Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302 and 333-255302-03
March 16, 2023 Medium-Term Senior Notes, Series N Pricing Supplement No. 2023-USNCH16368 to Product Supplement No. EA-09-01 |
Citigroup Global Markets Holdings Inc. All Payments Due from Citigroup Global Markets Holdings Inc. Fully and Unconditionally Guaranteed by Citigroup Inc. |
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
n | Linked to the lowest performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® (each referred to as an “underlying”) | |
n | Unlike ordinary debt securities, the notes do not pay interest and are subject to potential automatic early redemption upon the terms described below. Whether the notes are automatic™lly called for a fixed call premium or, if not automatically called, the maturity payment amount, will depend, in each case, on the performance of the lowest performing underlying on the applicable calculation day. The lowest performing underlying on any calculation day is the underlying that has the lowest underlying return on that calculation day. | |
n | Automatic Call. If the closing value of the lowest performing underlying on the call date is greater than or equal to its starting value, the notes will be automatically called for redemption for an amount in cash equal to the stated principal amount plus the call premium of 20.30% of the stated principal amount. | |
n | Maturity Payment Amount. If the notes are not automatically called for redemption, you will receive a maturity payment amount that could be greater than or equal to the stated principal amount, depending on the ending value of the lowest performing underlying on the final calculation day as follows: | |
n | If the ending value of the lowest performing underlying on the final calculation day is greater than its starting value, you will receive the stated principal amount plus a positive return equal to 100% of the percentage increase in the value of the lowest performing underlying from its starting value | |
n | If the ending value of the lowest performing underlying on the final calculation day is less than or equal to its starting value, you will be repaid the stated principal amount but will not receive any positive return on your investment | |
n | Repayment of principal at maturity regardless of performance of underlyings (subject to issuer credit risk) | |
n | If the notes are automatically called, the positive return on the notes will be limited to the call premium, and you will not participate in any appreciation of the underlyings beyond the call premium, which may be significant. If the notes are automatically called, you will no longer have the opportunity to participate in any appreciation of the underlyings at the participation rate. | |
n | Your return on the notes will depend solely on the performance of the underlying that is the lowest performing underlying on each calculation day. You will not benefit in any way from the performance of any better performing underlying. Therefore, you will be adversely affected if any underlying performs poorly, even if any other underlying performs favorably | |
n | All payments on the notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.; if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you could lose some or all of your investment | |
n | No periodic interest payments or dividends | |
n | The notes will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should not invest in the notes unless you are willing to hold them to maturity. |
The notes have complex features and investing in the notes involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6 and “Risk Factors” beginning on page PS-5 of the accompanying product supplement and beginning on page S-1 of the accompanying prospectus supplement.
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 or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary is a criminal offense.
The notes are unsecured debt obligations issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. All payments due on the notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. None of Wells Fargo Securities, LLC (“Wells Fargo”) or any of its affiliates will have any liability to the purchasers of the notes in the event Citigroup Global Markets Holdings Inc. defaults on its obligations under the notes and Citigroup Inc. defaults on its guarantee obligations. 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.
Per Note | Total | |
Public Offering Price(1) | $1,000.00 | $600,000.00 |
Underwriting Discount and Commission(2)(3) | $35.75 | $21,450.00 |
Proceeds to Citigroup Global Markets Holdings Inc.(2) | $964.25 | $578,550.00 |
(1) On the date of this pricing supplement, the estimated value of the notes is $933.20 per note, which is less than the public offering price. The estimated value of the notes is based on Citigroup Global Markets Inc.’s (“CGMI”) 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 any 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, an affiliate of Citigroup Global Markets Holdings Inc., as the lead agent for the offering, has agreed to sell the notes to Wells Fargo, as agent. Wells Fargo will receive an underwriting discount and commission of 3.575% ($35.75) for each note it sells. Wells Fargo may pay selected dealers, which may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of its affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), a fixed selling commission of 2.25% ($22.50) for each note they sell. In addition to the selling commission allowed to WFA, Wells Fargo may pay $0.75 per note of the underwriting discount and commission to WFA as a distribution expense fee for each note sold by WFA. The total underwriting discount and commission and proceeds to Citigroup Global Markets Holdings Inc. shown above give effect to the actual underwriting discount and commission provided for the sale of the notes. See “Supplemental Plan of Distribution” below and “Use of Proceeds and Hedging” in the accompanying prospectus for further information regarding how we have hedged our obligations under the notes.
(3) In respect of certain notes sold in this offering, CGMI may pay a fee of up to $4.00 per note to selected securities dealers in consideration for marketing and other services in connection with the distribution of the notes to other securities dealers.
Citigroup Global Markets Inc. | Wells Fargo Securities |
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Terms of the Notes |
Underlyings: | The S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® (each referred to as an “underlying,” and collectively as the “underlyings”) |
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. References in this pricing supplement to a “note” are to a note with a stated principal amount of $1,000. |
Pricing Date: | March 16, 2023 |
Issue Date: | March 21, 2023 |
Final Calculation Day: | March 14, 2028, subject to postponement if such date is not a trading day or certain market disruption events occur as described in the accompanying product supplement. |
Maturity Date: | March 21, 2028, subject to postponement as described in the accompanying product supplement. |
Automatic Call: | If the closing value of the lowest performing underlying on the call date is greater than or equal to its starting value, the notes will be automatically called for redemption on the call settlement date for an amount in cash per note equal to $1,000 plus the call premium.
If the notes are automatically called for redemption, the positive return on the notes will be limited to the call premium, and you will not participate in any appreciation of the underlyings beyond the call premium, which may be significant. If the notes are automatically called, you will no longer have the opportunity to participate in any appreciation of the underlyings at the participation rate.
If the notes are automatically called for redemption, they will cease to be outstanding on the call settlement date and you will have no further rights under the notes after the call settlement date. You will not receive any notice from us if the notes are automatically called. |
Call Date: | September 22, 2025, subject to postponement if such date is not a trading day or certain market disruption events occur as described in the accompanying product supplement. The call date is sometimes referred to herein as a “calculation day.” |
Call Settlement Date: | The fifth business day after the call date. For purposes of the accompanying product supplement, the call settlement date is a “payment date.” |
Call Premium: | 20.30% of the stated principal amount. |
Maturity Payment Amount: | If the notes are not automatically called for redemption prior to maturity, you will receive a maturity payment amount for each $1,000 stated principal amount note you hold at maturity:
• If the ending value of the lowest performing underlying on the final calculation day is greater than its starting value:
$1,000 + ($1,000 × underlying return of the lowest performing underlying on the final calculation day × participation rate)
• If the ending value of the lowest performing underlying on the final calculation day is less than or equal to its starting value: $1,000
If the notes are not automatically called for redemption prior to maturity and the ending value of the lowest performing underlying on the final calculation day is less than or equal to its starting value, you will be repaid the stated principal amount of the notes at maturity but will not receive any positive return on your investment. |
Participation Rate: | 100% |
Starting Value: | With respect to the S&P 500® Index: 3,960.28, its closing value on the pricing date.
|
PS-2
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
With respect to the Russell 2000® Index: 1,771.237, its closing value on the pricing date.
With respect to the Nasdaq-100 Index®: 12,581.39, its closing value on the pricing date. | |
Ending Value: | For each underlying, its closing value on the final calculation day |
Underlying Return: | For each underlying on any calculation day, (its closing value on that calculation day – its starting value) / its starting value |
Lowest Performing Underlying: | For any calculation day, the underlying with the lowest underlying return determined as of that calculation day |
Calculation Agent: | CGMI |
Denominations: | $1,000 and any integral multiple of $1,000 |
CUSIP / ISIN: | 17331HCW4 / US17331HCW43 |
PS-3
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
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, underlying 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 values of the underlyings will be determined and other specified events with respect to the underlyings. The accompanying underlying supplement contains information about the underlyings that is not repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your investment in the notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
When we refer to “we,” “us” and “our” in this pricing supplement, we refer only to Citigroup Global Markets Holdings Inc. and not to any of its affiliates, including Citigroup Inc.
You may access the product supplement, underlying supplement and prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
· | Product Supplement No. EA-09-01 dated November 9, 2022: https://www.sec.gov/Archives/edgar/data/200245/000095010322019433/dp184001_424b2-wf0901.htm |
· | Underlying Supplement No. 10 dated May 11, 2021: https://www.sec.gov/Archives/edgar/data/200245/000095010321007028/dp150879_424b2-us10.htm |
· | Prospectus Supplement and Prospectus, each dated May 11, 2021: https://www.sec.gov/Archives/edgar/data/200245/000119312521157552/d423193d424b2.htm |
PS-4
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Investor Considerations |
The notes are not appropriate for all investors. The notes may be an appropriate investment for investors who:
· | seek the potential for a fixed return if each underlying has appreciated at all as of the call date in lieu of full participation in any potential appreciation of the underlyings; |
· | if the notes are not automatically called for redemption prior to maturity, seek exposure to any upside performance of the underlyings without exposure to any decline in the underlyings, by: |
o | participating at the specified participation rate in the percentage increase, if any, from the starting value of the lowest performing underlying on the final calculation day to the ending value; and |
o | providing for the repayment of the stated principal amount at maturity regardless of the performance of the underlyings; |
· | understand that if the closing value of the lowest performing underlying on each calculation day is less than or equal to its starting value, they will not receive any positive return on their investment in the notes; |
· | understand that the term of the notes may be limited by the automatic call feature of the notes; |
· | understand that the return on the notes will depend solely on the performance of the underlying that is the lowest performing underlying on each calculation day and that they will not benefit in any way from the performance of any better performing underlying; |
· | understand that the notes are riskier than alternative investments linked to only one of the underlyings or linked to a basket composed of each underlying; |
· | understand and are willing to accept the full downside risks of each underlying; |
· | are willing to forgo interest payments on the notes and dividends on securities included in the underlyings; and |
· | are willing to hold the notes to maturity. |
The notes may not be an appropriate investment for investors who:
· | seek a liquid investment or are unable or unwilling to hold the notes to maturity; |
· | seek a security with a fixed term; |
· | seek certainty of receiving a positive return on their investment; |
· | are unwilling to accept the risk that, if the notes are not automatically called for redemption prior to maturity and the ending value of the lowest performing underlying on the final calculation day is less than its starting value, they will not receive any positive return on their investment in the notes; |
· | seek current income; |
· | are unwilling to purchase notes with the estimated value set forth on the cover page; |
· | seek exposure to a basket composed of each underlying or a similar investment in which the overall return is based on a blend of the performances of the underlyings, rather than solely on the lowest performing underlying; |
· | are unwilling to accept the risk of exposure to the underlyings; |
· | seek exposure to the underlyings but are unwilling to accept the risk/return trade-offs inherent in the terms of the notes; |
· | are unwilling to accept the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.; or |
· | prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings. |
PS-5
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
The considerations identified above are not exhaustive. Whether or not the notes are an appropriate investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the appropriateness of an investment in the notes in light of your particular circumstances. You should also review carefully the “Summary Risk Factors” herein and the “Risk Factors” in the accompanying product supplement for risks related to an investment in the notes. For more information about the underlyings, please see the information provided below.
PS-6
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Determining Timing and Amount of Payment on the Notes |
Whether the notes are automatically called for redemption on the call date will be determined based on the closing value of the lowest performing underlying on the call date as follows:
If the notes are not automatically called for redemption prior to maturity, on the maturity date you will receive a cash payment per note (the maturity payment amount) calculated as follows:
PS-7
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Summary Risk Factors |
An investment in the notes is significantly riskier than an investment in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the notes, and are also subject to risks associated with each of the underlyings. Accordingly, the notes are appropriate 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 appropriateness 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” beginning on page PS-5 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 Receive Only the Stated Principal Amount of Your Notes at Maturity.
As the notes do not pay any interest, if the notes are not automatically called for redemption prior to maturity and the ending value of the lowest performing underlying on the final calculation day is less than or equal to its starting value, you will not receive any positive return on your investment in the notes and you will receive less than you could have achieved on conventional debt securities of ours or of another issuer with a similar credit rating of comparable maturity.
The Notes Do Not Pay Interest.
Unlike conventional debt securities, the notes do not pay interest. You should not invest in the notes if you seek current income during the term of the notes.
If The Notes Are Automatically Called For Redemption Prior To Maturity, Your Potential Return On The Notes Is Limited.
If the notes are automatically called for redemption prior to maturity, your potential return on the notes is limited to the call premium payable upon automatic call. If the closing value of the lowest performing underlying on the call date is greater than or equal to its starting value, you will be repaid the stated principal amount of your notes and will receive the fixed call premium, regardless of how significantly the closing value of the lowest performing underlying on the call date may exceed its starting value. Accordingly, the call premium may result in a return on the notes that is significantly less than the return you could have achieved on a direct investment in the underlying. If the notes are automatically called for redemption, you will no longer have the opportunity to participate in any appreciation of the underlyings at the participation rate.
Higher Call Premiums Are Associated With Greater Risk.
The notes offer the potential to receive a call premium that reflects a per annum rate that would produce a yield that is generally higher than the yield on our conventional debt securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing date for the notes, including the risk that the notes will not be automatically called for redemption and the value of what you receive at maturity may equal the stated principal amount of your notes. The volatility of the underlying is an important factor affecting these risks. Greater expected volatility of the underlying as of the pricing date may result in a higher call premium, but would also represent a greater expected likelihood as of the pricing date that (i) the closing value of the lowest performing underlying on the call date will be less than its starting value, such that you will not receive any call premium, and (ii) the ending value of the lowest performing underlying on the final calculation day will be less than or equal to its starting value, such that you will only be repaid the stated principal amount of your notes at maturity.
The Notes May Be Automatically Called For Redemption Prior To Maturity, Limiting The Term Of The Notes.
If the closing value of the lowest performing underlying on the call date is greater than or equal to its starting value, the notes will be automatically called for redemption. If the notes are automatically called for redemption following the call date, they will cease to be outstanding and you will not receive the call premium. Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield with a similar level of risk.
You Will Not Receive Dividends Or Have Any Other Rights With Respect To The Securities Included In The Underlyings.
PS-8
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
You will not receive any dividends with respect to the securities included in the underlyings. This lost dividend yield may be significant over the term of the notes. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the notes. In addition, you will not have voting rights or any other rights with respect to the securities included in the underlyings.
The Notes Are Subject To Heightened Risk Because They Have Multiple Underlyings.
The notes are more risky than similar investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying will perform poorly, adversely affecting your return on the notes.
The Notes Are Subject To The Risks Of Each Of The Underlyings And Will Be Negatively Affected If Any One Underlying Performs Poorly, Regardless Of The Performance Of Any Other Underlying.
You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively affected, regardless of the performance of any other underlying. The notes are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would be better than the performance of the lowest performing underlying alone. Instead, you are subject to the full risks of whichever of the underlyings is the lowest performing underlying.
You Will Not Benefit In Any Way From The Performance Of Any Better Performing Underlying.
The return on the notes depends solely on the performance of the lowest performing underlying, and you will not benefit in any way from the performance of any better performing underlying.
You Will Be Subject To Risks Relating To The Relationship Between The Underlyings.
It is preferable from your perspective for the underlyings to be correlated with each other, in the sense that they tend to increase or decrease at similar times and by similar magnitudes. By investing in the notes, you assume the risk that the underlyings will not exhibit this relationship. The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the notes. All that is necessary for the notes to perform poorly is for one of the underlyings to perform poorly; the performance of any underlying that is not the lowest performing underlying is not relevant to your return on the notes. It is impossible to predict what the relationship between the underlyings will be over the term of the notes. The underlyings differ in significant ways and, therefore, may not be correlated with each other.
The Performance Of The Notes Will Depend On The Closing Values Of The Underlyings Solely On The Calculation Days, Which Makes The Notes Particularly Sensitive To Volatility In The Closing Values Of The Underlyings On Or Near The Calculation Days.
Whether the notes will be automatically called for redemption will depend on the closing values of the underlyings solely on the call date, regardless of the closing values of the underlyings on other days during the term of the notes. If the notes are not automatically called for redemption, what you receive at maturity will depend solely on the closing value of the lowest performing underlying on the final calculation day, and not on any other day during the term of the notes. Because the performance of the notes depends on the closing values of the underlyings on a limited number of dates, the notes will be particularly sensitive to volatility in the closing values of the underlyings. You should understand that the closing value of each of the underlyings has historically been highly volatile.
Although The Notes Provide For The Repayment Of The Stated Principal Amount At Maturity, You May Nevertheless Suffer A Loss On Your Investment In Real Value Terms If The Percentage Change In The Lowest Performing Underlying On The Final Calculation Day From Its Starting Value to Its Ending Value Is Less Than Or Not Sufficiently Greater Than Zero.
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. This potential loss in real value terms is significant given the term of the notes. You should carefully consider whether an investment that may not provide for any positive return on your investment, or may provide a return that is lower than the return on alternative investments, is appropriate for you.
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.
PS-9
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
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. We have been advised that Wells Fargo currently intends to make a secondary market in relation to the notes. However, Wells Fargo may suspend or terminate making a market without notice, at any time and for any reason. If Wells Fargo suspends or terminates making a market, there may be no secondary market at all for the notes because it is likely that Wells Fargo will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity.
Sale Of The Notes Prior To Maturity May Result In A Loss Of Principal.
You will be entitled to receive at least the full stated principal amount of your notes, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., only if you hold the notes to maturity. The value of the notes may fluctuate during the term of the notes, and if you are able to sell your notes prior to maturity, you may receive less than the full stated principal amount of your notes.
The Estimated Value Of The Notes On The Pricing Date, Based On CGMI’s Proprietary Pricing Models And Our Internal Funding Rate, Is Less Than The Public Offering Price.
The difference is attributable to certain costs associated with selling, structuring and hedging the notes that are included in the public offering price. These costs include (i) any selling concessions or other fees paid in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates and/or Wells Fargo or its 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 Wells Fargo’s Determination Of The Secondary Market Rate With Respect To Us” below.
The Estimated Value Of The Notes Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.
CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of and correlation between the underlyings, the dividend yields on the securities included in the underlyings and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the notes for other purposes, including for accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial estimated value.
The Estimated Value Of The Notes Would Be Lower If It Were Calculated Based On Wells Fargo’s Determination Of The Secondary Market Rate With Respect To Us.
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. We expect that our internal funding rate is generally lower than Wells Fargo’s determination of the secondary market rate with respect to us, which is the rate that we expect Wells Fargo 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 Wells Fargo’s determination of the secondary market rate with respect to us, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the notes, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that is payable on the notes.
Because there is not an active market for traded instruments referencing our outstanding debt obligations, Wells Fargo may determine the secondary market rate with respect to us for purposes of any purchase of the notes from you in the secondary market 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 Wells Fargo may deem appropriate.
The Estimated Value Of The Notes Is Not An Indication Of The Price, If Any, At Which Any 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, we expect that any value of the notes determined
PS-10
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
for purposes of a secondary market transaction will be based on Wells Fargo’s determination of the secondary market rate with respect to us, which will likely result in a lower value for the notes than if our internal funding rate were used. In addition, we expect that 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 may be reduced by 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 public offering price.
The Value Of The Notes Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors.
The value of your notes prior to maturity will fluctuate based on the closing values of the underlyings, the volatility of the closing values of the underlyings, the correlation between the underlyings, the dividend yields on the securities included in 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—General Risk Factors Relating To All Notes— The Value Of Your Notes Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors” in the accompanying product supplement. Changes in the values of the underlyings may not result in a comparable change in the value of your notes. You should understand that the value of your notes at any time prior to maturity may be significantly less than the public offering price.
We Have Been Advised That, Immediately Following Issuance, Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements Prepared By Wells Fargo Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.
The amount of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing supplement.
The Russell 2000® Index Is Subject To Risks Associated With Small Capitalization Stocks.
The stocks that constitute the Russell 2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
Our Offering Of The Notes Is Not A Recommendation Of Any Underlying.
The fact that we are offering the notes does not mean that we or Wells Fargo or its affiliates believe that investing in an instrument linked to the underlyings is likely to achieve favorable returns. In fact, as we and Wells Fargo and its affiliates are each part of respective global financial institutions, our affiliates and affiliates of Wells Fargo 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 or of Wells Fargo or its affiliates may affect the closing values of the underlyings in a way that negatively affects the value of and your return on the notes.
The Closing Value Of An Underlying May Be Adversely Affected By Our Or Our Affiliates’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.
We have hedged our obligations under the notes through CGMI or other of our affiliates and/or Wells Fargo or its affiliates, who have taken positions in the underlyings or in financial instruments related to the underlyings and may adjust such positions during the term of the notes. Our affiliates and Wells Fargo and its affiliates may 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 notes. They could also result in substantial returns for us or our affiliates or Wells Fargo and its affiliates while the value of the notes declines.
We And Our Affiliates And Wells Fargo And Its Affiliates May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.
Our affiliates and Wells Fargo and its affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings in a way that negatively affects the value of and your return on the notes. They could also result in substantial returns for us or our affiliates or Wells Fargo or its affiliates while the value of the notes declines. In addition, in the
PS-11
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
course of this business, we or our affiliates or Wells Fargo or its 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 Notes.
If certain events occur during the term of the notes, such as market disruption events and other events with respect to the underlying, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the notes. In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the notes. See “Risk Factors—General Risk Factors Relating To All Notes—The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important Determinations With Respect To The Notes” in the accompanying product supplement.
Changes That Affect The Underlyings May Affect The Value Of Your Notes.
The sponsors of the underlyings may at any time make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings. We are not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any sponsor may make. Such changes could adversely affect the performance of the underlyings and the value of and your return on the notes.
The Call Settlement Date And The Stated Maturity Date May Be Postponed If A Calculation Day Is Postponed.
A calculation day (including the final calculation day) with respect to an underlying will be postponed for non-trading days and certain market disruption events. If such a postponement occurs, the call settlement date or maturity date, as applicable, will be postponed. For more information regarding adjustments to the calculation days and payment dates and the circumstances that may result in a market disruption event, see the relevant sections of the accompanying product supplement.
You Will Be Required To Recognize Taxable Income On The Notes Prior To Maturity.
If you are a U.S. holder of a note, you will be required to recognize taxable interest income in each year that you hold the note, even though you will not receive any payment in respect of the note prior to maturity (or earlier sale, exchange or retirement). In addition, any gain you recognize will be treated as ordinary interest income rather than capital gain. You should review the section of this pricing supplement entitled “United States Federal Tax Considerations.”
PS-12
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Hypothetical Examples and Returns |
The payout profile, return table and examples below illustrate how to determine the payment on the notes, assuming the various hypothetical closing values of the lowest performing underlying 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 on the notes will be. The actual payment on the notes will depend on the actual closing value of the lowest performing underlying on the calculation days.
The examples below are based on a hypothetical starting value for each underlying of 100, rather than the actual starting value of any underlying. For the actual starting value of each underlying, see “Terms of the Notes” above. We have used these hypothetical values, rather than the actual values, to simplify the calculations and aid understanding of how the notes work. However, you should understand that the actual payment on the notes will be calculated based on the actual starting value of the lowest performing underlying, and not the hypothetical values indicated below.
Hypothetical Payout Profile
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Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Hypothetical Returns
If the notes are automatically called:
Hypothetical payment per note on call settlement date | Hypothetical total pre-tax rate of return |
$1,203.00 | 20.30% |
If the notes are not automatically called:
Hypothetical ending value of the lowest performing underlying | Hypothetical underlying return of the lowest performing underlying | Hypothetical maturity payment amount per note | Hypothetical total pre-tax rate of return |
200.00 | 100.00% | $2,000.00 | 100.00% |
175.00 | 75.00% | $1,750.00 | 75.00% |
150.00 | 50.00% | $1,500.00 | 50.00% |
140.00 | 40.00% | $1,400.00 | 40.00% |
130.00 | 30.00% | $1,300.00 | 30.00% |
120.00 | 20.00% | $1,200.00 | 20.00% |
110.00 | 10.00% | $1,100.00 | 10.00% |
100.00 | 0.00% | $1,000.00 | 0.00% |
90.00 | -10.00% | $1,000.00 | 0.00% |
80.00 | -20.00% | $1,000.00 | 0.00% |
70.00 | -30.00% | $1,000.00 | 0.00% |
60.00 | -40.00% | $1,000.00 | 0.00% |
50.00 | -50.00% | $1,000.00 | 0.00% |
25.00 | -75.00% | $1,000.00 | 0.00% |
0.00 | -100.00% | $1,000.00 | 0.00% |
Hypothetical Examples
If the notes are automatically called:
Example 1—Automatic Call. The hypothetical closing value of the lowest performing underlying on the call date is 130 (a 30% increase from its starting value), which is greater than its starting value.
Underlying | Hypothetical closing value on call date | Hypothetical underlying return |
S&P 500® Index | 140 | 40% |
Russell 2000® Index* | 130 | 30% |
Nasdaq-100 Index® | 150 | 50% |
* Lowest performing underlying
Because the closing value of the lowest performing underlying on the call date is greater than its starting value, the notes would be automatically called for redemption on the call settlement date for an amount in cash per note equal to $1,000 plus the call premium of 20.30% of the stated principal amount. In this example, the total payment upon automatic call would be $1,203.00 per note.
Even though the lowest performing underlying on the call date appreciated by a percentage greater than the call premium from its starting value to its closing value on the call date in this example, your return is limited to the call premium. In this scenario, an investment in the notes would underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the underlyings. If the notes are automatically called for redemption, they will cease to be outstanding on the call settlement date and you will have no further rights under the notes after the call settlement date.
If the notes are not automatically called:
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Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Example 2—Upside Scenario. The hypothetical ending value of the lowest performing underlying on the final calculation day is 110 (a 10% increase from its starting value), which is greater than its starting value.
Underlying | Hypothetical ending value | Hypothetical underlying return |
S&P 500® Index* | 110 | 10% |
Russell 2000® Index | 120 | 20% |
Nasdaq-100 Index® | 150 | 50% |
* Lowest performing underlying
Maturity payment amount per note = $1,000 + ($1,000 × underlying return of the lowest performing underlying on the final calculation day × participation rate)
= $1,000 + ($1,000 × 10% × 100%)
= $1,000 + $100
= $1,100.00
Because the lowest performing underlying on the final calculation day appreciated from its starting value to its hypothetical ending value, you would receive a total return at maturity equal to the upside performance of the lowest performing underlying multiplied by the participation rate.
Example 3—Par Scenario. The hypothetical ending value of the lowest performing underlying on the final calculation day is 90 (a 10% decrease from its starting value), which is less than its starting value.
Underlying | Hypothetical ending value | Hypothetical underlying return |
S&P 500® Index | 105 | 5% |
Russell 2000® Index | 110 | 10% |
Nasdaq-100 Index®* | 90 | -10% |
* Lowest performing underlying
Maturity payment amount per note = $1,000
Because the hypothetical ending value of the lowest performing underlying on the final calculation day is less than its starting value, you would be repaid the stated principal amount of your notes at maturity but would not receive any positive return on your investment.
PS-15
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Information About the S&P 500® Index |
The S&P 500® Index consists of the common stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—The S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for additional information.
We have derived all information regarding the S&P 500® Index from publicly available information and have not independently verified any information regarding the S&P 500® Index. This pricing supplement relates only to the 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 value of the S&P 500® Index on March 16, 2023 was 3,960.28.
The graph below shows the closing value of the S&P 500® Index for each day such value was available from January 2, 2018 to March 16, 2023. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication of future performance.
PS-16
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Information About the Russell 2000® Index |
The Russell 2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section “Equity Index Descriptions—The Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000® Index from publicly available information and have not independently verified any information regarding the Russell 2000® Index. This pricing supplement relates only to the notes and not to the Russell 2000® Index. We make no representation as to the performance of the Russell 2000® Index over the term of the notes.
The notes represent obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000® Index is not involved in any way in this offering and has no obligation relating to the notes or to holders of the notes.
Historical Information
The closing value of the Russell 2000® Index on March 16, 2023 was 1,771.237.
The graph below shows the closing value of the Russell 2000® Index for each day such value was available from January 2, 2018 to March 16, 2023. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication of future performance.
PS-17
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
The Nasdaq-100 Index® |
The Nasdaq-100 Index® is a modified market capitalization-weighted index of stocks of the 100 largest non-financial companies listed on the Nasdaq Stock Market. All stocks included in the Nasdaq-100 Index® are traded on a major U.S. exchange. The Nasdaq-100 Index® was developed by the Nasdaq Stock Market, Inc. and is calculated, maintained and published by Nasdaq, Inc.
Please refer to the section “Equity Index Descriptions—The Nasdaq-100 Index®” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Nasdaq-100 Index® from publicly available information and have not independently verified any information regarding the Nasdaq-100 Index®. This pricing supplement relates only to the notes and not to the Nasdaq-100 Index®. We make no representation as to the performance of the Nasdaq-100 Index® over the term of the notes.
The notes represent obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Nasdaq-100 Index® is not involved in any way in this offering and has no obligation relating to the notes or to holders of the notes.
Historical Information
The closing value of the Nasdaq-100 Index® on March 16, 2023 was 12,581.39.
The graph below shows the closing value of the Nasdaq-100 Index® for each day such value was available from January 2, 2018 to March 16, 2023. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication of future performance.
PS-18
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
United States Federal Tax Considerations |
In the opinion of our 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 product supplement called “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,” and the remaining discussion is based on this treatment.
If you are a U.S. Holder (as defined in the accompanying product supplement), you will be required to recognize interest income during the term of the notes 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 automatically 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 the amount and timing of which would produce a yield to maturity on the notes equal to the comparable yield. Assuming you hold the notes until their maturity, the amount of interest you include in income based on the comparable yield in the taxable year in which the notes mature will be adjusted upward or downward to reflect the difference, if any, between the actual and projected payment on the notes at maturity as determined under the projected payment schedule.
Upon the sale, exchange or retirement of the notes prior to 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 previously included in income on the notes. Any gain generally will be treated as ordinary income, and any loss generally will be treated as ordinary loss to the extent of prior interest inclusions on the note and as capital loss thereafter.
We have determined that the comparable yield for a note is a rate of 5.066%, compounded semi-annually, and that the projected payment schedule with respect to a note consists of a single payment of $1,284.411 at maturity.
Neither the comparable yield nor the projected payment schedule constitutes a representation by us regarding the actual amount that we will pay on the notes.
Non-U.S. Holders. Subject to the discussions below regarding Section 871(m) and in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” and “—FATCA” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the notes, under current law you generally will not be subject to U.S. federal withholding or income tax in respect of any payment on or any amount received on the sale, exchange or retirement of the notes, provided that (i) income in respect of the notes is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements. See “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement for a more detailed discussion of the rules applicable to Non-U.S. Holders of the notes.
As discussed under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“Underlying Securities”) or indices that include Underlying Securities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an Internal Revenue Service (“IRS”) notice, exempt financial instruments issued prior to January 1, 2025 that do not have a “delta” of one. Based on the terms of the notes and representations provided by us, our counsel is of the opinion that the notes should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any Underlying Security and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the notes are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
If withholding tax applies to the notes, we will not be required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing of the notes.
PS-19
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
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.
PS-20
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
Supplemental Plan of Distribution |
Pursuant to the terms of the Amended and Restated Global Selling Agency Agreement, dated April 7, 2017, CGMI, acting as principal, will purchase the notes from Citigroup Global Markets Holdings Inc. CGMI, as the lead agent for the offering, has agreed to sell the notes to Wells Fargo, as agent. Wells Fargo will receive an underwriting discount and commission of 3.575% ($35.75) for each note it sells. Wells Fargo may pay selected dealers, which may include WFA, a fixed selling commission of 2.25% ($22.50) for each note they sell. In addition to the selling commission allowed to WFA, Wells Fargo may pay $0.75 per note of the underwriting discount and commission to WFA as a distribution expense fee for each note sold by WFA.
In addition, in respect of certain notes sold in this offering, CGMI may pay a fee of up to $4.00 per note to selected securities dealers in consideration for marketing and other services in connection with the distribution of the notes to other securities dealers.
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.
We have been advised that, for a period of approximately five months following issuance of the notes, the price, if any, at which Wells Fargo 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 Wells Fargo or its affiliates, 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 costs associated with selling, structuring and hedging the notes that are included in the public offering price of the notes. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the five-month temporary adjustment period. However, Wells Fargo 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
PS-21
Market Linked Notes—Auto-Callable with Upside Participation and Principal Return at Maturity Notes Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® due March 21, 2028 |
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 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.
© 2023 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.
PS-22