scenario, the basket has appreciated from the initial
basket value to the final basket value, and the basket return
multiplied by the upside participation rate is less than the
maximum return at maturity. As a result, your total return at
maturity would equal the basket return multiplied by the
upside participation rate.
|
Citigroup Global Markets Holdings
Inc. |
| |
Example 2—Upside Scenario B. The final basket value is
210.00, resulting in a 110.00% basket return. In this example, the
final basket value is greater than the initial basket
value.
|
Underlying |
Hypothetical Final Underlying
Value |
Hypothetical Underlying
Return |
Weighting |
Hypothetical Weighted Underlying
Return |
|
The Boeing Company |
$440.00 |
340.00% |
1/10 |
34.00% |
|
Cloudflare, Inc. |
$290.00 |
190.00% |
1/10 |
19.00% |
|
Crowdstrike Holdings, Inc. |
$145.00 |
45.00% |
1/10 |
4.50% |
|
Fortinet, Inc. |
$175.00 |
75.00% |
1/10 |
7.50% |
|
L3Harris Technologies, Inc. |
$240.00 |
140.00% |
1/10 |
14.00% |
|
Okta, Inc. |
$225.00 |
125.00% |
1/10 |
12.50% |
|
Palo Alto Networks, Inc. |
$140.00 |
40.00% |
1/10 |
4.00% |
|
Raytheon Technologies Corporation |
$145.00 |
45.00% |
1/10 |
4.50% |
|
Splunk Inc. |
$110.00 |
10.00% |
1/10 |
1.00% |
|
Zscaler, Inc. |
$190.00 |
90.00% |
1/10 |
9.00% |
|
|
|
|
Sum of the hypothetical weighted underlying returns |
110.00% |
|
|
|
|
Hypothetical final basket value: |
100 × (1 + the sum of the hypothetical weighted underlying
returns)
= 100 × (1 + 110.00%)
= 210.00000
|
Payment at maturity per security = $1,000 + the return amount,
subject to the maximum return at maturity
=
$1,000 + ($1,000 × the basket return × the upside participation
rate), subject to the maximum return at maturity
=
$1,000 + ($1,000 × 110.00% × 100.00%), subject to the maximum
return at maturity
=
$1,000 + $1,100.00, subject to the maximum return at maturity
=
$1,955.00
In this scenario, the basket has appreciated from the initial
basket value to the final basket value, but the basket return
multiplied by the upside participation rate would exceed the
maximum return at maturity. As a result, your total return at
maturity in this scenario would be limited to the maximum return at
maturity, and an investment in the securities would underperform a
hypothetical alternative investment providing 1-to-1 exposure to
the appreciation of the basket without a maximum return.
Example 3—Par Scenario. The final basket value is 95.00,
resulting in a -5.00% basket return. In this example, the final
basket value is less than the initial basket value but
greater than the final buffer value.
|
Underlying |
Hypothetical Final Underlying
Value |
Hypothetical Underlying
Return |
Weighting |
Hypothetical Weighted Underlying
Return |
|
The Boeing Company |
$-80.00 |
-180.00% |
1/10 |
-18.00% |
|
Cloudflare, Inc. |
$105.00 |
5.00% |
1/10 |
0.50% |
|
Crowdstrike Holdings, Inc. |
$100.00 |
0.00% |
1/10 |
0.00% |
|
Fortinet, Inc. |
$150.00 |
50.00% |
1/10 |
5.00% |
|
L3Harris Technologies, Inc. |
$70.00 |
-30.00% |
1/10 |
-3.00% |
|
Okta, Inc. |
$135.00 |
35.00% |
1/10 |
3.50% |
|
Palo Alto Networks, Inc. |
$180.00 |
80.00% |
1/10 |
8.00% |
|
Raytheon Technologies Corporation |
$75.00 |
-25.00% |
1/10 |
-2.50% |
|
Splunk Inc. |
$140.00 |
40.00% |
1/10 |
4.00% |
|
Zscaler, Inc. |
$75.00 |
-25.00% |
1/10 |
-2.50% |
|
|
|
|
Sum of the hypothetical weighted underlying returns |
-5.00% |
|
|
|
|
Hypothetical final basket value: |
100 × (1 + the sum of the hypothetical weighted underlying
returns)
= 100 × (1 + -5.00%)
= 95.00000
|
Payment at maturity per security = $1,000
In this scenario, the basket has depreciated from the initial
basket value to the final basket value, but not by more than the
buffer percentage. As a result, you would be repaid the stated
principal amount of your securities at maturity but would not
receive any positive return on your investment.
|
Citigroup Global Markets Holdings
Inc. |
| |
Example 4—Downside Scenario A. The final basket value is
70.00, resulting in a -30.00% basket return. In this example, the
final basket value is less than the final buffer value.
|
Underlying |
Hypothetical Final Underlying
Value |
Hypothetical Underlying
Return |
Weighting |
Hypothetical Weighted Underlying
Return |
|
The Boeing Company |
$-85.00 |
-185.00% |
1/10 |
-18.50% |
|
Cloudflare, Inc. |
$60.00 |
-40.00% |
1/10 |
-4.00% |
|
Crowdstrike Holdings, Inc. |
$25.00 |
-75.00% |
1/10 |
-7.50% |
|
Fortinet, Inc. |
$65.00 |
-35.00% |
1/10 |
-3.50% |
|
L3Harris Technologies, Inc. |
$150.00 |
50.00% |
1/10 |
5.00% |
|
Okta, Inc. |
$150.00 |
50.00% |
1/10 |
5.00% |
|
Palo Alto Networks, Inc. |
$45.00 |
-55.00% |
1/10 |
-5.50% |
|
Raytheon Technologies Corporation |
$70.00 |
-30.00% |
1/10 |
-3.00% |
|
Splunk Inc. |
$90.00 |
-10.00% |
1/10 |
-1.00% |
|
Zscaler, Inc. |
$130.00 |
30.00% |
1/10 |
3.00% |
|
|
|
|
Sum of the hypothetical weighted underlying returns |
-30.00% |
|
|
|
|
Hypothetical final basket value: |
100 × (1 + the sum of the hypothetical weighted underlying
returns)
= 100 × (1 + -30.00%)
= 70.00000
|
Payment at maturity per security = $1,000 + [$1,000 × the buffer
rate × (the basket return + the buffer percentage)]
=
$1,000 + [$1,000 × 1.25 × (-30.00% + 20.00%)]
=
$1,000 + [$1,000 × 1.25 × -10.00%]
=
$1,000 + -$125.00
=
$875.00
In this scenario, the basket has depreciated from the initial
basket value to the final basket value by more than the buffer
percentage. As a result, your total return at maturity in this
scenario would be negative and you will lose more than 1% of the
stated principal amount of your securities for every 1% by which
the basket declined beyond the buffer percentage.
Example 5—Downside Scenario B. The final basket value is
30.00, resulting in a -70.00% basket return. In this example, the
final basket value is less than the final buffer value.
|
Underlying |
Hypothetical Final Underlying
Value |
Hypothetical Underlying
Return |
Weighting |
Hypothetical Weighted Underlying
Return |
|
The Boeing Company |
$-40.00 |
-140.00% |
1/10 |
-14.00% |
|
Cloudflare, Inc. |
$45.00 |
-55.00% |
1/10 |
-5.50% |
|
Crowdstrike Holdings, Inc. |
$55.00 |
-45.00% |
1/10 |
-4.50% |
|
Fortinet, Inc. |
$55.00 |
-45.00% |
1/10 |
-4.50% |
|
L3Harris Technologies, Inc. |
$5.00 |
-95.00% |
1/10 |
-9.50% |
|
Okta, Inc. |
$5.00 |
-95.00% |
1/10 |
-9.50% |
|
Palo Alto Networks, Inc. |
$90.00 |
-10.00% |
1/10 |
-1.00% |
|
Raytheon Technologies Corporation |
$5.00 |
-95.00% |
1/10 |
-9.50% |
|
Splunk Inc. |
$55.00 |
-45.00% |
1/10 |
-4.50% |
|
Zscaler, Inc. |
$25.00 |
-75.00% |
1/10 |
-7.50% |
|
|
|
|
Sum of the hypothetical weighted underlying returns |
0.00% |
|
|
|
|
Hypothetical final basket value: |
100 × (1 + the sum of the hypothetical weighted underlying
returns)
= 100 × (1 + 0.00%)
= 100.00000
|
Payment at maturity per security = $1,000 + [$1,000 × the buffer
rate × (the basket return + the buffer percentage)]
=
$1,000 + [$1,000 × 1.25 × (-70.00% + 20.00%)]
=
$1,000 + [$1,000 × 1.25 × -50.00%]
=
$1,000 + -$625.00
=
$375.00
In this scenario, the basket has depreciated from the initial
basket value to the final basket value by more than the buffer
percentage. As a result, your total return at maturity in this
scenario would be negative you will lose more than 1% of the stated
principal amount of your securities for every 1% by which the
basket declined beyond the buffer percentage. A comparison of this
example with the previous example illustrates the diminishing
benefit of the buffer percentage the greater the depreciation of
the basket.
|
Citigroup Global Markets Holdings
Inc. |
| |
Summary Risk Factors
An investment in the securities is significantly riskier than an
investment in conventional debt securities. The securities are
subject to all of the risks associated with an investment in our
conventional debt securities (guaranteed by Citigroup Inc.),
including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks
associated with the basket. Accordingly, the securities are
suitable only for investors who are capable of understanding the
complexities and risks of the securities. You should consult your
own financial, tax and legal advisors as to the risks of an
investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for
investors in the securities. You should read this summary together
with the more detailed description of risks relating to an
investment in the securities contained in the section “Risk Factors
Relating to the Securities” beginning on page EA-7 in the
accompanying product supplement. You should also carefully read the
risk factors included in the accompanying prospectus supplement and
in the documents incorporated by reference in the accompanying
prospectus, including Citigroup Inc.’s most recent Annual Report on
Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which
describe risks relating to the business of Citigroup Inc. more
generally.
|
§ |
You may lose a significant portion or all of your
investment. Unlike conventional debt securities, the securities
do not repay a fixed amount of principal at maturity. Instead, your
payment at maturity will depend on the final basket value. If the
final basket value is less
than the final buffer value, you will lose more than 1% of the
stated principal amount of your securities for every 1% by which
the basket has depreciated by more than the buffer percentage. You
should understand that any decline in the final basket value in
excess of the buffer percentage will result in a magnified loss to
your investment by the buffer rate, which will progressively offset
any protection that the buffer percentage would offer. The lower
the final basket value, the less benefit you will receive from the
buffer percentage. There is no minimum payment at maturity on the
securities, and you may lose up to all of your
investment. |
|
§ |
Your potential return on the securities is limited. Your
potential total return on the securities at maturity is limited to
the maximum return at maturity, even if the basket appreciates by
significantly more than the maximum return at maturity. If the
basket appreciates by more than the maximum return at maturity, the
securities will underperform an alternative investment providing
1-to-1 exposure to the performance of the basket. When lost
dividends are taken into account, the securities may underperform
an alternative investment providing 1-to-1 exposure to the
performance of the basket even if the basket appreciates by less
than the maximum return at maturity. |
|
§ |
The securities do not pay interest. Unlike conventional
debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities
if you seek current income during the term of the securities. |
|
§ |
You will not receive dividends or have any other rights with
respect to the underlyings. You will not receive any dividends
with respect to the underlyings. This lost dividend yield may be
significant over the term of the securities. The payment scenarios
described in this pricing supplement do not show any effect of lost
dividend yield over the term of the securities. In addition, you
will not have voting rights or any other rights with respect to the
underlyings. If any change to the underlying shares is proposed,
such as an amendment to the underlying’s organizational documents,
you will not have the right to vote on such change. Any such change
may adversely affect the market value of the underlyings. |
|
§ |
Your payment at maturity depends on the value of the basket
on a single day. Because your payment at maturity depends on
the value of the basket solely on the valuation date, you are
subject to the risk that the value of the basket on that day may be
lower, and possibly significantly lower, than on one or more other
dates during the term of the securities. If you had invested
directly in the underlyings or in another instrument linked to the
basket that you could sell for full value at a time selected by
you, or if the payment at maturity were based on an average of
closing values of the basket, you might have achieved better
returns. |
|
§ |
The securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc. If we default
on our obligations under the securities and Citigroup Inc. defaults
on its guarantee obligations, you may not receive anything owed to
you under the securities. |
|
§ |
The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity. The
securities will not be listed on any securities exchange.
Therefore, there may be little or no secondary market for the
securities. CGMI currently intends to make a secondary market in
relation to the securities and to provide an indicative bid price
for the securities on a daily basis. Any indicative bid price for
the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and
other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may
suspend or terminate making a market and providing indicative bid
prices without notice, at any time and for any reason. If CGMI
suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI
will be the only broker-dealer that is willing to buy your
securities prior to maturity. Accordingly, an investor must be
prepared to hold the securities until maturity. |
|
§ |
The estimated value of the securities on the pricing date,
based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is
attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price.
These costs include (i) any selling concessions or other fees paid
in connection with the offering of the securities, (ii) hedging and
other costs incurred by us and our affiliates in connection with
the offering of the securities and (iii) the expected profit (which
may be more or less than actual profit) to CGMI or other of our
affiliates in connection with hedging our obligations under the
securities. These costs adversely affect the economic terms of the
securities because, if they were lower, the economic terms of the
securities would be more favorable to you. The economic terms of
the securities are also likely to be adversely affected by the use
of our internal funding rate, rather than our secondary market
rate, to price the securities. See “The estimated value of the
securities would be lower if it were calculated based on our
secondary market rate” below. |
|
§ |
The estimated value of the securities was determined for us
by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing
supplement from its proprietary pricing models. In doing so, it may
have made |
|
Citigroup Global Markets Holdings
Inc. |
| |
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 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 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. |
|
§ |
Changes in the closing values of the underlyings may offset
each other. The performances of the underlyings may not be
correlated with each other. If one of the underlyings appreciates,
the other underlyings may not appreciate as much or may even
depreciate. In such event, the appreciation of one of the
underlyings may be moderated, wholly offset or more than offset by
lesser appreciation or by depreciation in the value of the other
underlyings. |
|
§ |
The underlyings may be highly correlated in decline. The
performances of the underlyings may become highly correlated during
periods of declining prices. This may occur because of events that
have broad effects on markets generally or on the markets that the
underlyings track. If the underlyings become correlated in decline,
the depreciation of one underlying will not be offset by the
performance of the other underlyings and, in fact, each underlying
may contribute to an overall decline from the initial basket value
to the final basket value. |
|
§ |
An investment in the securities is not a diversified
investment. The fact that the securities are linked to a basket
does not mean that the securities represent a diversified
investment. First, although the underlyings differ in important
respects, they each track the performance of equity markets, and
each may perform poorly if there is a global downturn in equity
markets. Second, the securities are subject to the credit risk of
Citigroup Global Markets Holdings Inc. and Citigroup Inc. No amount
of diversification that may be represented by the underlyings will
offset the risk that we and Citigroup Inc. may default on our
obligations. |
|
§ |
Our offering of the securities is not a recommendation of
the basket or the underlyings. The fact that we are offering
the securities does not mean that we believe that investing in an
instrument linked to the basket or any of 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. |
|
Citigroup Global Markets Holdings
Inc. |
| |
|
§ |
The closing value of an underlying may be adversely affected
by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through
CGMI or other of our affiliates, who may take positions in the
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. |
|
§ |
Even if an underlying pays a dividend that it identifies as
special or extraordinary, no adjustment will be required under the
securities for that dividend unless it meets the criteria specified
in the accompanying product supplement. In general, an
adjustment will not be made under the terms of the securities for
any cash dividend paid by an underlying unless the amount of the
dividend per share, together with any other dividends paid in the
same quarter, exceeds the dividend paid per share in the most
recent quarter by an amount equal to at least 10% of the closing
value of that underlying on the date of declaration of the
dividend. Any dividend will reduce the closing value of the
underlying by the amount of the dividend per share. If an
underlying pays any dividend for which an adjustment is not made
under the terms of the securities, holders of the securities will
be adversely affected. See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or
an Underlying ETF—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” in the accompanying product
supplement. |
|
§ |
The securities will not be adjusted for all events that may
have a dilutive effect on or otherwise adversely affect the closing
value of an underlying. For example, we will not make any
adjustment for ordinary dividends or extraordinary dividends that
do not meet the criteria described above, partial tender offers or
additional underlying share issuances. Moreover, the adjustments we
do make may not fully offset the dilutive or adverse effect of the
particular event. Investors in the securities may be adversely
affected by such an event in a circumstance in which a direct
holder of the underlying shares of an underlying would not. |
|
§ |
The securities may become linked to an underlying other than
an original underlying upon the occurrence of a reorganization
event or upon the delisting of the underlying shares of that
original underlying. For example, if an underlying enters into
a merger agreement that provides for holders of its underlying
shares to receive shares of another entity and such shares are
marketable securities, the closing value of that underlying
following consummation of the merger will be based on the value of
such other shares. Additionally, if the underlying shares of an
underlying are delisted, the calculation agent may select a
successor underlying. See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or
an Underlying ETF” in the accompanying product supplement. |
|
§ |
If the underlying shares of an underlying are delisted, we
may call the securities prior to maturity for an amount that may be
less than the stated principal amount. If we exercise this call
right, you will receive the amount described under “Description of
the Securities—Certain Additional Terms for Securities Linked to an
Underlying Company or an Underlying ETF—Delisting of an Underlying
Company” in the accompanying product supplement. This amount may be
less, and possibly significantly less, than the stated principal
amount of the securities. |
|
§ |
The U.S. federal tax consequences of an investment in the
securities are unclear. There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities,
and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax
treatment of the securities are uncertain, and the IRS or a court
might not agree with the treatment of the securities as prepaid
forward contracts. If the IRS were successful in asserting an
alternative treatment of the securities, the tax consequences of
the ownership and disposition of the securities might be materially
and adversely affected. Moreover, future legislation, Treasury
regulations or IRS guidance could adversely affect the U.S. federal
tax treatment of the securities, possibly retroactively. |
If you are a non-U.S. investor, you should review the discussion of
withholding tax issues in “United States Federal Tax
Considerations—Non-U.S. Holders” below.
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the
Securities” in the accompanying product supplement and “United
States Federal Tax Considerations” in this pricing supplement. You
should also consult your tax adviser regarding the U.S. federal tax
consequences of an investment in the securities, as well as tax
consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
|
Citigroup Global Markets Holdings
Inc. |
| |
Hypothetical Historical Information About the Basket
Because the basket exists solely for purposes of these securities,
historical information on the performance of the basket does not
exist for dates prior to the pricing date for these securities. The
graph below sets forth the hypothetical historical daily values of
the basket for the period from October 25, 2021 to November 28,
2022, assuming that the basket was created on October 25, 2021 with
the same underlyings and corresponding weights in the basket and
with a value of 100 on that date. The hypothetical performance of
the basket is based on the actual closing values of the underlyings
on the applicable dates. We obtained these closing values from
Bloomberg L.P., without independent verification. Any historical
trend in the value of the basket during the period shown below is
not an indication of the performance of the basket during the term
of the securities.
Hypothetical Historical Basket
Performance
October 25,
2021 to November 28, 2022 |
 |
|
Citigroup Global Markets Holdings
Inc. |
| |
Information About The Boeing Company
The Boeing Company is an aerospace firm. The underlying shares of
The Boeing Company are registered under the Securities Exchange Act
of 1934, as amended (the “Exchange Act”). Information provided to
or filed with the SEC by The Boeing Company pursuant to the
Exchange Act can be located by reference to the SEC file number
001-00442 through the SEC’s website at http://www.sec.gov. In
addition, information regarding The Boeing Company may be obtained
from other sources including, but not limited to, press releases,
newspaper articles and other publicly disseminated documents. The
underlying shares of The Boeing Company trade on the New York Stock
Exchange under the ticker symbol “BA.”
We have derived all information regarding The Boeing Company from
publicly available information and have not independently verified
any information regarding The Boeing Company. This pricing
supplement relates only to the securities and not to The Boeing
Company. We make no representation as to the performance of The
Boeing Company over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The Boeing
Company 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 Boeing Company on November 28, 2022 was
$171.83.
The graph below shows the closing value of The Boeing Company for
each day such value was available from January 3, 2012 to November
28, 2022. We obtained the closing values from Bloomberg L.P.,
without independent verification. If certain corporate transactions
occurred during the historical period shown below, including, but
not limited to, spin-offs or mergers, then the closing values shown
below for the period prior to the occurrence of any such
transaction have been adjusted by Bloomberg L.P. as if any such
transaction had occurred prior to the first day in the period shown
below. You should not take historical closing values as an
indication of future performance.
The Boeing Company – Historical
Closing Values
January 3,
2012 to November 28, 2022 |
 |
|
Citigroup Global Markets Holdings
Inc. |
| |
Information About Cloudflare, Inc.
Cloudflare, Inc. offers a platform for load balancing, video
streaming, security, analysis and domain registration. The
underlying shares of Cloudflare, Inc. are registered under the
Securities Exchange Act of 1934, as amended (the “Exchange Act”).
Information provided to or filed with the SEC by Cloudflare, Inc.
pursuant to the Exchange Act can be located by reference to the SEC
file number 001-39039 through the SEC’s website at
http://www.sec.gov. In addition, information regarding Cloudflare,
Inc. may be obtained from other sources including, but not limited
to, press releases, newspaper articles and other publicly
disseminated documents. The underlying shares of Cloudflare, Inc.
trade on the New York Stock Exchange under the ticker symbol
“NET.”
We have derived all information regarding Cloudflare, Inc. from
publicly available information and have not independently verified
any information regarding Cloudflare, Inc. This pricing supplement
relates only to the securities and not to Cloudflare, Inc. We make
no representation as to the performance of Cloudflare, Inc. over
the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Cloudflare, Inc.
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 Cloudflare, Inc. on November 28, 2022 was
$45.56.
The graph below shows the closing value of Cloudflare, Inc. for
each day such value was available from September 13, 2019 to
November 28, 2022. We obtained the closing values from Bloomberg
L.P., without independent verification. If certain corporate
transactions occurred during the historical period shown below,
including, but not limited to, spin-offs or mergers, then the
closing values shown below for the period prior to the occurrence
of any such transaction have been adjusted by Bloomberg L.P. as if
any such transaction had occurred prior to the first day in the
period shown below. You should not take historical closing values
as an indication of future performance.
Cloudflare, Inc. – Historical
Closing Values
September
13, 2019 to November 28, 2022 |
 |
|
Citigroup Global Markets Holdings
Inc. |
| |
Information About Crowdstrike Holdings, Inc.
CrowdStrike Holdings, Inc. provides cybersecurity products and
services. The underlying shares of Crowdstrike Holdings, Inc. are
registered under the Securities Exchange Act of 1934, as amended
(the “Exchange Act”). Information provided to or filed with the SEC
by Crowdstrike Holdings, Inc. pursuant to the Exchange Act can be
located by reference to the SEC file number 001-38933 through the
SEC’s website at http://www.sec.gov. In addition, information
regarding Crowdstrike Holdings, Inc. may be obtained from other
sources including, but not limited to, press releases, newspaper
articles and other publicly disseminated documents. The underlying
shares of Crowdstrike Holdings, Inc. trade on the NASDAQ Global
Select Market under the ticker symbol “CRWD.”
We have derived all information regarding Crowdstrike Holdings,
Inc. from publicly available information and have not independently
verified any information regarding Crowdstrike Holdings, Inc. This
pricing supplement relates only to the securities and not to
Crowdstrike Holdings, Inc. We make no representation as to the
performance of Crowdstrike Holdings, Inc. over the term of the
securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Crowdstrike
Holdings, Inc. 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 Crowdstrike Holdings, Inc. on November 28,
2022 was $139.45.
The graph below shows the closing value of Crowdstrike Holdings,
Inc. for each day such value was available from June 12, 2019 to
November 28, 2022. We obtained the closing values from Bloomberg
L.P., without independent verification. If certain corporate
transactions occurred during the historical period shown below,
including, but not limited to, spin-offs or mergers, then the
closing values shown below for the period prior to the occurrence
of any such transaction have been adjusted by Bloomberg L.P. as if
any such transaction had occurred prior to the first day in the
period shown below. You should not take historical closing values
as an indication of future performance.
Crowdstrike Holdings, Inc. –
Historical Closing Values
June 12,
2019 to November 28, 2022 |
 |
|
Citigroup Global Markets Holdings
Inc. |
| |
Information About Fortinet, Inc.
Fortinet, Inc. offers network security appliances, software, and
subscription services. The underlying shares of Fortinet, Inc. are
registered under the Securities Exchange Act of 1934, as amended
(the “Exchange Act”). Information provided to or filed with the SEC
by Fortinet, Inc. pursuant to the Exchange Act can be located by
reference to the SEC file number 001-34511 through the SEC’s
website at http://www.sec.gov. In addition, information regarding
Fortinet, Inc. may be obtained from other sources including, but
not limited to, press releases, newspaper articles and other
publicly disseminated documents. The underlying shares of Fortinet,
Inc. trade on the NASDAQ Global Select Market under the ticker
symbol “FTNT.”
We have derived all information regarding Fortinet, Inc. from
publicly available information and have not independently verified
any information regarding Fortinet, Inc. This pricing supplement
relates only to the securities and not to Fortinet, Inc. We make no
representation as to the performance of Fortinet, Inc. over the
term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Fortinet, Inc.
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 Fortinet, Inc. on November 28, 2022 was
$52.08.
The graph below shows the closing value of Fortinet, Inc. for each
day such value was available from January 3, 2012 to November 28,
2022. We obtained the closing values from Bloomberg L.P., without
independent verification. If certain corporate transactions
occurred during the historical period shown below, including, but
not limited to, spin-offs or mergers, then the closing values shown
below for the period prior to the occurrence of any such
transaction have been adjusted by Bloomberg L.P. as if any such
transaction had occurred prior to the first day in the period shown
below. You should not take historical closing values as an
indication of future performance.
Fortinet, Inc. – Historical Closing
Values
January 3,
2012 to November 28, 2022 |
 |
|
Citigroup Global Markets Holdings
Inc. |
| |
Information About L3Harris Technologies, Inc.
L3Harris Technologies, Inc. is an aerospace and defense technology
company. The underlying shares of L3Harris Technologies, Inc. are
registered under the Securities Exchange Act of 1934, as amended
(the “Exchange Act”). Information provided to or filed with the SEC
by L3Harris Technologies, Inc. pursuant to the Exchange Act can be
located by reference to the SEC file number 001-03863 through the
SEC’s website at http://www.sec.gov. In addition, information
regarding L3Harris Technologies, Inc. may be obtained from other
sources including, but not limited to, press releases, newspaper
articles and other publicly disseminated documents. The underlying
shares of L3Harris Technologies, Inc. trade on the New York Stock
Exchange under the ticker symbol “LHX.”
We have derived all information regarding L3Harris Technologies,
Inc. from publicly available information and have not independently
verified any information regarding L3Harris Technologies, Inc. This
pricing supplement relates only to the securities and not to
L3Harris Technologies, Inc. We make no representation as to the
performance of L3Harris Technologies, Inc. over the term of the
securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. L3Harris
Technologies, Inc. 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 L3Harris Technologies, Inc. on November 28,
2022 was $225.86.
The graph below shows the closing value of L3Harris Technologies,
Inc. for each day such value was available from January 3, 2012 to
November 28, 2022. We obtained the closing values from Bloomberg
L.P., without independent verification. If certain corporate
transactions occurred during the historical period shown below,
including, but not limited to, spin-offs or mergers, then the
closing values shown below for the period prior to the occurrence
of any such transaction have been adjusted by Bloomberg L.P. as if
any such transaction had occurred prior to the first day in the
period shown below. You should not take historical closing values
as an indication of future performance.
L3Harris Technologies, Inc. –
Historical Closing Values
January 3,
2012 to November 28, 2022 |
 |
|
Citigroup Global Markets Holdings
Inc. |
| |
Information About Okta, Inc.
Okta, Inc. develops internet applications software. The company
offers automated user management, integration, mobile
identification, multifactor authentication, and reporting software.
The underlying shares of Okta, Inc. are registered under the
Securities Exchange Act of 1934, as amended (the “Exchange Act”).
Information provided to or filed with the SEC by Okta, Inc.
pursuant to the Exchange Act can be located by reference to the SEC
file number 001-38044 through the SEC’s website at
http://www.sec.gov. In addition, information regarding Okta, Inc.
may be obtained from other sources including, but not limited to,
press releases, newspaper articles and other publicly disseminated
documents. The underlying shares of Okta, Inc. trade on the NASDAQ
Global Select Market under the ticker symbol “OKTA.”
We have derived all information regarding Okta, Inc. from publicly
available information and have not independently verified any
information regarding Okta, Inc. This pricing supplement relates
only to the securities and not to Okta, Inc. We make no
representation as to the performance of Okta, Inc. over the term of
the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Okta, Inc. 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 Okta, Inc. on November 28, 2022 was
$50.20.
The graph below shows the closing value of Okta, Inc. for each day
such value was available from April 7, 2017 to November 28, 2022.
We obtained the closing values from Bloomberg L.P., without
independent verification. If certain corporate transactions
occurred during the historical period shown below, including, but
not limited to, spin-offs or mergers, then the closing values shown
below for the period prior to the occurrence of any such
transaction have been adjusted by Bloomberg L.P. as if any such
transaction had occurred prior to the first day in the period shown
below. You should not take historical closing values as an
indication of future performance.
Okta, Inc. – Historical Closing
Values
April 7,
2017 to November 28, 2022 |
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Citigroup Global Markets Holdings
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Information About Palo Alto Networks, Inc.
Palo Alto Networks, Inc. offers firewalls that identify and control
applications, scan content to stop threats and prevent data
leakage. The underlying shares of Palo Alto Networks, Inc. are
registered under the Securities Exchange Act of 1934, as amended
(the “Exchange Act”). Information provided to or filed with the SEC
by Palo Alto Networks, Inc. pursuant to the Exchange Act can be
located by reference to the SEC file number 001-35594 through the
SEC’s website at http://www.sec.gov. In addition, information
regarding Palo Alto Networks, Inc. may be obtained from other
sources including, but not limited to, press releases, newspaper
articles and other publicly disseminated documents. The underlying
shares of Palo Alto Networks, Inc. trade on the NASDAQ Global
Select Market under the ticker symbol “PANW.”
We have derived all information regarding Palo Alto Networks, Inc.
from publicly available information and have not independently
verified any information regarding Palo Alto Networks, Inc. This
pricing supplement relates only to the securities and not to Palo
Alto Networks, Inc. We make no representation as to the performance
of Palo Alto Networks, Inc. over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Palo Alto
Networks, Inc. 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 Palo Alto Networks, Inc. on November 28, 2022
was $171.39.
The graph below shows the closing value of Palo Alto Networks, Inc.
for each day such value was available from October 25, 2021 to
November 28, 2022. The underlying shares of Palo Alto Networks,
Inc. began trading on October 25, 2021 and therefore have a limited
historical performance. We obtained the closing values from
Bloomberg L.P., without independent verification. If certain
corporate transactions occurred during the historical period shown
below, including, but not limited to, spin-offs or mergers, then
the closing values shown below for the period prior to the
occurrence of any such transaction have been adjusted by Bloomberg
L.P. as if any such transaction had occurred prior to the first day
in the period shown below. You should not take historical closing
values as an indication of future performance.
Palo Alto Networks, Inc. –
Historical Closing Values
October 25,
2021 to November 28, 2022 |
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Citigroup Global Markets Holdings
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Information About Raytheon Technologies Corporation
Raytheon Technologies Corporation operates as an aircraft
manufacturing company. The underlying shares of Raytheon
Technologies Corporation are registered under the Securities
Exchange Act of 1934, as amended (the “Exchange Act”). Information
provided to or filed with the SEC by Raytheon Technologies
Corporation pursuant to the Exchange Act can be located by
reference to the SEC file number 001-00812 through the SEC’s
website at http://www.sec.gov. In addition, information regarding
Raytheon Technologies Corporation may be obtained from other
sources including, but not limited to, press releases, newspaper
articles and other publicly disseminated documents. The underlying
shares of Raytheon Technologies Corporation trade on the New York
Stock Exchange under the ticker symbol “RTX.”
We have derived all information regarding Raytheon Technologies
Corporation from publicly available information and have not
independently verified any information regarding Raytheon
Technologies Corporation. This pricing supplement relates only to
the securities and not to Raytheon Technologies Corporation. We
make no representation as to the performance of Raytheon
Technologies Corporation over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Raytheon
Technologies Corporation 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 Raytheon Technologies Corporation on November
28, 2022 was $96.90.
The graph below shows the closing value of Raytheon Technologies
Corporation for each day such value was available from January 3,
2012 to November 28, 2022. We obtained the closing values from
Bloomberg L.P., without independent verification. If certain
corporate transactions occurred during the historical period shown
below, including, but not limited to, spin-offs or mergers, then
the closing values shown below for the period prior to the
occurrence of any such transaction have been adjusted by Bloomberg
L.P. as if any such transaction had occurred prior to the first day
in the period shown below. You should not take historical closing
values as an indication of future performance.
Raytheon Technologies Corporation –
Historical Closing Values
January 3,
2012 to November 28, 2022 |
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Citigroup Global Markets Holdings
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Information About Splunk Inc.
Splunk Inc. provides software that collects and analyzes machine
data generated by websites, applications, servers, networks, and
mobile devices. The underlying shares of Splunk Inc. are registered
under the Securities Exchange Act of 1934, as amended (the
“Exchange Act”). Information provided to or filed with the SEC by
Splunk Inc. pursuant to the Exchange Act can be located by
reference to the SEC file number 001-35498 through the SEC’s
website at http://www.sec.gov. In addition, information regarding
Splunk Inc. may be obtained from other sources including, but not
limited to, press releases, newspaper articles and other publicly
disseminated documents. The underlying shares of Splunk Inc. trade
on the NASDAQ Global Select Market under the ticker symbol
“SPLK.”
We have derived all information regarding Splunk Inc. from publicly
available information and have not independently verified any
information regarding Splunk Inc. This pricing supplement relates
only to the securities and not to Splunk Inc. We make no
representation as to the performance of Splunk Inc. over the term
of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Splunk Inc. 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 Splunk Inc. on November 28, 2022 was
$76.48.
The graph below shows the closing value of Splunk Inc. for each day
such value was available from April 19, 2012 to November 28, 2022.
We obtained the closing values from Bloomberg L.P., without
independent verification. If certain corporate transactions
occurred during the historical period shown below, including, but
not limited to, spin-offs or mergers, then the closing values shown
below for the period prior to the occurrence of any such
transaction have been adjusted by Bloomberg L.P. as if any such
transaction had occurred prior to the first day in the period shown
below. You should not take historical closing values as an
indication of future performance.
Splunk Inc. – Historical Closing
Values
April 19,
2012 to November 28, 2022 |
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Citigroup Global Markets Holdings
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Information About Zscaler, Inc.
Zscaler, Inc. operates as a security services company. The company
offers a cloud-based Internet security platform that provides web
and mobile security, threat protection, cloud application
visibility, and cloud-enabled networking solutions. Zscaler, Inc.
serves clients worldwide. The underlying shares of Zscaler, Inc.
are registered under the Securities Exchange Act of 1934, as
amended (the “Exchange Act”). Information provided to or filed with
the SEC by Zscaler, Inc. pursuant to the Exchange Act can be
located by reference to the SEC file number 001-38413 through the
SEC’s website at http://www.sec.gov. In addition, information
regarding Zscaler, Inc. may be obtained from other sources
including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents. The underlying shares of
Zscaler, Inc. trade on the NASDAQ Global Select Market under the
ticker symbol “ZS.”
We have derived all information regarding Zscaler, Inc. from
publicly available information and have not independently verified
any information regarding Zscaler, Inc. This pricing supplement
relates only to the securities and not to Zscaler, Inc. We make no
representation as to the performance of Zscaler, Inc. over the term
of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Zscaler, Inc. 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 Zscaler, Inc. on November 28, 2022 was
$136.72.
The graph below shows the closing value of Zscaler, Inc. for each
day such value was available from March 16, 2018 to November 28,
2022. We obtained the closing values from Bloomberg L.P., without
independent verification. If certain corporate transactions
occurred during the historical period shown below, including, but
not limited to, spin-offs or mergers, then the closing values shown
below for the period prior to the occurrence of any such
transaction have been adjusted by Bloomberg L.P. as if any such
transaction had occurred prior to the first day in the period shown
below. You should not take historical closing values as an
indication of future performance.
Zscaler, Inc. – Historical Closing
Values
March 16,
2018 to November 28, 2022 |
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Citigroup Global Markets Holdings
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United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the
Securities” in the accompanying product supplement and “Summary
Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, which
is based on current market conditions, a security should be treated
as a prepaid forward contract for U.S. federal income tax purposes.
By purchasing a security, you agree (in the absence of an
administrative determination or judicial ruling to the contrary) to
this treatment. There is uncertainty regarding this treatment, and
the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in
the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
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You should not recognize taxable income over the term of the
securities prior to maturity, other than pursuant to a sale or
exchange. |
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Upon a sale or exchange of a security (including retirement at
maturity), you should recognize capital gain or loss equal to the
difference between the amount realized and your tax basis in the
security. Such gain or loss should be long-term capital gain or
loss if you held the security for more than one year. |
We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the
securities could materially and adversely affect the tax
consequences of ownership and disposition of the securities,
including the timing and character of income recognized. In
addition, the U.S. Treasury Department and the IRS have requested
comments on various issues regarding the U.S. federal income tax
treatment of “prepaid forward contracts” and similar financial
instruments and have indicated that such transactions may be the
subject of future regulations or other guidance. Furthermore,
members of Congress have proposed legislative changes to the tax
treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of
these issues could materially and adversely affect the tax
consequences of an investment in the securities, possibly with
retroactive effect. You should consult your tax adviser regarding
possible alternative tax treatments of the securities and potential
changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in
“United States Federal Tax Considerations” in the accompanying
product supplement, if you are a Non-U.S. Holder (as defined in the
accompanying product supplement) of the securities, you generally
should not be subject to U.S. federal withholding or income tax in
respect of any amount paid to you with respect to the securities,
provided that (i) income in respect of the securities is not
effectively connected with your conduct of a trade or business in
the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product
supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30%
withholding tax on dividend equivalents paid or deemed paid to
Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities (“U.S. Underlying Equities”) or indices
that include U.S. Underlying Equities. Section 871(m) generally
applies to instruments that substantially replicate the economic
performance of one or more U.S. Underlying Equities, as determined
based on tests set forth in the applicable Treasury regulations.
However, the regulations, as modified by an IRS notice, exempt
financial instruments issued prior to January 1, 2025 that do not
have a “delta” of one. Based on the terms of the securities and
representations provided by us, our counsel is of the opinion that
the securities should not be treated as transactions that have a
“delta” of one within the meaning of the regulations with respect
to any U.S. Underlying Equity and, therefore, should not be subject
to withholding tax under Section 871(m).
A
determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this
treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other
transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts
withheld.
You should read the section entitled “United States Federal Tax
Considerations” in the accompanying product supplement. The
preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP
regarding the material U.S. federal tax consequences of owning and
disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an
investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing
jurisdiction.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and
the underwriter of the sale of the securities, is acting as
principal and will receive an underwriting fee of up to $23.50 for
each security sold in this offering. The actual underwriting fee
will be equal to the selling concession provided to selected
dealers, as described in this paragraph. From this underwriting
fee, CGMI will pay selected dealers not affiliated with CGMI a
variable selling concession of up to $23.50 for each security they
sell to accounts other than fee-based advisory accounts.
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
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Citigroup Global Markets Holdings
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bond component using a discount rate based on our internal funding
rate. CGMI calculated the estimated value of the derivative
component based on a proprietary derivative-pricing model, which
generated a theoretical price for the instruments that constitute
the derivative component based on various inputs, including the
factors described under “Summary Risk Factors—The value of the
securities prior to maturity will fluctuate based on many
unpredictable factors” in this pricing supplement, but not
including our or Citigroup Inc.’s creditworthiness. These inputs
may be market-observable or may be based on assumptions made by
CGMI in its discretionary judgment.
For a period of approximately three months following issuance of
the securities, the price, if any, at which CGMI would be willing
to buy the securities from investors, and the value that will be
indicated for the securities on any brokerage account statements
prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will
reflect a temporary upward adjustment from the price or value that
would otherwise be determined. This temporary upward adjustment
represents a portion of the hedging profit expected to be realized
by CGMI or its affiliates over the term of the securities. The
amount of this temporary upward adjustment will decline to zero on
a straight-line basis over the three-month temporary adjustment
period. However, CGMI is not obligated to buy the securities from
investors at any time. See “Summary Risk Factors—The securities
will not be listed on any securities exchange and you may not be
able to sell them prior to maturity.”
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to Citigroup Global Markets Holdings Inc., when
the securities offered by this pricing supplement have been
executed and issued by Citigroup Global Markets Holdings Inc. and
authenticated by the trustee pursuant to the indenture, and
delivered against payment therefor, such securities and the related
guarantee of Citigroup Inc. will be valid and binding obligations
of Citigroup Global Markets Holdings Inc. and Citigroup Inc.,
respectively, enforceable in accordance with their respective
terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of
reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair
dealing and the lack of bad faith), provided that such counsel
expresses no opinion as to the effect of fraudulent conveyance,
fraudulent transfer or similar provision of applicable law on the
conclusions expressed above. This opinion is given as of the date
of this pricing supplement and is limited to the laws of the State
of New York, except that such counsel expresses no opinion as to
the application of state securities or Blue Sky laws to the
securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of
Alexia Breuvart, Secretary and General Counsel of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Associate General
Counsel—Capital Markets of Citigroup Inc. In addition, this opinion
is subject to the assumptions set forth in the letter of Davis Polk
& Wardwell LLP dated May 11, 2021, which has been filed as an
exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on
May 11, 2021, that the indenture has been duly authorized, executed
and delivered by, and is a valid, binding and enforceable agreement
of, the trustee and that none of the terms of the securities nor
the issuance and delivery of the securities and the related
guarantee, nor the compliance by Citigroup Global Markets Holdings
Inc. and Citigroup Inc. with the terms of the securities and the
related guarantee respectively, will result in a violation of any
provision of any instrument or agreement then binding upon
Citigroup Global Markets Holdings Inc. or Citigroup Inc., as
applicable, or any restriction imposed by any court or governmental
body having jurisdiction over Citigroup Global Markets Holdings
Inc. or Citigroup Inc., as applicable.
In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the
securities offered by this pricing supplement have been duly
established under the indenture and the Board of Directors (or a
duly authorized committee thereof) of Citigroup Global Markets
Holdings Inc. has duly authorized the issuance and sale of such
securities and such authorization has not been modified or
rescinded; (ii) Citigroup Global Markets Holdings Inc. is validly
existing and in good standing under the laws of the State of New
York; (iii) the indenture has been duly authorized, executed and
delivered by Citigroup Global Markets Holdings Inc.; and (iv) the
execution and delivery of such indenture and of the securities
offered by this pricing supplement by Citigroup Global Markets
Holdings Inc., and the performance by Citigroup Global Markets
Holdings Inc. of its obligations thereunder, are within its
corporate powers and do not contravene its certificate of
incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is
limited to the laws of the State of New York.
Alexia Breuvart, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies
certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc.,
certificates or documents as she has deemed appropriate as a basis
for the opinions expressed above. In such examination, she or such
persons has assumed the legal capacity of all natural persons, the
genuineness of all signatures (other than those of officers of
Citigroup Global Markets Holdings Inc.), the authenticity of all
documents submitted to her or such persons as originals, the
conformity to original documents of all documents submitted to her
or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly
authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such securities by Citigroup Inc. and such
authorization has not been 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.
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Citigroup Global Markets Holdings
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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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