|
Citigroup Global Markets Holdings
Inc. |
November 28, 2022
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2022—USNCH15002
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302 and 333-255302-03
|
Callable Fixed to Float SOFR CMS Spread Range Accrual Notes
Contingent on the S&P 500® Index Due December 1,
2042
|
§ |
Variable coupon.
The notes will pay interest at a fixed rate specified below for two
years following issuance. After the second year, contingent
interest will accrue on the notes during each accrual period at a
rate based on the SOFR CMS spread described below, but only
for each elapsed day during that accrual period on which the
accrual condition is satisfied. The accrual condition will be
satisfied on an elapsed day only if the closing level of the
underlying index on that day is greater than or equal to the
accrual barrier level. Accordingly, contingent interest during each
accrual period, if any, will depend on the SOFR CMS spread and the
level of the underlying index. The amount of interest payable on
the notes may be adversely affected by adverse movements in
either one of these variables, regardless of the
performance of the other. The notes may pay low or no interest for
extended periods of time or even throughout the entire term after
the second year. |
|
§ |
Call
right. We have the right to call the notes for mandatory
redemption on any coupon payment date beginning approximately one
year after the issue date. |
|
§ |
The
notes offered by this pricing supplement are unsecured debt
securities issued by Citigroup Global Markets Holdings Inc. and
guaranteed by Citigroup Inc. 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 notes if we and
Citigroup Inc. default on our obligations. All payments on the
notes 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 notes are
fully and unconditionally guaranteed by Citigroup Inc. |
|
Stated principal amount: |
$1,000 per note |
|
Underlying index: |
S&P 500®
Index |
|
SOFR CMS spread: |
On any SOFR CMS spread
determination date, the 30-year U.S. Dollar SOFR ICE swap rate
(“SOFR CMS30”) minus the 2-year U.S. Dollar SOFR ICE swap
rate (“SOFR CMS2”) on that day. SOFR CMS 30 and SOFR
CMS2 are each referred to as a “USD SOFR ICE swap rate.” See
“Additional Terms of the Notes” and “Information About SOFR, the
USD SOFR ICE Swap Rates and the SOFR CMS Spread” in this pricing
supplement. |
|
SOFR CMS spread determination date: |
For any accrual period, the
second U.S. government securities business day prior to the first
day of that accrual period |
|
Pricing date: |
November 28, 2022 |
|
Issue date: |
November 30, 2022 |
|
Maturity date: |
Unless earlier redeemed, December
1, 2042 |
|
Payment at maturity: |
Unless
earlier redeemed, $1,000 per note plus the coupon payment
due at maturity, if any |
|
Coupon payments: |
On each coupon payment date occurring during the first two
years following issuance of the notes, the notes will pay a
fixed coupon of 13.00% per annum, regardless of the SOFR CMS spread
or the level of the underlying index.
On each coupon payment date after the second year (beginning
in March 2025), you will receive a coupon payment at an annual rate
equal to the variable coupon rate for that coupon payment date. The
variable coupon rate for any coupon payment date after the second
year will be determined as follows:
|
|
|
relevant contingent rate per
annum × |
number of accrual days during the related accrual period
|
|
| |
number of elapsed days during the related accrual
period |
|
|
|
Each coupon
payment per note will be equal to (i) $1,000 multiplied by
the applicable variable coupon rate per annum multiplied by
(ii) day count fraction. If the number of accrual days in a
given accrual period is less than the number of elapsed days in
that accrual period, the variable coupon rate for the related
coupon payment date will be less than the full relevant contingent
rate, and if there are no accrual days in a given accrual period,
the variable coupon rate for the related coupon payment date will
be 0%. |
|
Relevant contingent rate: |
The relevant contingent rate for any coupon payment date after the
second year following issuance of the notes means:
50.00 × the SOFR CMS spread (as of the SOFR CMS spread
determination date for the related accrual period), subject to a
minimum relevant contingent rate of 0.00% per annum and a maximum
relevant contingent rate of 13.00% per annum.
If the SOFR CMS spread for any SOFR CMS spread determination
date is less than or equal to 0.00%, the relevant contingent rate
for that accrual period will be 0.00% and you will not receive any
coupon payment on the related coupon payment date. The relevant
contingent rate will in no event exceed the maximum relevant
contingent rate.
|
|
Initial index level: |
3,963.94, the closing level of
the underlying index on the pricing date |
|
Accrual barrier level: |
1,981.970, 50% of the initial
index level |
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Listing: |
The notes will not be listed on
any securities exchange |
|
Underwriter: |
Citigroup Global Markets Inc.
(“CGMI”), an affiliate of the issuer, acting as
principal |
|
Underwriting fee and issue price: |
Issue
price(1) |
Underwriting
fee(2) |
Proceeds to
issuer(3) |
|
Per
note: |
$1,000 |
$50 |
$950 |
|
Total: |
$380,000 |
$19,000 |
$361,000 |
(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of
the notes is $878.70 per note, which is less than the issue price.
The estimated value of the notes is based on CGMI’s proprietary
pricing models and our internal funding rate. It is not an
indication of actual profit to CGMI or other of our affiliates, nor
is it an indication of the price, if any, at which CGMI or any
other person may be willing to buy the notes from you at any time
after issuance. See “Valuation of the Notes” in this pricing
supplement.
(2) CGMI will receive an underwriting fee of up to $50 per note,
and from such underwriting fee will allow selected dealers a
selling concession of up to $50 per note depending on market
conditions that are relevant to the value of the notes at the time
an order to purchase the notes is submitted to CGMI. Dealers
who purchase the notes for sales to eligible institutional
investors and/or to investors purchasing the notes in fee-based
advisory accounts may forgo some or all selling concessions, and
CGMI may forgo some or all of the underwriting fee for sales it
makes to eligible institutional investors and/or to investors
purchasing the notes in fee-based advisory accounts. The per
note underwriting fee in the table above represents the maximum
underwriting fee payable per note. The total underwriting fee
and proceeds to issuer in the table above give effect to the actual
total proceeds to issuer. You should refer to “Risk Factors” and
“Supplemental Plan of Distribution” in this pricing supplement for
more information. In addition to the underwriting fee, CGMI and its
affiliates may profit from hedging activity related to this
offering, even if the value of the notes declines. See “Use of
Proceeds and Hedging” in the accompanying prospectus.
(3) The per note proceeds to issuer indicated above represent the
minimum per note proceeds to issuer for any note, assuming the
maximum per note underwriting fee. As noted above, the underwriting
fee is variable.
Concurrent with this offering of the notes, the issuer is offering
other notes that are similar to the notes but that have economic
terms that differ from those provided by the notes. The differences
in the economic terms reflect differences in costs to the issuer in
connection with the distribution of the notes and such other
notes.
Investing in the notes 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 (the “SEC”) nor any state securities commission
has approved or disapproved of the notes or determined that this
pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus are
truthful or complete. Any representation to the contrary is a
criminal offense. You should read this pricing
supplement together with the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus, which
can be accessed via the following hyperlinks:
Prospectus
Supplement and Prospectus each dated May 11, 2021
The
notes are not bank deposits and are not insured or guaranteed by
the Federal Deposit Insurance Corporation or any other governmental
agency, nor are they obligations of, or guaranteed by, a
bank.
|
Citigroup Global Markets Holdings
Inc. |
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KEY TERMS (CONTINUED) |
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Coupon payment dates: |
The 1st day of each March, June,
September and December, beginning on March 1, 2023, except that the
final coupon payment date will be the maturity date (or the earlier
date on which we redeem the notes, if applicable). Each coupon
payment date is subject to postponement to the following business
day if such day is not a business day. No interest will accrue as a
result of any delayed payment. |
|
Day count fraction: |
30/360. See “Additional Terms of
the Notes—Day Count Fraction” in this pricing supplement for more
information. |
|
Accrual period: |
For each coupon payment date
after the second year following issuance of the notes, the period
from and including the immediately preceding coupon payment date to
but excluding such coupon payment date |
|
Accrual day: |
An elapsed day on which the
accrual condition is satisfied |
|
Elapsed day: |
Calendar day |
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Accrual condition: |
The accrual condition will be
satisfied on an elapsed day if, and only if, the closing level of
the underlying index is greater than or equal to the accrual
barrier level on that elapsed day. For purposes of determining
whether the accrual condition is satisfied on any elapsed day, if
the closing level of the underlying index is not available for any
reason on that day (including weekends and holidays), the closing
level of the underlying index will be assumed to be the same as on
the immediately preceding elapsed day (subject to the discussion in
the section “Description of the Notes—Terms Related to the
Underlying Index—Discontinuance or Material Modification of the
Underlying Index” in the accompanying product supplement). In
addition, for all elapsed days from and including the
fourth-to-last day that is a scheduled trading day for the
underlying index in an accrual period to and including the last
elapsed day of that accrual period, the closing level of the
underlying index will not be observed and will be assumed to be the
same as on the elapsed day immediately preceding such unobserved
days. |
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Early redemption: |
We
have the right to redeem the notes, in whole and not in part, on
any coupon payment date on or after December 1, 2023 upon not less
than five business days’ notice for an amount in cash equal to 100%
of the stated principal amount of your notes plus the coupon
payment due on the date of redemption, if any. |
|
CUSIP / ISIN: |
17330YLZ1 / US17330YLZ15 |
Additional Information
The terms of the notes are set forth in the accompanying product
supplement, prospectus supplement and prospectus, as supplemented
by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures
that are not repeated in this pricing supplement. For example,
certain events may occur that could affect the amount of any
variable coupon payment you receive. These events and their
consequences are described in the accompanying product supplement
in the section “Description of the Notes—Terms Related to the
Underlying Index—Discontinuance or Material Modification of the
Underlying Index” and not in this pricing supplement. In addition,
the accompanying underlying supplement contains important
disclosures regarding the underlying index that are not repeated in
this pricing supplement. It is important that you read the
accompanying product supplement, underlying supplement, prospectus
supplement and prospectus together with this pricing supplement in
connection with your investment in the notes. Certain terms used
but not defined in this pricing supplement are defined in the
accompanying product supplement. For provisions related to the SOFR
CMS rates, see “Additional Terms of the Notes” in this pricing
supplement.
|
Citigroup Global Markets Holdings
Inc. |
| |
Hypothetical Examples
Variable Coupon
Payments
The sections below provide
examples of how the variable coupon payments on the notes will be
determined. The first section, “—Determining the Hypothetical
Relevant Contingent Rate,” provides a limited number of
hypothetical examples of how the relevant contingent rate for any
accrual period will be determined based on hypothetical SOFR CMS
spread values, as determined on the second U.S. government
securities business day prior to the beginning of the applicable
accrual period. The second section, “—Determining the Hypothetical
Variable Coupon Rates and Variable Coupon Payments,” provides a
limited number of hypothetical examples of how the coupon payments
on the notes will be determined based on a limited number of
hypothetical relevant contingent interest rates and a limited
number of hypothetical accrual days during a hypothetical accrual
period. The figures below have been rounded for ease of
analysis.
Determining the
Hypothetical Relevant Contingent Rate
The table below presents
examples of hypothetical relevant contingent rates based on various
hypothetical SOFR CMS spread values.
|
Example |
Hypothetical SOFR CMS Spread* |
Hypothetical Relevant Contingent Rate per
Annum** |
|
1 |
-1.00% |
0.00% |
|
2 |
-0.80% |
0.00% |
|
3 |
-0.60% |
0.00% |
|
4 |
-0.40% |
0.00% |
|
5 |
-0.20% |
0.00% |
|
6 |
0.00% |
0.00% |
|
7 |
0.10% |
5.00% |
|
8 |
0.20% |
10.00% |
|
9 |
0.30% |
13.00% |
|
10 |
0.40% |
13.00% |
|
11 |
0.50% |
13.00% |
|
12 |
0.60% |
13.00% |
|
13 |
0.80% |
13.00% |
|
14 |
1.00% |
13.00% |
|
15 |
1.20% |
13.00% |
|
16 |
1.40% |
13.00% |
|
17 |
1.60% |
13.00% |
|
18 |
1.80% |
13.00% |
|
19 |
2.00% |
13.00% |
|
20 |
2.20% |
13.00% |
|
21 |
2.40% |
13.00% |
|
22 |
2.60% |
13.00% |
_______________________________
* Hypothetical SOFR CMS
spread = (SOFR CMS30 – SOFR CMS2), where SOFR CMS30 and SOFR CMS2
are determined on the second U.S. government securities business
day prior to the beginning of the applicable accrual
period.
** Hypothetical relevant
contingent rate per annum for the accrual period = 50.00 ×
hypothetical SOFR CMS spread, subject to a minimum of 0.00% and a
maximum of 13.00% per annum.
Determining the Hypothetical Variable Coupon Rates and Variable
Coupon Payments
The tables below present
examples of the hypothetical variable coupon rate and hypothetical
variable coupon payments after the second year following issuance
of the notes based on the number of accrual days in a particular
accrual period and different assumptions about the SOFR CMS spread.
For illustrative purposes only, the tables assume an accrual period
that contains 90 elapsed days and that the notes have not
previously been redeemed. The actual coupon payment for any coupon
payment date after the second year will depend on the actual number
of accrual days and elapsed days during the related accrual period
and the actual SOFR CMS spread on the SOFR CMS spread determination
date for that accrual period. The variable coupon rate for each
accrual period will apply only to that accrual period.
|
Citigroup Global Markets Holdings
Inc. |
| |
Assuming the SOFR CMS
spread is 0.10% on the applicable SOFR CMS spread determination
date:
|
Hypothetical Number of Accrual Days in Accrual
Period* |
Hypothetical Relevant Contingent Rate per
Annum** |
Hypothetical Variable Coupon Rate per Annum*** |
Hypothetical Variable Coupon Payment per
Note**** |
|
0 |
5.00% |
0.000% |
$0.00 |
|
15 |
5.00% |
0.833% |
$2.08 |
|
30 |
5.00% |
1.667% |
$4.17 |
|
45 |
5.00% |
2.500% |
$6.25 |
|
60 |
5.00% |
3.333% |
$8.33 |
|
75 |
5.00% |
4.167% |
$10.42 |
|
90 |
5.00% |
5.000% |
$12.50 |
Assuming the SOFR CMS
spread is 2.00% on the applicable SOFR CMS spread determination
date:
|
Hypothetical Number of Accrual Days in Accrual
Period* |
Hypothetical Relevant Contingent Rate per
Annum** |
Hypothetical Variable Coupon Rate per Annum*** |
Hypothetical Variable Coupon Payment per
Note**** |
|
0 |
13.00% |
0.000% |
$0.00 |
|
15 |
13.00% |
2.167% |
$5.42 |
|
30 |
13.00% |
4.333% |
$10.83 |
|
45 |
13.00% |
6.500% |
$16.25 |
|
60 |
13.00% |
8.667% |
$21.67 |
|
75 |
13.00% |
10.833% |
$27.08 |
|
90 |
13.00% |
13.000% |
$32.50 |
Assuming the SOFR CMS
spread is 0.00% on the applicable SOFR CMS spread determination
date:
|
Hypothetical Number of Accrual Days in Accrual
Period* |
Hypothetical Relevant Contingent Rate per
Annum** |
Hypothetical Variable Coupon Rate per Annum*** |
Hypothetical Variable Coupon Payment per
Note**** |
|
0 |
0.00% |
0.000% |
$0.00 |
|
15 |
0.00% |
0.000% |
$0.00 |
|
30 |
0.00% |
0.000% |
$0.00 |
|
45 |
0.00% |
0.000% |
$0.00 |
|
60 |
0.00% |
0.000% |
$0.00 |
|
75 |
0.00% |
0.000% |
$0.00 |
|
90 |
0.00% |
0.000% |
$0.00 |
_______________________________
* An accrual day is an
elapsed day on which the accrual condition is satisfied (i.e., on
which the closing level of the underlying index is greater than or
equal to the accrual barrier level)
** The hypothetical relevant
contingent rate is equal to 50.00 × SOFR CMS spread (as of the SOFR
CMS spread determination date for the related accrual period),
subject to a minimum of 0.00% and a maximum of 13.00% per
annum
*** The hypothetical variable
coupon rate per annum is equal to (i) the hypothetical relevant
contingent rate per annum multiplied by (ii) (a) the
hypothetical number of accrual days in the related accrual period,
divided by (b) 90
**** The hypothetical
variable coupon payment per note is equal to (i) $1,000
multiplied by the hypothetical variable coupon rate per
annum, multiplied by (ii) day count fraction
|
Citigroup Global Markets Holdings
Inc. |
| |
Summary Risk Factors
An investment in the notes is significantly riskier than an
investment in conventional debt securities. The notes are subject
to all of the risks associated with an investment in our
conventional debt securities (guaranteed by Citigroup Inc.),
including the risk that we and Citigroup Inc. may default on our
obligations under the notes, and are also subject to risks
associated with SOFR CMS30, SOFR CMS2 and the underlying index.
Accordingly, the notes are suitable only for investors who are
capable of understanding the complexities and risks of the notes.
You should consult your own financial, tax and legal advisors as to
the risks of an investment in the notes and the suitability of the
notes in light of your particular circumstances.
The following is a summary of certain key risk factors for
investors in the notes. You should read this summary together with
the more detailed description of risks relating to an investment in
the notes contained in the section “Risk Factors Relating to the
Notes” beginning on page EA-6 in the accompanying product
supplement. You should also carefully read the risk factors
included in the accompanying prospectus supplement and in the
documents incorporated by reference in the accompanying prospectus,
including Citigroup Inc.’s most recent Annual Report on Form 10-K
and any subsequent Quarterly Reports on Form 10-Q, which describe
risks relating to the business of Citigroup Inc. more
generally.
|
§ |
The notes offer a variable coupon rate after the second year
following issuance, and you may not receive any coupon payment on
one or more coupon payment dates. Any variable coupon payment
you receive will be paid at a per annum rate equal to the relevant
contingent rate for the applicable coupon payment date only
if the accrual condition is satisfied on each elapsed
day during the related accrual period. The accrual condition will
be satisfied on any elapsed day only if the closing level of
the underlying index on that elapsed day is greater than or equal
to the accrual barrier level. If, on any elapsed day during an
accrual period, the accrual condition is not satisfied, the
applicable variable coupon payment will be paid at a rate that is
less, and possibly significantly less, than the relevant contingent
rate. If, on each elapsed day during an accrual period, the accrual
condition is not satisfied, no variable coupon payment will be made
on the related coupon payment date. Accordingly, there can be no
assurance that you will receive a variable coupon payment on any
coupon payment date or that any variable coupon payment you do
receive will be calculated at the full relevant contingent rate.
Furthermore, because the relevant contingent rate is a floating
rate determined by reference to the SOFR CMS spread, the notes are
subject to a contingency associated with the SOFR CMS spread. The
relevant contingent rate will vary based on fluctuations in the
SOFR CMS spread. If the SOFR CMS spread narrows, the relevant
contingent rate will be reduced. The relevant contingent rate may
be as low as zero for any coupon payment date. If the relevant
contingent rate is zero for any coupon payment date, you will not
receive any variable coupon payment on that coupon payment date
even if the accrual condition is satisfied on each elapsed day in
the related accrual period. Thus, the notes are not a suitable
investment for investors who require regular fixed income
payments. |
|
§ |
Although the notes
provide for the repayment of the stated principal amount at
maturity, you may nevertheless suffer a loss on your investment in
the notes, in real value terms, if you receive below-market or no
variable coupon payments after the second year of the term of the
notes. This is because inflation may cause the real value of
the stated principal amount to be less at maturity than it is at
the time you invest, and because an investment in the notes
represents a forgone opportunity to invest in an alternative asset
that does generate a positive real return. You should carefully
consider whether an investment that may not provide for any return
on your investment, or may provide a return that is lower than the
return on alternative investments, is appropriate for
you. |
|
§ |
The relevant contingent rate may decline, possibly to 0.00%, if
short-term interest rates rise. Although there is no single
factor that determines SOFR CMS spreads, the spread between longer-
and shorter-term interest rates has historically tended to fall
when short-term interest rates rise. Short-term interest rates have
historically been highly sensitive to the monetary policy of the
Federal Reserve Board. Accordingly, one significant risk assumed by
investors in the notes is that the Federal Reserve Board may pursue
a policy of raising short-term interest rates, which, if historical
patterns hold, would lead to a decrease in the SOFR CMS spread. In
that event, the relevant contingent rate would be reduced, and may
be 0.00%, and the floating rate payable on the notes would also
decline significantly, possibly to 0.00%. It is important to
understand, however, that short-term interest rates are affected by
many factors and may increase even in the absence of a Federal
Reserve Board policy to increase short-term interest rates.
Furthermore, it is important to understand that the SOFR CMS spread
may decrease even in the absence of an increase in short-term
interest rates because it, too, is influenced by many complex
factors. |
|
§ |
The relevant contingent rate on the notes may be lower than
other market interest rates. The relevant contingent rate on
the notes will not necessarily move in line with general U.S.
market interest rates or even USD SOFR ICE swap rates and, in fact,
may move inversely with general U.S. market interest rates. For
example, if there is a general increase in USD SOFR ICE swap rates
but shorter-term rates rise more than longer-term rates, the SOFR
CMS spread will decrease, as will the relevant contingent rate.
Accordingly, the notes are not appropriate for investors who seek
floating interest payments based on general market interest
rates. |
|
§ |
The relevant contingent rate on the notes is subject to a
cap. As a result, the notes may pay interest at a lower rate
than an alternative instrument that is not so capped. |
|
§ |
The higher potential yield offered by the notes is
associated with greater risk that the notes will pay a low or no
coupon on one or more coupon payment dates. The notes
offer coupon payments with the potential to result in a higher
yield than the yield on our conventional debt securities of the
same maturity. You should understand that, in exchange for this
potentially higher yield, you will be exposed to significantly
greater risks than investors in our conventional debt securities
(guaranteed by Citigroup Inc.). These risks include the risk that
the variable coupon payments you receive, if any, will result in a
yield on the notes that is lower, and perhaps significantly lower,
than the yield on our conventional debt securities of the same
maturity that are guaranteed by Citigroup Inc. The volatility of
the SOFR CMS spread and the underlying index, and the correlation
between the SOFR CMS spread and the |
|
Citigroup Global Markets Holdings
Inc. |
| |
underlying index, are important factors affecting this risk.
Greater expected volatility and/or lower expected correlation as of
the pricing date may contribute to the higher yield potential, but
would also represent a greater expected likelihood as of the
pricing date that, after the second year, you will receive low or
no coupon payments on the notes.
|
§ |
The
notes are subject to risks associated with the USD SOFR ICE swap
spread and the underlying index and may be negatively affected by
adverse movements in either one of these variables,
regardless of the performance of the other. The amount of any
variable coupon payments you receive will depend on the performance
of the SOFR CMS spread and the underlying index. If the SOFR CMS
spread is low or zero, causing the relevant contingent rate to be
low or zero, the notes will pay a low or no coupon even if the
closing level of the underlying index is consistently greater than
the accrual barrier level. Conversely, even if the SOFR CMS spread
is high, causing the relevant contingent rate to be high, the notes
will pay no coupon if the closing level of the underlying index is
consistently less than the accrual barrier level. Accordingly, you
will be subject to risks associated with the SOFR CMS spread and
the underlying index, and your return on the notes will depend
significantly on the relationship between such risks over the term
of the notes. If either one performs sufficiently poorly, you may
receive low or no variable coupon payments for an extended period
of time, or even throughout the entire period following the second
year of the term of the notes, even if the other performs
favorably. |
|
§ |
The
variable coupon payments depend on multiple variables, and you are
therefore exposed to greater risks of receiving no variable coupon
payments after the second year than if the notes were linked to
just one variable. The risk that you will receive no variable
coupon payment on one or more coupon payment dates after the second
year is greater if you invest in the notes as opposed to
substantially similar securities that are linked to the performance
of just one variable. With multiple variables, it is more likely
that the notes will accrue low or no interest during an accrual
period than if payments on the notes were contingent on only one
variable. |
|
§ |
The
notes will be subject to risks associated with the SOFR CMS
spread. The relevant contingent rate for any coupon payment
date after the second year following issuance of the notes will
depend on the SOFR CMS spread as of the SOFR CMS spread
determination date for the related accrual period. |
The relevant contingent rate will not depend on the absolute level
of either SOFR CMS30 or SOFR CMS2, but rather on the relationship
between SOFR CMS30 and SOFR CMS2—specifically, whether SOFR CMS30
is greater than SOFR CMS2. Many factors affect SOFR CMS30 and SOFR
CMS2, such that future values of SOFR CMS30 and SOFR CMS2 and their
relationship are impossible to predict. If the SOFR CMS spread for
any SOFR CMS spread determination date is less than or equal to
0.00%, the relevant contingent rate for that accrual period will be
0.00% and you will not receive any coupon payment on the related
coupon payment date.
Although there is no single factor that determines the SOFR CMS
spread, the spread between longer- and shorter-term interest rates
has historically tended to fall when short-term interest rates
rise. As with USD SOFR ICE swap rates, short-term interest rates
are influenced by many complex factors, and it is impossible to
predict their future performance. However, historically short-term
interest rates have been highly sensitive to the monetary policy of
the Federal Reserve Board. Accordingly, one significant risk
assumed by investors in the notes is that the Federal Reserve Board
may pursue a policy of raising short-term interest rates, which, if
historical patterns hold, would lead to a decrease in the SOFR CMS
spread, possibly to a level that is below 0.00%. It is important to
understand that, although the policies of the Federal Reserve Board
have historically had a significant influence on short-term
interest rates, short-term interest rates are affected by many
factors and may increase even in the absence of a Federal Reserve
Board policy to increase short-term interest rates. Furthermore, it
is important to understand that the SOFR CMS spread may decrease
even in the absence of an increase in short-term interest rates
because it, too, is influenced by many complex factors. Another
circumstance when the spread between longer- and shorter-term
interest rates has historically tended to fall and become negative
is when the market expects an economic recession. Accordingly,
another significant risk assumed by investors in the notes is that
the market may anticipate a recession or that there may be a
recession.
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The notes may be called for mandatory redemption at our option
after the first year of their term, which limits your ability to
receive variable coupon payments if the SOFR CMS spread and the
underlying index performs favorably. In determining whether to
redeem the notes, we will consider various factors, including then
current market interest rates and our expectations about payments
we will be required to make on the notes in the future. If we call
the notes for mandatory redemption, we will do so at a time that is
advantageous to us and without regard to your interests. We are
more likely to redeem the notes at a time when the SOFR CMS spread
and underlying index are performing favorably from your perspective
and when we expect them to continue to do so. Therefore, although
the notes offer variable coupon payments after the second year
following issuance of the notes with the potential to result in a
higher yield than the yield on our conventional debt securities of
the same maturity, if the notes are paying that higher yield and we
expect them to continue to do so, it is more likely that we would
redeem the notes. Accordingly, the redemption feature of the notes
is likely to limit the benefits you receive from the variable
coupon payments. If we exercise our redemption right prior to
maturity, you may not be able to reinvest your funds in another
investment that provides a similar yield with a similar level of
risk. Alternatively, if the SOFR CMS spread and/or the underlying
index is performing unfavorably from your perspective or when we
expect it to do so in the future, we are less likely to call the
notes, so that you may continue to hold notes paying below-market
or no interest for an extended period of time. |
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The closing level of the underlying index will not be
observed on certain days and will be assumed to be the same as on
earlier days, which will cause certain days to have a greater
weight in determining the variable coupon rate. With respect to
an elapsed day on which the closing level of the underlying index
is not available, the closing level of such underlying index for
that day will be deemed to be the same as on the immediately
preceding elapsed day on which the level is available. In addition,
for purposes of determining whether the accrual condition is
satisfied, for all elapsed days from and including the
fourth-to-last day that is a scheduled trading day for the
underlying index in an accrual period to and including the last
elapsed day of that accrual period, the |
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closing level of the underlying index will not be observed and will
be assumed to be the same as on the elapsed day immediately
preceding such unobserved days. The relative weighting of the
applicable preceding elapsed day will be magnified for purposes of
determining whether such elapsed day qualifies as an accrual day.
Under these circumstances, if the applicable preceding elapsed day
is not an accrual day, each successive day on which the closing
level of that underlying index is not observed will also not
qualify as an accrual day. As a result, to the extent that such
preceding elapsed day is not an accrual day, such preceding elapsed
day will have a greater weight in determining the number of accrual
days during an accrual period. This could adversely affect the
amount of any variable coupon payment.
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The return on the notes will be limited. The return on
the notes will be limited to the sum of your coupon payments, even
if the closing level of the underlying index greatly exceeds its
initial index level at one or more times during the term of the
notes. The maximum possible return on the notes after the second
year is the maximum relevant contingent rate indicated on the cover
of this pricing supplement, which would be achieved only if (i) the
relevant contingent rate is the maximum relevant contingent rate
for each accrual period and (ii) the closing level of the
underlying index is greater than or equal to the accrual barrier
level on each elapsed day during the term of the notes after the
second year. You will not receive the dividend yield on, or share
in any appreciation of, any underlying index over the term of the
notes. |
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You may not be adequately compensated for assuming the risks
of the notes. The fixed coupon payments during the first two
years following issuance of the notes and the variable coupon
payments you receive on the notes, if any, after the second year
are the compensation you receive for assuming the risks of the
notes, including interest rate risk, the risk that we may call the
notes and our and Citigroup Inc.’s credit risk. That compensation
is effectively “at risk” and may, therefore, be less than you
currently anticipate. The actual yield you realize on the notes
could be lower than you anticipate because the coupon payments
after the second year are variable and you may not receive any
variable coupon payment after the second year. If the risks of the
notes increase or are otherwise greater than you currently
anticipate, the coupon payments may turn out to be inadequate to
compensate you for all the risks of the notes. |
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The notes are subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc. If we default on our
obligations under the notes and Citigroup Inc. defaults on its
guarantee obligations, you may not receive anything owed to you
under the notes. |
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The notes will not be listed on any securities exchange and
you may not be able to sell them prior to maturity. The notes
will not be listed on any securities exchange. Therefore, there may
be little or no secondary market for the notes. CGMI currently
intends to make a secondary market in relation to the notes and to
provide an indicative bid price for the notes on a daily basis. Any
indicative bid price for the notes provided by CGMI will be
determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will
not be a representation by CGMI that the notes can be sold at that
price, or at all. CGMI may suspend or terminate making a market and
providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there
may be no secondary market at all for the notes because it is
likely that CGMI will be the only broker-dealer that is willing to
buy your notes prior to maturity. Accordingly, an investor must be
prepared to hold the notes until maturity. |
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Sale of the notes
prior to maturity may result in a loss of principal. You will
be entitled to receive at least the full stated principal amount of
your notes, subject to the credit risk of Citigroup Global Markets
Holdings Inc. and Citigroup Inc., only if you hold the notes to
maturity. The value of the notes may fluctuate during the term of
the notes, and if you are able to sell your notes prior to
maturity, you may receive less than the full stated principal
amount of your notes. |
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The notes may be riskier than notes with a shorter term.
The notes have a relatively long term to maturity, subject to our
right to call the notes for mandatory redemption prior to maturity.
By purchasing notes with a longer term, you are more exposed to
fluctuations in market interest rates and equity markets than if
you purchased notes with a shorter term. Specifically, you will be
negatively affected if the SOFR CMS spread decreases or if the
closing level of the underlying index falls below the accrual
barrier level. If either (i) the SOFR CMS spread decreases to a
value that is equal to or less than 0.00% or (ii) the closing level
of the underlying index is less than the accrual barrier level on
each day during an entire accrual period, you will be holding a
long-dated note that does not pay any coupon. |
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The estimated value of the notes on the pricing date, based
on CGMI’s proprietary pricing models and our internal funding rate,
is less than the issue price. The difference is attributable to
certain costs associated with selling, structuring and hedging the
notes that are included in the issue price. These costs include (i)
the selling concessions paid in connection with the offering of the
notes, (ii) hedging and other costs incurred by us and our
affiliates in connection with the offering of the notes and (iii)
the expected profit (which may be more or less than actual profit)
to CGMI or other of our affiliates in connection with hedging our
obligations under the notes. These costs adversely affect the
economic terms of the notes because, if they were lower, the
economic terms of the notes would be more favorable to you. The
economic terms of the notes are also likely to be adversely
affected by the use of our internal funding rate, rather than our
secondary market rate, to price the notes. See “The estimated value
of the notes would be lower if it were calculated based on our
secondary market rate” below. |
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The estimated value of the notes was determined for us by
our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing
supplement from its proprietary pricing models. In doing so, it may
have made discretionary judgments about the inputs to its models,
such as the volatility of the underlying index and the SOFR CMS
spread, the correlation between the underlying index and the SOFR
CMS spread, dividend yields on the stocks that constitute the
underlying index and interest rates. CGMI’s views on these inputs
may differ from your or others’ views, and as an underwriter in
this offering, |
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CGMI’s interests may conflict with yours. Both the models and the
inputs to the models may prove to be wrong and therefore not an
accurate reflection of the value of the notes. Moreover, the
estimated value of the notes set forth on the cover page of this
pricing supplement may differ from the value that we or our
affiliates may determine for the notes for other purposes,
including for accounting purposes. You should not invest in the
notes because of the estimated value of the notes. Instead, you
should be willing to hold the notes to maturity irrespective of the
initial estimated value.
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The estimated value of the notes would be lower if it were
calculated based on our secondary market rate. The estimated
value of the notes included in this pricing supplement is
calculated based on our internal funding rate, which is the rate at
which we are willing to borrow funds through the issuance of the
notes. Our internal funding rate is generally lower than our
secondary market rate, which is the rate that CGMI will use in
determining the value of the notes for purposes of any purchases of
the notes from you in the secondary market. If the estimated value
included in this pricing supplement were based on our secondary
market rate, rather than our internal funding rate, it would likely
be lower. We determine our internal funding rate based on factors
such as the costs associated with the notes, which are generally
higher than the costs associated with conventional debt securities,
and our liquidity needs and preferences. Our internal funding rate
is not the same as the coupon that is payable on the notes. |
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our
secondary market rate based on the market price of traded
instruments referencing the debt obligations of Citigroup Inc., our
parent company and the guarantor of all payments due on the notes,
but subject to adjustments that CGMI makes in its sole discretion.
As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s
perception of our parent company’s creditworthiness as adjusted for
discretionary factors such as CGMI’s preferences with respect to
purchasing the notes prior to maturity.
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The estimated value of the notes is not an indication of the
price, if any, at which CGMI or any other person may be willing to
buy the notes from you in the secondary market. Any such
secondary market price will fluctuate over the term of the notes
based on the market and other factors described in the next risk
factor. Moreover, unlike the estimated value included in this
pricing supplement, any value of the notes determined for purposes
of a secondary market transaction will be based on our secondary
market rate, which will likely result in a lower value for the
notes than if our internal funding rate were used. In addition, any
secondary market price for the notes will be reduced by a bid-ask
spread, which may vary depending on the aggregate stated principal
amount of the notes to be purchased in the secondary market
transaction, and the expected cost of unwinding related hedging
transactions. As a result, it is likely that any secondary market
price for the notes will be less than the issue price. |
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The value of the notes prior to maturity will fluctuate
based on many unpredictable factors. The value of your notes
prior to maturity will fluctuate based on the level and volatility
of the underlying index and the SOFR CMS spread and a number of
other factors, including the dividend yields on the stocks that
constitute the underlying index, expectations of future values of
the SOFR CMS spread, interest rates generally, the positive or
negative correlation between the SOFR CMS spread and the underlying
index, the time remaining to maturity of the notes and our and
Citigroup Inc.’s creditworthiness, as reflected in our secondary
market rate. Changes in the levels of the SOFR CMS spread and/or
the underlying index may not result in a comparable change in the
value of your notes. You should understand that the value of your
notes at any time prior to maturity may be significantly less than
the issue price. |
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Immediately following issuance, any secondary market bid
price provided by CGMI, and the value that will be indicated on any
brokerage account statements prepared by CGMI or its affiliates,
will reflect a temporary upward adjustment. The amount of this
temporary upward adjustment will steadily decline to zero over the
temporary adjustment period. See “Valuation of the Notes” in this
pricing supplement. |
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The relationship between SOFR CMS30 and SOFR CMS2 may be
different than the relationship between USD SOFR ICE swap rates of
different maturities. The relevant contingent rate may be lower
than it would be if it were based on a USD SOFR ICE swap rates with
a longer maturity than 30 years or a shorter maturity than 2
years. |
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SOFR
CMS30 and SOFR CMS2 will be affected by a number of factors and may
be highly volatile. SOFR CMS30 and SOFR CMS2 are influenced by
many factors, including: |
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the
monetary policies of the Federal Reserve Board; |
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current
market expectations about future interest rates; |
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current
market expectations about inflation; |
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the
volatility of the foreign exchange markets; |
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the
availability of relevant hedging instruments; |
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supply
and demand for overnight U.S. Treasury repurchase agreements;
and |
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general
credit and economic conditions in global markets, and particularly
in the United States. |
As a result of these factors, SOFR CMS30 and SOFR CMS2 may be
highly volatile. Because SOFR CMS30 and SOFR CMS2 are market rates
and are influenced by many factors, it is impossible to predict the
future values of SOFR CMS30 and SOFR CMS2.
The SOFR CMS spread will be influenced by a number of complex
economic factors, including those that affect CMS rates generally.
However, the SOFR CMS spread depends not on how the relevant
economic factors affect any one USD SOFR ICE swap rate or even
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USD SOFR ICE swap rates generally, but rather on how those factors
affect USD SOFR ICE swap rates of different maturities (i.e., SOFR
CMS30 and SOFR CMS2) differently.
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The
USD SOFR ICE swap rates and SOFR have limited histories and future
performance cannot be predicted based on historical
performance. The publication of the USD SOFR ICE swap rates
began in November 2021, and, therefore, have a limited history. ICE
Benchmark Administration Limited (“IBA”) launched the USD SOFR ICE
swap rates for use as a reference rate for financial instruments in
order to aid the market’s transition to SOFR and away from LIBOR.
However, the composition and characteristics of SOFR differ from
those of LIBOR in material respects, and the historical performance
of LIBOR and the USD LIBOR-based swap rates will have no bearing on
the performance of SOFR or the USD SOFR ICE swap rates. In
addition, the publication of SOFR began in April 2018, and,
therefore, it has a limited history. The future performance of the
USD SOFR ICE swap rates and SOFR cannot be predicted based on the
limited historical performance. The levels of USD SOFR ICE swap
rates and SOFR during the term of the notes may bear little or no
relation to the historical actual or historical indicative data.
Prior observed patterns, if any, in the behavior of market
variables and their relation to USD SOFR ICE swap rates and SOFR,
such as correlations, may change in the future. While some
pre-publication historical data for SOFR has been released by the
Federal Reserve Bank of New York (the “NY Federal Reserve”),
production of such historical indicative SOFR data inherently
involves assumptions, estimates and approximations. No future
performance of USD SOFR ICE swap rates or SOFR may be inferred from
any of the historical actual or historical indicative SOFR data.
Hypothetical or historical performance data are not indicative of,
and have no bearing on, the potential performance of USD SOFR ICE
swap rates or SOFR. Changes in the levels of SOFR will affect USD
SOFR ICE swap rates and, therefore, the return on the notes and the
value of the notes, but it is impossible to predict whether such
levels will rise or fall. |
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A
lack of input data may impact IBA’s ability to calculate and
publish the USD SOFR ICE swap rates. The input data for the USD
SOFR ICE swap rates is based on swaps referencing SOFR as the
floating leg. The USD SOFR ICE swap rates are dependent on
receiving sufficient eligible input data, from the trading venue
sources identified by IBA in accordance with the “Waterfall”
methodology for each USD SOFR ICE swap rate. The ability of the
applicable trading venues to provide sufficient eligible input data
in accordance with the Waterfall methodology depends on, among
other things, there being a liquid market in swap contracts
referencing SOFR on such trading venues, which in turn depends,
among other things, on there being a liquid market in loans,
floating rate notes and other financial contracts referencing SOFR.
Because SOFR’s use as a reference rate for financial contracts
began relatively recently and the related market for SOFR-based
swaps is relatively new, there is limited information on which to
assess potential future liquidity in SOFR-based swap markets or in
the market for SOFR-based financial contracts more generally. If
the market for SOFR-based swap contracts is not sufficiently
liquid, or if the liquidity in such market proves to be volatile,
this could result in the inability of IBA to calculate a USD SOFR
ICE swap rate, which could adversely affect the return on and value
of the notes and the price at which you are able to sell the notes
in the secondary market, if any. In addition, if SOFR does not
maintain market acceptance for use as a reference rate for U.S.
dollar denominated financial contracts, uncertainty about SOFR may
adversely affect the return on and the value of the
notes. |
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The
USD SOFR ICE swap rates may be determined by the calculation agent
in good faith using its reasonable judgment. If, on any SOFR
CMS spread determination date, a USD SOFR ICE swap rate is not
published (subject to a discontinuance as described below), then
the applicable USD SOFR ICE swap rate on that day will be
determined by the calculation agent in good faith and using its
reasonable judgment. A USD SOFR ICE swap rate determined in this
manner and used in the determination of any amounts payable on the
notes may be different from the USD SOFR ICE swap rate that would
have been published by the administrator of the USD SOFR ICE swap
rate. |
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The
manner in which USD SOFR ICE swap rates are calculated may change
in the future. The method by which USD SOFR ICE swap rates are
calculated may change in the future, as a result of governmental
actions, actions by the publisher of USD SOFR ICE swap rates or
otherwise. We cannot predict whether the method by which USD SOFR
ICE swap rates are calculated will change or what the impact of any
such change might be. Any such change could affect USD SOFR ICE
swap rates in a way that has a significant adverse effect on the
notes. |
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Our
offering of the notes is not a recommendation of the SOFR CMS
spread or the underlying index. The fact that we are offering
the notes does not mean that we believe that investing in an
instrument linked to the SOFR CMS spread and the underlying index
is likely to achieve favorable returns. In fact, as we are part of
a global financial institution, our affiliates may have positions
(including short positions) in the stocks that constitute the
underlying index or in instruments related to the SOFR CMS spread
or the underlying index or such stocks, and may publish research or
express opinions, that in each case are inconsistent with an
investment linked to the SOFR CMS spread and the underlying index.
These and other activities of our affiliates may affect the SOFR
CMS spread or the level of the underlying index in a way that has a
negative impact on your interests as a holder of the
notes. |
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Investing in the
notes is not equivalent to investing in the underlying index or the
stocks that constitute the underlying index. You will not have
voting rights, rights to receive dividends or other distributions
or any other rights with respect to the stocks that constitute the
underlying index. You will not participate in any appreciation of
the underlying index over the term of the notes. |
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Adjustments to any
underlying index may affect the value of your notes. The
sponsor of the underlying index may add, delete or substitute the
stocks that constitute the underlying index or make other
methodological changes that could affect the level of the
underlying index. The sponsor of the underlying index may
discontinue or suspend calculation or publication of the underlying
index at any time without regard to your interests as a holder of
the notes. |
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USD
SOFR ICE swap rates and the level of the underlying index may be
adversely affected by our or our affiliates’ hedging and other
trading activities. We have hedged our obligations under the
notes through CGMI or other of our affiliates, who have taken
positions directly in the interest rate swaps that are used to
determine USD SOFR ICE swap rates and/or in stocks that constitute
the underlying index and other financial instruments related to
such interest rate swaps, the underlying index or such stocks and
may |
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adjust such positions during the term of the notes. Our affiliates
also trade the interest rate swaps that are used to determine USD
SOFR ICE swap rates and the stocks that constitute the underlying
index and other financial instruments related to such interest rate
swaps, the underlying index or such stocks on a regular basis
(taking long or short positions or both), for their accounts, for
other accounts under their management or to facilitate transactions
on behalf of customers. These activities could affect USD SOFR ICE
swap rates and/or the level of the underlying index in a way that
negatively affects the value of the notes. They could also result
in substantial returns for us or our affiliates while the value of
the notes declines.
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We
and our affiliates may have economic interests that are adverse to
yours as a result of our affiliates’ business activities. Our
affiliates may currently or from time to time engage in business
with the issuers of the stocks that constitute the underlying
index, including extending loans to, making equity investments in
or providing advisory services to such issuers. In the course of
this business, we or our affiliates may acquire non-public
information about such issuers, which we will not disclose to you.
Moreover, if any of our affiliates is or becomes a creditor of any
such issuer, they may exercise any remedies against such issuer
that are available to them without regard to your
interests. |
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The calculation agent, which is an affiliate of ours, will
make important determinations with respect to the notes. If
certain events occur, such as market disruption events or the
discontinuance of the underlying index or a USD SOFR ICE swap rate,
CGMI, as calculation agent, will be required to make discretionary
judgments that could significantly affect your return on the notes.
Any of these determinations made by Citibank, N.A. in its capacity
as calculation agent may adversely affect any variable interest
payment owed to you under the notes or the amount paid to you at
maturity. |
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Additional Terms of the Notes
Determination of a USD SOFR ICE Swap
Rate
A USD SOFR ICE swap rate of a given
maturity on any date of determination is the swap rate for a
fixed-for-floating U.S. Dollar SOFR-linked interest rate swap
transaction with that maturity as published by the administrator of
the USD SOFR ICE swap rate as of 11:00 a.m. (New York City time) on
that date of determination. If the applicable USD SOFR ICE swap
rate is not published on any U.S. government securities business
day on which such rate is required (subject to “—Discontinuance of
a USD SOFR ICE Swap Rate” below), then the applicable USD SOFR ICE
swap rate for that date will be determined by the calculation agent
in good faith and using its reasonable judgment.
In a fixed-for-floating U.S. Dollar
SOFR-linked interest rate swap transaction, one party pays a fixed
rate (the “swap rate”) and the other pays a floating rate based on
the secured overnight financing rate (“SOFR”) compounded in arrears
for twelve months using standard market conventions. SOFR is
intended to be a broad measure of the cost of borrowing cash
overnight collateralized by Treasury securities. For more
information about SOFR, see “About SOFR” in this pricing
supplement.
IBA is the current administrator of the
USD SOFR ICE swap rate. According to publicly available information
(which we have not independently verified), IBA currently
determines the USD SOFR ICE swap rate based on a “waterfall”
methodology using eligible input data in respect of SOFR-linked
interest rate swaps. The first level of the waterfall (“Level 1”)
uses eligible, executable prices and volumes provided by regulated,
electronic, trading venues. If these trading venues do not provide
sufficient eligible input data to calculate a rate in accordance
with Level 1 of the methodology, then the second level of the
waterfall (“Level 2”) uses eligible dealer to client prices and
volumes displayed electronically by trading venues. If there is
insufficient eligible input data to calculate a rate in accordance
with Level 2 of the waterfall, then the third level of the
waterfall (“Level 3”) uses movement interpolation, where possible
for applicable tenors, to calculate a rate. Where it is not
possible to calculate a USD SOFR ICE swap rate at Level 1, Level 2
or Level 3 of the waterfall on a given date, then the USD SOFR ICE
swap rate will not be published for that date.
A “U.S. government securities business
day” means any day that is not a Saturday, a Sunday or a day on
which The Securities Industry and Financial Markets Association’s
U.S. holiday schedule recommends that the fixed income departments
of its members be closed for the entire day for purposes of trading
in U.S. government securities.
Discontinuance of a USD SOFR ICE Swap
Rate
If the calculation and publication of a
USD SOFR ICE swap rate is permanently canceled, then the
calculation agent may identify an alternative rate that it
determines, in its sole discretion, represents the same or a
substantially similar measure or benchmark as the applicable USD
SOFR ICE swap rate, and the calculation agent may deem that rate
(the “successor rate”) to be the applicable USD SOFR ICE swap rate.
Upon the selection of any successor rate by the calculation agent
pursuant to this paragraph, references in this pricing supplement
to the original USD SOFR ICE swap rate will no longer be deemed to
refer to the original USD SOFR ICE swap rate and will be deemed
instead to refer to that successor rate for all purposes. In
such event, the calculation agent will make such adjustments, if
any, to any value of the applicable USD SOFR ICE swap rate that is
used for purposes of the notes and to any other terms of the notes
as it determines are appropriate in the circumstances. Upon any
selection by the calculation agent of a successor rate, the
calculation agent will cause notice to be furnished to us and the
trustee.
If the calculation and publication of a USD SOFR ICE swap rate is
permanently canceled and no successor rate is chosen as described
above, then the calculation agent will calculate the value of the
applicable USD SOFR ICE swap rate on each subsequent date of
determination in good faith and using its reasonable judgment. Such
value, as calculated by the calculation agent, will be the relevant
USD SOFR ICE swap rate for all purposes.
Notwithstanding these alternative arrangements, the cancellation of
a USD SOFR ICE swap rate may adversely affect payments on, and the
value of, the notes.
Day Count Fraction
Notwithstanding anything to the contrary in the accompanying
product supplement, each coupon payment per note will be equal to
(i) $1,000 multiplied by the applicable coupon rate per annum
multiplied by (ii) Day Count Fraction, where Day Count Fraction
will be calculated based on the following formula:
where:
“Y1” is the year, expressed as a number, in which the
first day of the interest calculation period falls;
“Y2” is the year, expressed as a number, in which the
day immediately following the last day included in the interest
calculation period falls;
“M1” is the calendar month, expressed as a number, in
which the first day of the interest calculation period falls;
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“M2” is the calendar month, expressed as a number, in
which the day immediately following the last day included in the
interest calculation period falls;
“D1” is the first calendar day, expressed as a number,
of the interest calculation period, unless such number would be 31,
in which case D1 will be 30; and
“D2” is the calendar day, expressed as a number,
immediately following the last day included in the interest
calculation period, unless such number would be 31 and
D1 is greater than 29, in which case
D2 will be 30.
For purposes of the above formula, the “interest calculation
period” with respect to any coupon payment date is the period from,
and including, the immediately preceding coupon payment date (or,
in the case of the first coupon payment date, the issue date) to,
but excluding, the current coupon payment date.
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Information About SOFR, the USD SOFR ICE Swap Rates and the SOFR
CMS Spread
SOFR
SOFR is published by the NY Federal Reserve and is intended to be a
broad measure of the cost of borrowing cash overnight
collateralized by Treasury securities. The NY Federal Reserve
reports that SOFR includes all trades in the Broad General
Collateral Rate, plus bilateral Treasury repurchase agreement
(“repo”) transactions cleared through the delivery-versus-payment
service offered by the Fixed Income Clearing Corporation (the
“FICC”), a subsidiary of The Depository Trust & Clearing
Corporation (“DTCC”). SOFR is filtered by the NY Federal Reserve to
remove a portion of the foregoing transactions considered to be
“specials”. According to the NY Federal Reserve, “specials” are
repos for specific-issue collateral which take place at
cash-lending rates below those for general collateral repos because
cash providers are willing to accept a lesser return on their cash
in order to obtain a particular security.
The NY Federal Reserve reports that SOFR is calculated as a
volume-weighted median of transaction-level tri-party repo data
collected from The Bank of New York Mellon, which currently acts as
the clearing bank for the tri-party repo market, as well as General
Collateral Finance Repo transaction data and data on bilateral
Treasury repo transactions cleared through the FICC’s
delivery-versus-payment service. The NY Federal Reserve notes that
it obtains information from DTCC Solutions LLC, an affiliate of
DTCC.
The NY Federal Reserve currently publishes SOFR daily on its
website. The NY Federal Reserve states on its publication page for
SOFR that use of SOFR is subject to important disclaimers,
limitations and indemnification obligations, including that the NY
Federal Reserve may alter the methods of calculation, publication
schedule, rate revision practices or availability of SOFR at any
time without notice. Information contained in the publication page
for SOFR is not incorporated by reference in, and should not be
considered part of, this pricing supplement.
The USD SOFR ICE Swap Rates
A USD SOFR ICE swap rate for a given maturity is the annual fixed
rate of interest payable on a hypothetical fixed-for-floating U.S.
Dollar interest rate swap transaction with the given maturity. In
such a hypothetical swap transaction, the fixed rate of interest,
payable annually on an actual / 360 basis (i.e., interest accrues
based on the actual number of days elapsed, with a year assumed to
comprise 360 days), is exchangeable for a floating payment stream
based on SOFR (compounded in arrears for twelve months using
standard market conventions), also payable annually on an actual /
360 basis.
Many complex economic factors may influence USD SOFR ICE swap
rates, including:
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the monetary policies of the Federal Reserve Board; |
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current market expectations about future interest rates; |
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current market expectations about inflation; |
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the volatility of the foreign exchange markets; |
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the availability of relevant hedging instruments; |
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supply and demand for overnight U.S. Treasury repurchase
agreements; and |
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general credit and economic conditions in global markets, and
particularly in the United States. |
Because USD SOFR ICE swap rates are market rates and are influenced
by many factors, it is impossible to predict the future value of
any USD SOFR ICE swap rate.
The SOFR CMS Spread
The “SOFR CMS spread” on any day is
equal to the 30-year U.S. Dollar SOFR ICE swap rate (“SOFR CMS30”)
minus the 2-year U.S. Dollar SOFR ICE swap rate (“SOFR
CMS2”) on that day. We refer to each of SOFR CMS30 and SOFR CMS2 as
a “USD SOFR ICE swap rate”.
The relevant contingent rate is based on
the SOFR CMS spread, on not on the absolute level of either SOFR
CMS30 or SOFR CMS2. The relevant contingent rate for any coupon
payment date after the second year following issuance of the notes
will depend on the SOFR CMS spread as of the SOFR CMS spread
determination date for the related accrual period. If the
SOFR CMS spread for any SOFR CMS spread determination date is less
than or equal to 0.00%, the relevant contingent rate for that
accrual period will be 0.00% and you will not receive any coupon
payment on the related coupon payment date.
The SOFR CMS spread is a measure of the difference, or spread,
between two USD SOFR ICE swap rates of different maturities. The
spread between two USD SOFR ICE swap rates of different maturities
may be affected by numerous complex economic factors. It is not
possible to predict whether the spread will be positive or negative
at any time in the future. Investors in the notes are taking the
risk that the spread between SOFR CMS30 and SOFR CMS2 will be zero
or negative, meaning that SOFR CMS30 is equal to or less than SOFR
CMS2.
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Citigroup Global Markets Holdings
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Historical Information
The rate for SOFR CMS30 at 11:00 a.m. (New York time) on November
25, 2022 was 3.049%. The rate for SOFR CMS2 at 11:00 a.m. (New York
time) on November 25, 2022 was 4.516%. As a result, the SOFR CMS
spread on November 25, 2022 was -1.467%.
The graph below shows the daily value of the SOFR CMS spread from
November 18, 2021 to November 25, 2022. We obtained the values
below from Bloomberg L.P., without independent verification. You
should not take the historical values of the SOFR CMS spread as an
indication of the future values of the SOFR CMS spread during the
term of the notes. Publication of
each USD SOFR ICE swap rate began on November 8, 2021, and they
therefore have a limited history.
Historical SOFR CMS Spread (%)
November 18, 2021 to November 25, 2022 |
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Citigroup Global Markets Holdings
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Information About the S&P 500® Index
The S&P 500® Index consists of the common stocks of
500 issuers selected to provide a performance benchmark for the
large capitalization segment of the U.S. equity markets. It is
calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—The S&P
U.S. Indices” in the accompanying underlying supplement for
additional information.
We have derived all information regarding the S&P
500® Index from publicly available information and have
not independently verified any information regarding the S&P
500® Index. This pricing supplement relates only to the
notes 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 notes.
The notes 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 notes or to
holders of the notes.
Historical Information
The closing level of the S&P 500® Index on November
28, 2022 was 3,963.94.
The graph below shows the closing level of the S&P
500® Index for each day such level was available from
January 3, 2012 to November 28, 2022. We obtained the closing
levels from Bloomberg L.P., without independent verification. You
should not take the historical closing levels of the S&P
500® Index as an indication of future performance.
S&P 500® Index — Historical Closing Levels
January 3, 2012 to November 28, 2022 |
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Citigroup Global Markets Holdings
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United States Federal Tax Considerations
In the opinion of our tax counsel, Davis Polk & Wardwell LLP,
the notes will be treated as “contingent payment debt instruments”
for U.S. federal income tax purposes, as described in the section
of the accompanying prospectus supplement called “United States
Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes
Treated as Contingent Payment Debt Instruments,” and the remaining
discussion assumes this treatment is respected.
If you are a U.S. Holder, you will be required to recognize
interest income at the “comparable yield,” which generally is the
yield at which we could issue a fixed-rate debt instrument with
terms similar to those of the notes, including the level of
subordination, term, timing of payments and general market
conditions, but excluding any adjustments for the riskiness of the
contingencies or the liquidity of the notes. Although it is not
clear how the comparable yield should be determined for notes that
may be redeemed before maturity, our determination of the
comparable yield is based on the maturity date. We are required to
construct a “projected payment schedule” in respect of the notes
representing a payment or a series of payments the amount and
timing of which would produce a yield to maturity on the notes
equal to the comparable yield. The amount of interest you include
in income in each taxable year based on the comparable yield will
be adjusted upward or downward to reflect the difference, if any,
between the actual and projected payments on the notes as
determined under the projected payment schedule.
We have determined that the comparable yield for a note is a rate
of 5.450%, compounded quarterly, and that the projected payment
schedule with respect to a note consists of the following payments
(subject to the applicable business day convention):
| March
1, 2023 |
$32.500 |
March
1, 2028 |
$14.123 |
March
1, 2033 |
$8.341 |
March
1, 2038 |
$5.983 |
| June
1, 2023 |
$32.500 |
June
1, 2028 |
$14.123 |
June
1, 2033 |
$8.341 |
June
1, 2038 |
$5.983 |
| September
1, 2023 |
$32.500 |
September
1, 2028 |
$14.123 |
September
1, 2033 |
$8.341 |
September
1, 2038 |
$5.983 |
| December
1, 2023 |
$32.500 |
December
1, 2028 |
$14.123 |
December
1, 2033 |
$8.341 |
December
1, 2038 |
$5.983 |
| March
1, 2024 |
$32.500 |
March
1, 2029 |
$13.351 |
March
1, 2034 |
$7.502 |
March
1, 2039 |
$6.384 |
| June
1, 2024 |
$32.500 |
June
1, 2029 |
$13.351 |
June
1, 2034 |
$7.502 |
June
1, 2039 |
$6.384 |
| September
1, 2024 |
$32.500 |
September
1, 2029 |
$13.351 |
September
1, 2034 |
$7.502 |
September
1, 2039 |
$6.384 |
| December
1, 2024 |
$12.682 |
December
1, 2029 |
$13.351 |
December
1, 2034 |
$7.502 |
December
1, 2039 |
$6.384 |
| March
1, 2025 |
$15.509 |
March
1, 2030 |
$12.197 |
March
1, 2035 |
$6.821 |
March
1, 2040 |
$6.846 |
| June
1, 2025 |
$15.509 |
June
1, 2030 |
$12.197 |
June
1, 2035 |
$6.821 |
June
1, 2040 |
$6.846 |
| September
1, 2025 |
$15.509 |
September
1, 2030 |
$12.197 |
September
1, 2035 |
$6.821 |
September
1, 2040 |
$6.846 |
| December
1, 2025 |
$15.509 |
December
1, 2030 |
$12.197 |
December
1, 2035 |
$6.821 |
December
1, 2040 |
$6.846 |
| March
1, 2026 |
$15.326 |
March
1, 2031 |
$10.707 |
March
1, 2036 |
$6.407 |
March
1, 2041 |
$7.215 |
| June
1, 2026 |
$15.326 |
June
1, 2031 |
$10.707 |
June
1, 2036 |
$6.407 |
June
1, 2041 |
$7.215 |
| September
1, 2026 |
$15.326 |
September
1, 2031 |
$10.707 |
September
1, 2036 |
$6.407 |
September
1, 2041 |
$7.215 |
| December
1, 2026 |
$15.326 |
December
1, 2031 |
$10.707 |
December
1, 2036 |
$6.407 |
December
1, 2041 |
$7.215 |
| March
1, 2027 |
$14.689 |
March
1, 2032 |
$9.463 |
March
1, 2037 |
$5.992 |
March
1, 2042 |
$7.486 |
| June
1, 2027 |
$14.689 |
June
1, 2032 |
$9.463 |
June
1, 2037 |
$5.992 |
June
1, 2042 |
$7.486 |
| September
1, 2027 |
$14.689 |
September
1, 2032 |
$9.463 |
September
1, 2037 |
$5.992 |
September
1, 2042 |
$7.486 |
| December
1, 2027 |
$14.689 |
December
1, 2032 |
$9.463 |
December
1, 2037 |
$5.992 |
December
1, 2042 |
$1,007.486 |
Neither the comparable yield nor the projected payment schedule
constitutes a representation by us regarding the actual amounts
that we will pay on the notes.
Upon the sale or exchange of the notes (including retirement upon
early redemption or at maturity), you generally will recognize gain
or loss equal to the difference between the proceeds received and
your adjusted tax basis in the notes. Your adjusted tax basis will
equal your purchase price for the notes, increased by interest
income previously included on the notes (without regard to the
adjustments described above) and decreased by prior payments
according to the projected payment schedule. Any gain generally
will be treated as ordinary income, and any loss generally will be
treated as ordinary loss to the extent of prior net interest
inclusions on the note and as capital loss thereafter.
Non-U.S. Holders. Subject to the discussions below regarding
Section 871(m) and in “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” and “—FATCA” in the accompanying
prospectus supplement, if you are a Non-U.S. Holder (as defined in
the accompanying prospectus supplement) of the notes, under current
law you generally will not be subject to U.S. federal withholding
or income tax in respect of payments on or amounts received on the
sale, exchange, redemption or retirement of the notes, provided
that (i) income in respect of the notes is not effectively
connected with your conduct of a trade or business in the United
States, and (ii) you comply with the applicable certification
requirements. See “United States Federal Tax Considerations—Tax
Consequences to
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Citigroup Global Markets Holdings
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Non-U.S. Holders” in the accompanying prospectus supplement for a
more detailed discussion of the rules applicable to Non-U.S.
Holders of the notes.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying prospectus
supplement, Section 871(m) of the Internal Revenue Code of 1986, as
amended, and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% withholding tax on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to
certain financial instruments linked to U.S. equities (“Underlying
Securities”) or indices that include Underlying Securities. Section
871(m) generally applies to instruments that substantially
replicate the economic performance of one or more Underlying
Securities, as determined based on tests set forth in the
applicable Treasury regulations. However, the regulations, as
modified by an Internal Revenue Service (“IRS”) notice, exempt
financial instruments issued prior to January 1, 2025 that do not
have a “delta” of one. Based on the terms of the notes and
representations provided by us, our tax counsel is of the opinion
that the notes should not be treated as transactions that have a
“delta” of one within the meaning of the regulations with respect
to any Underlying Security and, therefore, should not be subject to
withholding tax under Section 871(m).
A
determination that the notes are not subject to Section 871(m) is
not binding on the IRS, and the IRS may disagree with this
treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other
transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the notes.
If withholding tax applies to the notes, we will not be required to
pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal Tax
Considerations” in the accompanying prospectus supplement. The
preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP
regarding the material U.S. federal tax consequences of owning and
disposing of the notes.
You should also consult your tax adviser regarding all aspects
of the U.S. federal tax consequences of an investment in the notes
and any tax consequences arising under the laws of any state, local
or non-U.S. taxing jurisdiction.
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Citigroup Global Markets Holdings
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Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and
the underwriter of the sale of the notes, is acting as principal
and will receive an underwriting fee of up to $50 per note
depending on market conditions that are relevant to the value of
the notes at the time an order to purchase the notes is submitted
to CGMI. Dealers who purchase the notes for sales to eligible
institutional investors and/or to investors purchasing the notes in
fee-based advisory accounts may forgo some or all selling
concessions, and CGMI may forgo some or all of the underwriting fee
for sales it makes to eligible institutional investors and/or to
investors purchasing the notes in fee-based advisory accounts. In
addition to the underwriting fee, CGMI and its affiliates may
profit from hedging activity related to this offering, even if the
value of the notes declines. See “Use of Proceeds and Hedging” in
the accompanying prospectus. For the avoidance of doubt, the fees
and selling concessions described in this pricing supplement will
not be rebated if the notes 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 Notes
CGMI calculated the estimated value of the notes set forth on the
cover page of this pricing supplement based on proprietary pricing
models. CGMI’s proprietary pricing models generated an estimated
value for the notes by estimating the value of a hypothetical
package of financial instruments that would replicate the payout on
the notes, which consists of a fixed-income bond (the “bond
component”) and one or more derivative instruments underlying the
economic terms of the notes (the “derivative component”). CGMI
calculated the estimated value of the bond component using a
discount rate based on our internal funding rate. CGMI calculated
the estimated value of the derivative component based on a
proprietary derivative-pricing model, which generated a theoretical
price for the instruments that constitute the derivative component
based on various inputs, including the factors described under
“Summary Risk Factors—The value of the notes prior to maturity will
fluctuate based on many unpredictable factors” in this pricing
supplement, but not including our or Citigroup Inc.’s
creditworthiness. These inputs may be market-observable or may be
based on assumptions made by CGMI in its discretionary
judgment.
For a period of approximately twelve months following issuance of
the notes, the price, if any, at which CGMI would be willing to buy
the notes from investors, and the value that will be indicated for
the notes on any brokerage account statements prepared by CGMI or
its affiliates (which value CGMI may also publish through one or
more financial information vendors), will reflect a temporary
upward adjustment from the price or value that would otherwise be
determined. This temporary upward adjustment represents a portion
of the hedging profit expected to be realized by CGMI or its
affiliates over the term of the notes. The amount of this temporary
upward adjustment will decline to zero on a straight-line basis
over the twelve-month temporary adjustment period. However, CGMI is
not obligated to buy the notes from investors at any time. See
“Summary Risk Factors—The notes will not be listed on any
securities exchange and you may not be able to sell them prior to
maturity.”
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to Citigroup Global Markets Holdings Inc., when
the notes offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated
by the trustee pursuant to the indenture, and delivered against
payment therefor, such notes and the related guarantee of Citigroup
Inc. will be valid and binding obligations of Citigroup Global
Markets Holdings Inc. and Citigroup Inc., respectively, enforceable
in accordance with their respective terms, subject to applicable
bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of
general applicability (including, without limitation, concepts of
good faith, fair dealing and the lack of bad faith), provided that
such counsel expresses no opinion as to the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above. This opinion is given as of
the date of this pricing supplement and is limited to the laws of
the State of New York, except that such counsel expresses no
opinion as to the application of state securities or Blue Sky laws
to the notes.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of
Alexia Breuvart, Secretary and General Counsel of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Associate General
Counsel—Capital Markets of Citigroup Inc. In addition, this opinion
is subject to the assumptions set forth in the letter of Davis Polk
& Wardwell LLP dated May 11, 2021, which has been filed as an
exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on
May 11, 2021, that the indenture has been duly authorized, executed
and delivered by, and is a valid, binding and enforceable agreement
of, the trustee and that none of the terms of the notes nor the
issuance and delivery of the notes and the related guarantee, nor
the compliance by Citigroup Global Markets Holdings Inc. and
Citigroup Inc. with the terms of the notes and the related
guarantee respectively, will result in a violation of any provision
of any instrument or agreement then binding upon Citigroup Global
Markets Holdings Inc. or Citigroup Inc., as applicable, or any
restriction imposed by any court or governmental body having
jurisdiction over Citigroup Global Markets Holdings Inc. or
Citigroup Inc., as applicable.
In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the notes
offered by this pricing supplement have been duly established under
the indenture and the Board of Directors (or a duly authorized
committee thereof) of Citigroup Global Markets Holdings Inc. has
duly authorized the issuance and sale of such notes and such
authorization has not been modified or rescinded; (ii) Citigroup
Global Markets Holdings Inc. is validly existing and in good
standing under the laws of the State of New York; (iii) the
indenture has been duly authorized, executed and delivered by
Citigroup Global Markets Holdings Inc.; and (iv) the execution and
delivery of such indenture and of the notes offered by this pricing
supplement by Citigroup Global Markets Holdings Inc., and the
performance by Citigroup Global Markets Holdings Inc. of its
obligations thereunder, are within its corporate
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Citigroup Global Markets Holdings
Inc. |
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powers and do not contravene its certificate of incorporation or
bylaws or other constitutive documents. This opinion is given as of
the date of this pricing supplement and is limited to the laws of
the State of New York.
Alexia Breuvart, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies
certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc.,
certificates or documents as she has deemed appropriate as a basis
for the opinions expressed above. In such examination, she or such
persons has assumed the legal capacity of all natural persons, the
genuineness of all signatures (other than those of officers of
Citigroup Global Markets Holdings Inc.), the authenticity of all
documents submitted to her or such persons as originals, the
conformity to original documents of all documents submitted to her
or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly
authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such notes by Citigroup Inc. and such
authorization has not been modified or rescinded; (ii) Citigroup
Inc. is validly existing and in good standing under the laws of the
State of Delaware; (iii) the indenture has been duly authorized,
executed and delivered by Citigroup Inc.; and (iv) the execution
and delivery of such indenture, and the performance by Citigroup
Inc. of its obligations thereunder, are within its corporate powers
and do not contravene its certificate of incorporation or bylaws or
other constitutive documents. This opinion is given as of the date
of this pricing supplement and is limited to the General
Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies
certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Inc., certificates or documents as
she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the
legal capacity of all natural persons, the genuineness of all
signatures (other than those of officers of Citigroup Inc.), the
authenticity of all documents submitted to her or such persons as
originals, the conformity to original documents of all documents
submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative.
Third-party distributors may contact Citi Structured Investment
Sales at (212) 723-7005.
© 2022 Citigroup Global Markets Inc. All rights
reserved. Citi and Citi and Arc Design are trademarks and service
marks of Citigroup Inc. or its affiliates and are used and
registered throughout the world.
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