Citigroup Global Markets Holdings Inc. November 6, 2023
Medium-Term Senior Notes,Series N
Pricing Supplement No. 2023-USNCH19493
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos.333-270327 and 333-270327-01
Callable Contingent CouponEquity Linked Securities Linked to the Worst
Performing of the Nasdaq-100 Index
(R)
, the Russell 2000
(R)
Indexand the SPDR
(R)
S&P
(R)
Regional Banking ETF Due May 9, 2025
▪ The securities offered by this pricing supplement are unsecureddebt securities issued by Citigroup Global Markets
Holdings Inc. and guaranteed by Citigroup Inc. The securities offer the potentialfor periodic contingent
coupon payments at an annualized rate that, if all are paid, would produce a yield that is generally higher thanthe
yield on our conventional debt securities of the same maturity. In exchange for this higher potential yield,
you must be willingto accept the risks that (i) your actual yield may be lower than the yield on our conventional
debt securities of the same maturity becauseyou may not receive one or more, or any, contingent coupon
payments, and (ii) the value of what you receive at maturity may be significantlyless than the stated principal
amount of your securities, and may be zero. Each of these risks will depend solely on the performanceof the
worst performing
of the underlyings specified below.
▪ We have the right to call the securities for mandatory redemptionon any potential redemption date specified below.
▪ You will be subject to risks associated with
each
ofthe underlyings and will be negatively
affected by adverse movements in
any one
of the underlyings. Although you will have downsideexposure to the worst performing underlying, you will
not receive dividends with respect to any underlying or participate in any appreciationof any underlying.
▪ Investors in the securities must be willing to accept (i) aninvestment that may have limited or no liquidity and (ii)
the risk of not receiving any payments due under the securities if we and CitigroupInc. default on our obligations.
All payments on the securities are subject to the credit risk
of Citigroup Global Markets HoldingsInc. and Citigroup Inc.
KEY TERMS
Issuer: Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
Guarantee: All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
Underlying Underlying Initial underlying value Coupon barrier value Final barrier value
s: * ** ***
Nasdaq-100 Index 15,154.93 10,608.451 9,092.958
(R)
Russell 2000 1,737.939 1,216.557 1,042.763
(R)
Index
SPDR $43.00 $30.100 $25.800
(R)
S&P
(R)
Regional Banking ETF
*
For each underlying, its closing value on the pricing date
**
For each underlying, 70.00% of its initial underlying value
***For each underlying, 60.00% of its initial underlying value
Stated principal amount: $1,000 per security
Pricing date: November 6, 2023
Issue date: November 9, 2023
Valuation dates: December 6, 2023, January 8, 2024, February 6, 2024,
March 6, 2024, April 8, 2024, May 6, 2024, June 6, 2024,
July 8, 2024, August 6, 2024, September 6, 2024, October
7, 2024, November 6, 2024, December 6, 2024, January
6, 2025, February 6, 2025, March 6, 2025, April 7, 2025
and May 6, 2025 (the "final valuation date"), each
subject to postponement if such date is not a scheduled
trading day or certain market disruption events occur
Maturity date: Unless earlier redeemed, May 9, 2025
Contingent coupon payment dates: The third business day after each valuation
date, except that the contingent
coupon payment date following the final
valuation date will be the maturity date
Contingent coupon: On each contingent coupon payment
date, unless previously redeemed,
the securities will pay a contingent coupon equal to 1.1458%
of the stated principal amount of the securities (equivalent
to a contingent coupon rate of approximately 13.75% per annum)
if and only if
the closing value of the worst
performing underlying on the immediately
preceding valuation date is greater than
or equal to its coupon barrier value.
If the closing value of the worst performing underlying on
any valuation date is less than its coupon barrier value,
you will not receive any contingent coupon payment on the
immediately following contingent coupon payment date.
Payment at maturity: If the securities are not redeemed prior to
maturity, you will receive at maturity for each
security you then hold (in addition to the final
contingent coupon payment, if applicable):
(s)
If the final underlying value of the worst
performing underlying on the final valuation date is
greater than or equal to
its final barrier value: $1,000
(s)
If the final underlying value of the worst
performing underlying on the final valuation date is
less than
its final barrier value:
$1,000 + ($1,000 x the underlying return of the worst
performing underlying on the final valuation date)
If the securities are not redeemed prior to maturity
and the final underlying value of the worst
performing underlying on the final valuation
date is less than its final barrier value, you
will receive significantly less than the stated
principal amount of your securities, and possibly
nothing, at maturity, and you will not receive
any contingent coupon payment at maturity.
Listing: The securities will not be listed on any securities exchange
Underwriter: Citigroup Global Markets Inc. ("
CGMI
"), an affiliate of the issuer, acting as principal
Underwriting fee and issue price: Issue price Underwriting fee Proceeds to issuer
(1) (2) (3)
Per security: $1,000.00 $22.25 $977.75
Total: $609,000.00 $13,550.25 $595,449.75
(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of
thesecurities is $979.90 per security, which is less than the issue price. The
estimated value of the securities is based on CGMI'sproprietary pricing models
and our internal funding rate. It is not an indication of actual profit to
CGMI or other of our affiliates,nor is it an indication of the price, if any,
at which CGMI or any other person may be willing to buy the securities from
you at any timeafter issuance. See "Valuation of the Securities" in this
pricing supplement.
(2) CGMI will receive an underwriting fee of up to $22.25 for each
securitysold in this offering. The total underwriting fee and proceeds to
issuer in the table above give effect to the actual total underwritingfee. For
more information on the distribution of the securities, see "Supplemental Plan
of Distribution" in this pricing supplement.In addition to the underwriting
fee, CGMI and its affiliates may profit from hedging activity related to this
offering, even if the valueof the securities declines. See "Use of Proceeds
and Hedging" in the accompanying prospectus.
(3) The per security proceeds to issuer indicated above represent theminimum
per security proceeds to issuer for any security, assuming the maximum per
security underwriting fee. As noted above, the underwritingfee is variable.
Investing in the securities involvesrisks not associated with an investment in
conventional debt securities. See "Summary Risk Factors" beginning on page
PS-6.
Neither the Securities and Exchange Commissionnor any state securities
commission has approved or disapproved of the securities or determined that
this pricing supplement and the accompanyingproduct supplement, underlying
supplement, prospectus supplement and prospectus are truthful or complete. Any
representation to the contraryis a criminal offense.
You should read this pricing supplement togetherwith the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus, which
can be accessed via the hyperlinksbelow:
Product Supplement No. EA-04-10 dated March 7, 2023
Underlying Supplement No. 11 dated March 7, 2023
Prospectus Supplement and Prospectus each dated March 7, 2023
The securities are not bank deposits and arenot insured or guaranteed by the
Federal Deposit Insurance Corporation or any other governmental agency, nor
are they obligations of,or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
KEY TERMS (continued)
Redemption: We may call the securities, in whole and not in part, for mandatory redemption on any
potential redemption date upon not less than three business days' notice. Following
an exercise of our call right, you will receive for each security you then hold an
amount in cash equal to $1,000 plus the related contingent coupon payment, if any.
Potential redemption dates: The contingent coupon payment dates related to the valuation dates scheduled
to occur on May 6, 2024, June 6, 2024, July 8, 2024, August 6, 2024,
September 6, 2024, October 7, 2024, November 6, 2024, December 6, 2024,
January 6, 2025, February 6, 2025, March 6, 2025 and April 7, 2025
Final underlying value: For each underlying, its closing value on the final valuation date
Worst performing underlying: For any valuation date, the underlying with the lowest
underlying return determined as of that valuation date
Underlying return: For each underlying on any valuation date,
(i) its closing value on that valuation date
minus
its initial underlying value,
divided by
(ii) its initial underlying value
CUSIP / ISIN: 17291TAV0 / US17291TAV08
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Citigroup Global Markets Holdings Inc.
Additional Information
General.
The terms of the securities are set forth in the accompanyingproduct
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, theaccompanying product supplement contains
important information about how the closing value of each underlying will be
determined and aboutadjustments that may be made to the terms of the
securities upon the occurrence of market disruption events and other specified
eventswith respect to each underlying. The accompanying underlying supplement
contains information about each underlying that is not repeatedin this pricing
supplement. It is important that you read the accompanying product supplement,
underlying supplement, prospectus supplementand prospectus together with this
pricing supplement in connection with your investment in the securities.
Certain terms used but notdefined in this pricing supplement are defined in
the accompanying product supplement.
Closing Value.
The "closing value" of an underlyingon any date is (i) in the case of an
underlying that is an underlying index, its closing level on such date and
(ii) in the case of anunderlying that is an underlying ETF, the closing price
of its underlying shares on such date, as provided in the accompanying
productsupplement. The "underlying shares" of an underlying ETF are its shares
that are traded on a U.S. national securities exchange.Please see the
accompanying product supplement for more information.
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Citigroup Global Markets Holdings Inc.
Hypothetical Examples
The examples in the first section below illustrate how to determinewhether a
contingent coupon will be paid following a valuation date. The examples in the
second section below illustrate how to determinethe payment at maturity on the
securities, assuming the securities are not redeemed prior to maturity. The
examples are solely for illustrativepurposes, do not show all possible
outcomes and are not a prediction of any payment that may be made on the
securities.
The examples below are based on the following hypothetical values anddo not
reflect the actual initial underlying values, coupon barrier values or final
barrier values of the underlyings. For the actualinitial underlying value,
coupon barrier value and final barrier value of each underlying, see the cover
page of this pricing supplement.We have used these hypothetical values, rather
than the actual values, to simplify the calculations and aid understanding of
how the securitieswork. However, you should understand that the actual
payments on the securities will be calculated based on the actual initial
underlyingvalue, coupon barrier value and final barrier value of each
underlying, and not the hypothetical values indicated below. For ease of
analysis,figures below have been rounded.
Underlying Hypothetical initial Hypothetical coupon barrier value Hypothetical final barrier value
underlying value
Nasdaq-100 Index 100.00 70.00 (70.00% of its hypothetical 60.00 (60.00% of its hypothetical
(R) initial underlying value) initial underlying value)
Russell 2000 100.00 70.00 (70.00% of its hypothetical 60.00 (60.00% of its hypothetical
(R) initial underlying value) initial underlying value)
Index
SPDR $100.00 $70.00 (70.00% of its hypothetical $60.00 (60.00% of its hypothetical
(R) initial underlying value) initial underlying value)
S&P
(R)
Regional Banking ETF
Hypothetical Examples of Contingent Coupon PaymentsFollowing a Valuation Date
The three hypothetical examples below illustrate how to determine whethera
contingent coupon will be paid following a hypothetical valuation date,
assuming that the closing values of the underlyings on the hypotheticalvaluation
date are as indicated below.
Hypothetical closing value Hypothetical closing value Hypothetical closing Hypothetical payment
of the Nasdaq-100 Index of the Russell 2000 value of the SPDR per $1,000.00 security
(R) (R) (R) on related contingent
on hypothetical Index on hypothetical S&P coupon payment date
valuation date valuation date (R)
Regional Banking ETF on
hypothetical
valuation date
Example 1 120 85 $130 $11.458
(underlying return = (underlying return = (underlying return = (contingent
(120 - 100) / 100 = 20%) (85 - 100) / 100 = -15%) ($130 - $100) coupon is paid)
/ $100 = 30%)
Example 2 45 120 $130 $0.00
(underlying return = (underlying return = (underlying return = (no contingent coupon)
(45 - 100) / 100 = -55%) (120 - 100) / 100 = 20%) ($130 - $100)
/ $100 = 30%)
Example 3 20 40 $10 $0.00
(underlying return = (underlying return = (underlying return = (no contingent coupon)
(20 - 100) / 100 = -80%) (40 - 100) / 100 = -60%) ($10 - $100) /
$100 = -90%)
Example 1:
On the hypotheticalvaluation date, the Russell 2000
(R)
Index has the lowest underlying return and, therefore, is the worst performing
underlyingon the hypothetical valuation date. In this scenario, the closing
value of the worst performing underlying on the hypothetical valuationdate is
greater than its coupon barrier value. As a result, investors in the
securities would receive the contingent coupon payment onthe related
contingent coupon payment date.
Example 2:
On the hypotheticalvaluation date, the Nasdaq-100 Index
(R)
has the lowest underlying return and, therefore, is the worst performing
underlyingon the hypothetical valuation date. In this scenario, the closing
value of the worst performing underlying on the hypothetical valuationdate is
less than its coupon barrier value. As a result, investors would not receive
any payment on the related contingent coupon paymentdate.
Investors in the securities will not receive a contingent couponon the
contingent coupon payment date following a valuation date if the closing value
of the worst performing underlying on that valuationdate is less than its
coupon barrier value. Whether a contingent coupon is paid following a
valuation date depends solely on the closingvalue of the worst performing
underlying on that valuation date.
Example 3:
On the hypotheticalvaluation date, the SPDR
(R)
S&P
(R)
Regional Banking ETF has the lowest underlying return and, therefore,is the
worst performing underlying on the hypothetical valuation date. In this
scenario, the closing value of the worst performing underlyingon the
hypothetical valuation date is less than its coupon barrier value. As a
result, investors would not receive any payment on therelated contingent
coupon payment date.
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Citigroup Global Markets Holdings Inc.
Hypothetical Examples of the Payment at Maturityon the Securities
The next four hypothetical examples illustrate the calculation of thepayment
at maturity on the securities, assuming that the securities have not been
earlier redeemed and that the final underlying valuesof the underlyings are as
indicated below.
Hypothetical final underlying Hypothetical final underlying Hypothetical final Hypothetical payment at
value of the Nasdaq-100 Index value of the Russell 2000 underlying value of the SPDR maturity per $1,000.00 security
(R) (R) (R)
Index S&P
(R)
Regional Banking ETF
Example 4 110 120 $135 $1,011.458
(underlying return = (underlying return = (underlying return = (contingent
(110 - 100) / 100 = 10%) (120 - 100) / 100 = 20%) ($135 - $100) coupon is paid)
/ $100 = 35%)
Example 5 130 65 $110 $1,000.00
(underlying return = (underlying return = (underlying return =
(130 - 100) / 100 = 30%) (65 - 100) / 100 = -35%) ($110 - $100)
/ $100 = 10%)
Example 6 110 110 $50 $500.00
(underlying return = (underlying return = (underlying return =
(110 - 100) / 100 = 10%) (110 - 100) / 100 = 10%) ($50 - $100) /
$100 = -50%)
Example 7 20 85 $35 $200.00
(underlying return = (underlying return = (underlying return =
(20 - 100) / 100 = -80%) (85 - 100) / 100 = -15%) ($35 - $100) /
$100 = -65%)
Example 4:
On the final valuationdate, the Nasdaq-100 Index
(R)
has the lowest underlying return and, therefore, is the worst performing
underlying on thefinal valuation date. In this scenario, the final underlying
value of the worst performing underlying on the final valuation date is
greaterthan its final barrier value and its coupon barrier value. Accordingly,
at maturity, you would receive the stated principal amount ofthe securities
plus
the contingent coupon payment due at maturity, but you would not participate
in the appreciation of any ofthe underlyings.
Example 5:
On the final valuationdate, the Russell 2000
(R)
Index has the lowest underlying return and, therefore, is the worst performing
underlying on thefinal valuation date. In this scenario, the final underlying
value of the worst performing underlying on the final valuation date is
lessthan its coupon barrier value but greater than its final barrier value.
Accordingly, at maturity, you would receive the stated principalamount of the
securities, but would not receive any contingent coupon payment at maturity.
Example 6:
On the final valuationdate, the SPDR
(R)
S&P
(R)
Regional Banking ETF has the lowest underlying return and, therefore, is the
worstperforming underlying on the final valuation date. In this scenario, the
final underlying value of the worst performing underlying onthe final
valuation date is less than its final barrier value. Accordingly, at maturity,
you would receive a payment per security calculatedas follows:
Payment at maturity = $1,000.00 + ($1,000.00 x the underlyingreturn of the
worst performing underlying on the final valuation date)
= $1,000.00 + ($1,000.00 x -50.00%)
= $1,000.00 + -$500.00
= $500.00
In this scenario, because the final underlying value of the worst
performingunderlying on the final valuation date is less than its final
barrier value, you would lose a significant portion of your investment inthe
securities. In addition, because the final underlying value of the worst
performing underlying on the final valuation date is belowits coupon barrier
value, you would not receive any contingent coupon payment at maturity.
Example 7:
On the final valuationdate, the Nasdaq-100 Index
(R)
has the lowest underlying return and, therefore, is the worst performing
underlying on thefinal valuation date. In this scenario, the final underlying
value of the worst performing underlying on the final valuation date is
lessthan its final barrier value. Accordingly, at maturity, you would receive
a payment per security calculated as follows:
Payment at maturity = $1,000.00 + ($1,000.00 x the underlyingreturn of the
worst performing underlying on the final valuation date)
= $1,000.00 + ($1,000.00 x -80.00%)
= $1,000.00 + -$800.00
= $200.00
In this scenario, because the final underlying value of the worst
performingunderlying on the final valuation date is less than its final
barrier value, you would lose a significant portion of your investment inthe
securities. In addition, because the final underlying value of the worst
performing underlying on the final valuation date is belowits coupon barrier
value, you would not receive any contingent coupon payment at maturity.
It is possible that the closing value of the worst performing underlyingwill
be less than its coupon barrier value on each valuation date and less than its
final barrier value on the final valuation date, suchthat you will not receive
any contingent coupon payments over the term of the securities and will
receive significantly less than thestated principal amount of your securities,
and possibly nothing, at maturity.
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Citigroup Global Markets Holdings Inc.
Summary Risk Factors
An investment in the securities is significantly riskier than an investmentin
conventional debt securities. The securities are subject to all of the risks
associated with an investment in our conventional debtsecurities (guaranteed
by Citigroup Inc.), including the risk that we and Citigroup Inc. may default
on our obligations under the securities,and are also subject to risks
associated with each underlying. Accordingly, the securities are suitable only
for investors who are capableof understanding the complexities and risks of
the securities. You should consult your own financial, tax and legal advisors
as to therisks of an investment in the securities and the suitability of the
securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investorsin the
securities. You should read this summary together with the more detailed
description of risks relating to an investment in thesecurities contained in
the section "Risk Factors Relating to the Securities" beginning on page EA-7
in the accompanying productsupplement. You should also carefully read the risk
factors included in the accompanying prospectus supplement and in the
documents incorporatedby reference in the accompanying prospectus, including
Citigroup Inc.'s most recent Annual Report on Form 10-K and any subsequentQuarte
rly Reports on Form 10-Q, which describe risks relating to the business of
Citigroup Inc. more generally.
(s) You may lose a significant portion
or all of your investment.
Unlike conventional debt securities, the securities do not providefor the repayment of the stated
principal amount at maturity in all circumstances. If the securities are not redeemed prior to
maturity,your payment at maturity will depend on the final underlying value of the worst performing
underlying on the final valuation date. Ifthe final underlying value of the worst performing
underlying on the final valuation date is less than its final barrier value, you willlose 1%
of the stated principal amount of your securities for every 1% by which the worst performing
underlying on the final valuationdate has declined from its initial underlying value. There is
no minimum payment at maturity on the securities, and you may lose up toall of your investment.
(s) You will not receive any contingent
coupon on the contingent
coupon payment date following
any valuation date on which
the closingvalue of the worst
performing underlying on
that valuation date is less
than its coupon barrier value.
A contingent coupon paymentwill be made on a contingent coupon payment date if and only
if the closing value of the worst performing underlying on the immediatelypreceding
valuation date is greater than or equal to its coupon barrier value. If the closing
value of the worst performing underlyingon any valuation date is less than its
coupon barrier value, you will not receive any contingent coupon payment on the
immediately followingcontingent coupon payment date. If the closing value of the worst
performing underlying on each valuation date is below its coupon barriervalue, you
will not receive any contingent coupon payments over the term of the securities.
(s) Higher contingent coupon rates are
associated with greater risk.
The securities offer contingent coupon payments at an annualizedrate that, if all are paid,
would produce a yield that is generally higher than the yield on our conventional debt
securities of the samematurity. This higher potential yield is associated with greater levels
of expected risk as of the pricing date for the securities, includingthe risk that you may not
receive a contingent coupon payment on one or more, or any, contingent coupon payment dates
and the risk thatthe value of what you receive at maturity may be significantly less than the
stated principal amount of your securities and may be zero.The volatility of, and correlation
between, the closing values of the underlyings are important factors affecting these risks.
Greaterexpected volatility of, and lower expected correlation between, the closing values
of the underlyings as of the pricing date may resultin a higher contingent coupon rate, but
would also represent a greater expected likelihood as of the pricing date that the closing
valueof the worst performing underlying on one or more valuation dates will be less than its
coupon barrier value, such that you will not receiveone or more, or any, contingent coupon
payments during the term of the securities and that the final underlying value of the worst
performingunderlying on the final valuation date will be less than its final barrier value,
such that you will not be repaid the stated principalamount of your securities at maturity.
(s) The securities are subject to heightened
risk because they have multiple underlyings.
The securities are more risky than similarinvestments that may be
available with only one underlying. With multiple underlyings,
there is a greater chance that any one underlyingwill perform
poorly, adversely affecting your return on the securities.
(s) The securities are subject to the
risks of each of the underlyings and
will be negatively affected if any
one underlying performspoorly.
You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will
be negativelyaffected. The securities are not linked to a basket composed of the underlyings, where the blended
performance of the underlyings wouldbe better than the performance of the worst performing underlying alone.
Instead, you are subject to the full risks of whichever of theunderlyings is the worst performing underlying.
(s) You will not benefit in any way from the
performance of any better performing underlying.
The return on the securities dependssolely on the performance of the worst performing underlying,
and you will not benefit in any way from the performance of any better performingunderlying.
(s) You will be subject to risks relating to
the relationship between the underlyings.
It is preferable from your perspective forthe underlyings to be correlated with each other, in
the sense that their closing values tend to increase or decrease at similar timesand by similar
magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit
this relationship.The less correlated the underlyings, the more likely it is that any one of
the underlyings will perform poorly over the term of the securities.All that is necessary for the
securities to perform poorly is for one of the underlyings to perform poorly. It is impossible
to predictwhat the relationship between the underlyings will be over the term of the securities.
The underlyings differ in significant ways and,therefore, may not be correlated with each other.
(s) You may not be adequately
compensated for assuming the
downside risk of the worst
performing underlying.
The potential contingentcoupon payments on the securities are the
compensation you receive for assuming the downside risk of the worst
performing underlying,as well as all the other risks of the securities.
That compensation is effectively "at risk" and may, therefore, be
less thanyou currently anticipate. First, the actual yield you realize
on the securities could be lower than you anticipate because the
couponis "contingent" and you may not receive a contingent coupon
payment on one or more, or any, of the contingent coupon paymentdates.
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Citigroup Global Markets Holdings Inc.
Second, the contingent coupon payments arethe compensation you receive not
only for the downside risk of the worst performing underlying, but also for
all of the other risks ofthe securities, including the risk that the
securities may be redeemed prior to maturity, interest rate risk and our and
Citigroup Inc.'scredit risk. If those other risks increase or are otherwise
greater than you currently anticipate, the contingent coupon payments mayturn
out to be inadequate to compensate you for all the risks of the securities,
including the downside risk of the worst performing underlying.
(s) We may redeem the securities at
our option, which will limit
your ability to receive the
contingent coupon payments.
We mayredeem the securities on any potential redemption date. In the event that we redeem the securities, you will
receive the stated principalamount of your securities and the related contingent coupon payment, if any. Thus, the term
of the securities may be limited. If we redeemthe securities prior to maturity, you will not receive any additional
contingent coupon payments. Moreover, you may not be able to reinvestyour funds in another investment that provides
a similar yield with a similar level of risk. If we redeem the securities prior to maturity,it is likely to be at a
time when the underlyings are performing in a manner that would otherwise have been favorable to you. By contrast,if
the underlyings are performing unfavorably from your perspective, we are less likely to redeem the securities. If
we redeem the securities,we will do so at a time that is advantageous to us and without regard to your interests.
(s) The securities offer downside
exposure to the worst performing
underlying, but no upside
exposure to any underlying.
You willnot participate in any appreciation in the value of any underlying over the term of the securities. Consequently,
your return on the securitieswill be limited to the contingent coupon payments you receive, if any, and may be significantly
less than the return on any underlyingover the term of the securities. In addition, as an investor in the securities, you
will not receive any dividends or other distributionsor have any other rights with respect to any of the underlyings.
(s) The performance of the securities
will depend on the closing
values of the underlyings solely
on the valuation dates, which
makesthe securities particularly
sensitive to volatility in the
closing values of the underlyings
on or near the valuation dates.
Whetherthe contingent coupon will be paid on any given contingent coupon payment date will depend on the closing
values of the underlyings solelyon the applicable valuation dates, regardless of the closing values of the
underlyings on other days during the term of the securities.If the securities are not redeemed prior to maturity,
what you receive at maturity will depend solely on the closing value of the worstperforming underlying on
the final valuation date, and not on any other day during the term of the securities. Because the performanceof
the securities depends on the closing values of the underlyings on a limited number of dates, the securities
will be particularly sensitiveto volatility in the closing values of the underlyings on or near the valuation
dates. You should understand that the closing value ofeach underlying has historically been highly volatile.
(s) The securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
If we default onour obligations under the securities and Citigroup Inc. defaults on its
guarantee obligations, you may not receive anything owed to youunder the securities.
(s) The securities will not be listed
on any securities exchange
and you may not be able to
sell them prior to maturity.
The securitieswill not be listed on any securities exchange.
Therefore, there may be little or no secondary market for the
securities. CGMI currentlyintends to make a secondary market in
relation to the securities and to provide an indicative bid price
for the securities on a dailybasis. Any indicative bid price for
the securities provided by CGMI will be determined in CGMI's
sole discretion, taking into accountprevailing market conditions
and other relevant factors, and will not be a representation
by CGMI that the securities can be sold at thatprice, or at all.
CGMI may suspend or terminate making a market and providing
indicative bid prices without notice, at any time and forany
reason. If CGMI suspends or terminates making a market, there may
be no secondary market at all for the securities because it is
likelythat CGMI will be the only broker-dealer that is willing
to buy your securities prior to maturity. Accordingly, an
investor must be preparedto hold the securities until maturity.
(s) The estimated value of the securities on the
pricing date, based on CGMI's proprietary
pricing models and our internal
fundingrate, is less than the issue price.
The difference is attributable to certain costs associated with
selling, structuring and hedgingthe securities that are included
in the issue price. These costs include (i) any selling concessions
or other fees paid in connectionwith the offering of the
securities, (ii) hedging and other costs incurred by us and our
affiliates in connection with the offering ofthe securities and
(iii) the expected profit (which may be more or less than actual
profit) to CGMI or other of our affiliates in connectionwith
hedging our obligations under the securities. These costs
adversely affect the economic terms of the securities because, if
theywere lower, the economic terms of the securities would be more
favorable to you. The economic terms of the securities are also
likelyto be adversely affected by the use of our internal funding
rate, rather than our secondary market rate, to price the
securities. See"The estimated value of the securities would be lower
if it were calculated based on our secondary market rate" below.
(s) The estimated value of the
securities was determined for
us by our affiliate using
proprietary pricing models.
CGMI derivedthe estimated value disclosed on the cover page of this
pricing supplement from its proprietary pricing models. In doing so,
it may havemade discretionary judgments about the inputs to its models,
such as the volatility of, and correlation between, the closing
values ofthe underlyings, dividend yields on the underlyings and
interest rates. CGMI's views on these inputs may differ from your or
others'views, and as an underwriter in this offering, CGMI's interests
may conflict with yours. Both the models and the inputs to the
modelsmay prove to be wrong and therefore not an accurate reflection
of the value of the securities. Moreover, the estimated value of the
securitiesset forth on the cover page of this pricing supplement may
differ from the value that we or our affiliates may determine for
the securitiesfor other purposes, including for accounting purposes.
You should not invest in the securities because of the estimated
value of the securities.Instead, you should be willing to hold the
securities to maturity irrespective of the initial estimated value.
(s) The estimated value of the
securities would be lower if
it were calculated based on
our secondary market rate.
The estimatedvalue of the securities included in this pricing supplement
is calculated based on our internal funding rate, which is the rate at
whichwe are willing to borrow funds through the issuance of the securities.
Our internal funding rate is generally lower than our secondarymarket
rate, which is the rate that CGMI will use in determining the value
of the securities for purposes of any purchases of the securitiesfrom
you in the secondary market. If the estimated value included in this
pricing supplement were based on our secondary market rate,rather
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Citigroup Global Markets Holdings Inc.
than our internal funding rate, it wouldlikely be lower. We determine our
internal funding rate based on factors such as the costs associated with the
securities, which are generallyhigher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our
internal funding rateis not an interest rate that is payable on the securities.
Because there is not an active market for traded instrumentsreferencing our
outstanding debt obligations, CGMI determines our secondary market rate based
on the market price of traded instrumentsreferencing the debt obligations of
Citigroup Inc., our parent company and the guarantor of all payments due on
the securities, but subjectto adjustments that CGMI makes in its sole
discretion. As a result, our secondary market rate is not a market-determined
measure of ourcreditworthiness, but rather reflects the market's perception of
our parent company's creditworthiness as adjusted for discretionaryfactors
such as CGMI's preferences with respect to purchasing the securities prior to
maturity.
(s) The estimated value of
the securities is not an
indication of the price,
if any, at which CGMI
or any other person may be willingto buy the
securities from you in the secondary market.
Any such secondary market price will fluctuate over the term of the securitiesbased on the market and other factors
described in the next risk factor. Moreover, unlike the estimated value included in this pricingsupplement,
any value of the securities determined for purposes of a secondary market transaction will be based on our
secondary marketrate, which will likely result in a lower value for the securities than if our internal
funding rate were used. In addition, any secondarymarket price for the securities will be reduced by a bid-ask
spread, which may vary depending on the aggregate stated principal amountof the securities to be purchased
in the secondary market transaction, and the expected cost of unwinding related hedging transactions.As a
result, it is likely that any secondary market price for the securities will be less than the issue price.
(s) The value of the securities
prior to maturity will
fluctuate based on many
unpredictable factors.
The value of your securitiesprior to maturity will fluctuate based on the closing values of the underlyings,
the volatility of, and correlation between, the closingvalues of the underlyings, dividend yields on the
underlyings, interest rates generally, the time remaining to maturity and our and CitigroupInc.'s creditworthiness,
as reflected in our secondary market rate, among other factors described under "Risk Factors Relatingto the
Securities-Risk Factors Relating to All Securities-The value of your securities prior to maturity will fluctuate
basedon many unpredictable factors" in the accompanying product supplement. Changes in the closing values of
the underlyings may notresult in a comparable change in the value of your securities. You should understand
that the value of your securities at any time priorto maturity may be significantly less than the issue price.
(s) Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated
on any brokerageaccount statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount of this temporary upwardadjustment will steadily decline to zero over the
temporary adjustment period. See "Valuation of the Securities" in this pricingsupplement.
(s) The Russell 2000
(R)
Index is subject to risks associated
with small capitalization stocks.
The stocks that constitutethe Russell 2000
(R)
Index are issued by companies with relatively small market capitalization. The
stock prices of smallercompanies may be more volatile than stock prices of large
capitalization companies. These companies tend to be less well-established thanlarge
market capitalization companies. Small capitalization companies may be less
able to withstand adverse economic, market, trade andcompetitive 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.
(s) The SPDR
(R)
S&P
(R)
Regional Banking ETF is
subject to concentrated
risks associated with the bankingindustry.
All or substantially all of the
equity securities held by the SPDR
(R)
S&P
(R)
Regional BankingETF are issued by companies whose primary line of business is directly associated with
the banking industry. As a result, the value ofthe securities may be subject to greater volatility and
be more adversely affected by a single economic, political or regulatory occurrenceaffecting this
industry than a different investment linked to securities of a more broadly diversified group of issuers.
The performance of bank stocks may be affected by extensivegovernmental
regulation, which may limit both the amounts and types of loans and other
financial commitments they can make, the interestrates and fees they can
charge and the amount of capital they must maintain. Profitability is largely
dependent on the availability andcost of capital funds and can fluctuate
significantly when interest rates change. Credit losses resulting from
financial difficultiesof borrowers can negatively impact banking companies.
Banks may also be subject to severe price competition. Competition among
bankingcompanies is high and failure to maintain or increase market share may
result in lost market share.
These factors could affect the banking industry and couldaffect the value of
the equity securities held by the SPDR
(R)
S&P
(R)
Regional Banking ETF and the priceof the SPDR
(R)
S&P
(R)
Regional Banking ETF during the term of the securities, which may adversely
affectthe value of your securities.
(s) Our offering of the securities is not
a recommendation of any underlying.
The fact that we are offering the securities doesnot mean that we believe that
investing in an instrument linked to the underlyings is likely to achieve favorable
returns. In fact, aswe are part of a global financial institution, our affiliates
may have positions (including short positions) in the underlyings or ininstruments
related to the underlyings, and may publish research or express opinions, that in
each case are inconsistent with an investmentlinked to the underlyings. These and
other activities of our affiliates may affect the closing values of the underlyings
in a way thatnegatively affects the value of and your return on the securities.
(s) The closing value of an underlying
may be adversely affected by
our or our affiliates' hedging
and other trading activities.
We have hedged our obligations under the securities through CGMI or
other of our affiliates, who have taken positions in the underlyingsor
in financial instruments related to the underlyings and may adjust such
positions during the term of the securities. Our affiliatesalso take
positions in the underlyings or in financial instruments related to the
underlyings on a regular basis (taking long or shortpositions or both),
for their accounts, for other accounts under their management or to
facilitate transactions on behalf of customers.These activities could
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Citigroup Global Markets Holdings Inc.
affect the closing values of the underlyingsin a way that negatively affects
the value of and your return on the securities. They could also result in
substantial returns for usor our affiliates while the value of the securities
declines.
(s) We and our affiliates may have
economic interests that are adverse
to yours as a result of our
affiliates' business activities.
Our affiliates engage in business activities with a wide range of companies.
These activities include extending loans, making and facilitatinginvestments,
underwriting securities offerings and providing advisory services. These
activities could involve or affect the underlyingsin a way that negatively
affects the value of and your return on the securities. They could also
result in substantial returns for usor our affiliates while the value of the
securities declines. In addition, in the course of this business, we or our
affiliates may acquirenon-public information, which will not be disclosed to you.
(s) The calculation agent, which
is an affiliate of ours, will
make important determinations
with respect to the securities.
Ifcertain events occur during the term of the securities, such as market disruption
events and other events with respect to an underlying,CGMI, as calculation agent, will
be required to make discretionary judgments that could significantly affect your
return on the securities.In making these judgments, the calculation agent's interests
as an affiliate of ours could be adverse to your interests as a holderof the
securities. See "Risk Factors Relating to the Securities-Risk Factors Relating to All
Securities-The calculationagent, which is an affiliate of ours, will make important
determinations with respect to the securities" in the accompanying productsupplement.
(s) In the case of an underlying that
is an underlying ETF, even if the
underlying pays a dividend that it
identifies as special orextraordinary, no
adjustment will be required under the
securities for that dividend unless
it meets the criteria specified in
the accompanyingproduct supplement.
In general, an adjustment will not be made under the terms of the securities for any cash dividend paid by
theunderlying unless the amount of the dividend per share, together with any other dividends paid in the same quarter,
exceeds the dividendpaid per share in the most recent quarter by an amount equal to at least 10% of the closing value
of that underlying on the date of declarationof the dividend. Any dividend will reduce the closing value of the
underlying by the amount of the dividend per share. If the underlyingpays any dividend for which an adjustment is
not made under the terms of the securities, holders of the securities will be adversely affected.See "Description
of the Securities-Certain Additional Terms for Securities Linked to an Underlying Company or an UnderlyingETF-Dilution
and Reorganization Adjustments-Certain Extraordinary Cash Dividends" in the accompanying product supplement.
(s) In the case of an underlying that is an underlying ETF,
the securities will not be adjusted for all events
that may have a dilutiveeffect on or otherwise
adversely affect the closing value of the underlying.
For example, we will not make any adjustment for ordinarydividends or extraordinary dividends that do not meet the criteria
described above, partial tender offers or additional underlying shareissuances. Moreover, the adjustments we do make
may not fully offset the dilutive or adverse effect of the particular event. Investorsin the securities may be adversely
affected by such an event in a circumstance in which a direct holder of the underlying shares of theunderlying would not.
(s) In the case of an underlying that is
an underlying ETF, the securities
may become linked to an underlying
other than the originalunderlying
upon the occurrence of a
reorganization event or upon the
delisting of the underlying shares
of that original underlying.
For example, if the underlying enters into a merger agreement that provides
for holders of its underlying shares to receive shares ofanother entity and
such shares are marketable securities, the closing value of that underlying
following consummation of the merger willbe based on the value of such other
shares. Additionally, if the underlying shares of the underlying are delisted,
the calculation agentmay select a successor underlying. See "Description
of the Securities-Certain Additional Terms for Securities Linked to anUnderlying
Company or an Underlying ETF" in the accompanying product supplement.
(s) In the case of the underlying that
is an underlying ETF, the value
and performance of the underlying
shares of the underlying maynot
completely track the performance of the
underlying index that the underlying
seeks to track or the net asset
value per share of theunderlying.
In the case of the underlying that is an underlying ETF, the underlying does not fully replicate the underlying indexthat
it seeks to track and may hold securities different from those included in its underlying index. In addition, the
performance ofthe underlying will reflect additional transaction costs and fees that are not included in the calculation
of its underlying index. Allof these factors may lead to a lack of correlation between the performance of the
underlying and its underlying index. In addition, corporateactions with respect to the equity securities held by the
underlying (such as mergers and spin-offs) may impact the variance between theperformance of the underlying and its
underlying index. Finally, because the underlying shares are traded on an exchange and are subjectto market supply and
investor demand, the closing value of the underlying may differ from the net asset value per share of the underlying.
During periods of market volatility, securities included inthe underlying's
underlying index may be unavailable in the secondary market, market
participants may be unable to calculate accuratelythe net asset value per
share of the underlying and the liquidity of the underlying may be adversely
affected. This kind of market volatilitymay also disrupt the ability of market
participants to create and redeem shares of the underlying. Further, market
volatility may adverselyaffect, sometimes materially, the price at which
market participants are willing to buy and sell the underlying shares. As a
result, underthese circumstances, the closing value of the underlying may vary
substantially from the net asset value per share of the underlying.For all of
the foregoing reasons, the performance of the underlying may not correlate
with the performance of its underlying index and/orits net asset value per
share, which could materially and adversely affect the value of the securities
and/or reduce your return on thesecurities.
(s) Changes that affect the underlyings may
affect the value of your securities.
The sponsors of the underlyings may at any timemake methodological changes or other changes in the manner
in which they operate that could affect the values of the underlyings. We arenot affiliated with any such
underlying sponsor and, accordingly, we have no control over any changes any such sponsor may make. Suchchanges
could adversely affect the performance of the underlyings and the value of and your return on the securities.
(s) The U.S. federal tax consequences of an
investment in the securities are unclear.
There is no direct legal authority regardingthe proper U.S. federal tax treatment
of the securities, and we do not plan to request a ruling from the Internal
Revenue Service (the"IRS"). Consequently, significant aspects of the tax treatment
of the securities are uncertain, and the IRS or a court mightnot agree with the
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Citigroup Global Markets Holdings Inc.
treatment of the securities as describedin "United States Federal Tax
Considerations" below. If the IRS were successful in asserting an alternative
treatment of thesecurities, the tax consequences of the ownership and
disposition of the securities might be materially and adversely affected.
Moreover,future legislation, Treasury regulations or IRS guidance could
adversely affect the U.S. federal tax treatment of the securities,
possiblyretroactively.
Non-U.S. investors should note that persons having withholdingresponsibility
in respect of the securities may withhold on any coupon payment paid to a
non-U.S. investor, generally at a rate of 30%.To the extent that we have
withholding responsibility in respect of the securities, we intend to so
withhold.
You should read carefully the discussion under "UnitedStates Federal Tax
Considerations" and "Risk Factors Relating to the Securities" in the
accompanying product supplementand "United States Federal Tax Considerations"
in this pricing supplement. You should also consult your tax adviser
regardingthe U.S. federal tax consequences of an investment in the securities,
as well as tax consequences arising under the laws of any state,local or
non-U.S. taxing jurisdiction.
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Citigroup Global Markets Holdings Inc.
Information About the Nasdaq-100 Index
(R)
The Nasdaq-100 Index
(R)
is a modified market capitalization-weightedindex of stocks of the 100 largest
non-financial companies listed on the Nasdaq Stock Market. All stocks included
in the Nasdaq-100 Index
(R)
are traded on a major U.S. exchange. The Nasdaq-100 Index
(R)
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
(R)
" in the accompanying underlying supplement for additional information.
We have derived all information regarding the Nasdaq-100 Index
(R)
from publicly available information and have not independently verified any
information regarding the Nasdaq-100 Index
(R)
.This pricing supplement relates only to the securities and not to the
Nasdaq-100 Index
(R)
. We make no representation as tothe performance of the Nasdaq-100 Index
(R)
over the term of the securities.
The securities represent obligations of Citigroup Global Markets HoldingsInc.
(guaranteed by Citigroup Inc.) only. The sponsor of the Nasdaq-100 Index
(R)
is not involved in any way in this offeringand has no obligation relating to
the securities or to holders of the securities.
Historical Information
The closing value of the Nasdaq-100 Index
(R)
on November6, 2023 was 15,154.93.
The graph below shows the closing value of the Nasdaq-100 Index
(R)
for each day such value was available from January 2, 2013 to November 6,
2023. We obtained the closing values from Bloomberg L.P., withoutindependent
verification. You should not take historical closing values as an indication
of future performance.
Nasdaq-100 Index
(R)
- Historical Closing Values
January 2, 2013 to November 6, 2023
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Citigroup Global Markets Holdings Inc.
Information About the Russell 2000
(R)
Index
The Russell 2000
(R)
Index is designed to track the performanceof the small capitalization segment
of the U.S. equity market. All stocks included in the Russell 2000
(R)
Index are tradedon a major U.S. exchange. It is calculated and maintained by
FTSE Russell.
Please refer to the section "Equity Index Descriptions-The Russell Indices" in
the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000
(R)
Index from publicly available information and have not independently verified
any information regarding the Russell 2000
(R)
Index. This pricing supplement relates only to the securities and not to the
Russell 2000
(R)
Index. We make no representationas to the performance of the Russell 2000
(R)
Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets HoldingsInc.
(guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000
(R)
Index is not involved in any way in this offeringand has no obligation
relating to the securities or to holders of the securities.
Historical Information
The closing value of the Russell 2000
(R)
Index on November6, 2023 was 1,737.939.
The graph below shows the closing value of the Russell 2000
(R)
Index for each day such value was available from January 2, 2013 to November
6, 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.
Russell 2000
(R)
Index - Historical Closing Values
January 2, 2013 to November 6, 2023
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Citigroup Global Markets Holdings Inc.
Information About the SPDR
(R)
S&P
(R)
Regional Banking ETF
The SPDR
(R)
S&P
(R)
Regional Banking ETFis an exchange-traded fund that seeks to provide
investment results that, before fees and expenses, correspond generally to the
performanceof the S&P
(R)
Regional Banks Select Industry
TM
Index. The SPDR
(R)
S&P
(R)
RegionalBanking ETF is managed by SSGA Funds Management Inc. ("SSGA FM"), an
investment advisor to the SPDR
(R)
S&P
(R)
Regional Banking ETF, and the SPDR
(R)
Series Trust, a registered investment company. The Select Sector SPDR
(R)
Trust consists of numerous separate investment portfolios, including the SPDR
(R)
S&P
(R)
Regional BankingETF. The SPDR
(R)
S&P
(R)
Regional Banking ETF uses a representative sampling strategy to try to achieve
itsinvestment objective, which means that the SPDR
(R)
S&P
(R)
Regional Banking ETF is not required to purchaseall of the securities
represented in the S&P
(R)
Regional Banks Select Industry
TM
Index. Instead, the SPDR
(R)
S&P
(R)
Regional Banking ETF may purchase a subset of the securities in the S&P
(R)
Regional Banks SelectIndustry
TM
Index in an effort to hold a portfolio of securities with generally the same
risk and return characteristics ofthe S&P(R) Regional Banks Select Industry
TM
Index. Under normal market conditions, the SPDR
(R)
S&P
(R)
Regional Banking ETF generally invests substantially all, but at least 80%, of
its total assets in the securities comprising the S&P
(R)
Regional Banks Select Industry
TM
Index. In addition, the SPDR(R) S&P(R) Regional Banking ETF may invest in
equity securitiesnot included in the S&P
(R)
Regional Banks Select Industry
TM
Index, cash and cash equivalents or money marketinstruments, such as
repurchase agreements and money market funds (including money market funds
advised by SSgA FM).
Information provided to or filed with the SEC by the SPDR
(R)
Series Trust pursuant to the Securities Act of 1933, as amended, and the
Investment Company Act of 1940, as amended, can be located byreference to SEC
file numbers 333-57793 and 811-08839, respectively, through the SEC's website
at http://www.sec.gov. In addition,information may be obtained from other
sources including, but not limited to, press releases, newspaper articles and
other publicly disseminateddocuments. The underlying shares of the SPDR
(R)
S&P
(R)
Regional Banking ETF trade on the NYSE Arca underthe ticker symbol "KRE."
Please refer to the section "Fund Descriptions- The SPDR
(R)
S&P
(R)
Industry ETFs" in the accompanying underlying supplement for additional
information.
We have derived all information regarding the SPDR
(R)
S&P
(R)
Regional Banking ETF from publicly available information and have not
independently verified any information regarding the SPDR
(R)
S&P
(R)
Regional Banking ETF. This pricing supplement relates only to the securities
and not to the SPDR
(R)
S&P
(R)
Regional Banking ETF. We make no representation as to the performance of the
SPDR
(R)
S&P
(R)
Regional Banking ETF over the term of the securities.
The securities represent obligations of Citigroup Global Markets HoldingsInc.
(guaranteed by Citigroup Inc.) only. The sponsor of the SPDR
(R)
S&P
(R)
Regional Banking ETF is notinvolved in any way in this offering and has no
obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the SPDR
(R)
S&P
(R)
Regional Banking ETF on November 6, 2023 was $43.00.
The graph below shows the closing value of the SPDR
(R)
S&P
(R)
Regional Banking ETF for each day such value was available from January 2,
2013 to November 6, 2023. We obtainedthe closing values from Bloomberg L.P.,
without independent verification. You should not take historical closing
values as an indicationof future performance.
SPDR
(R)
S&P
(R)
Regional Banking ETF - Historical Closing Values
January 2, 2013 to November 6, 2023
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Citigroup Global Markets Holdings Inc.
United States Federal Tax Considerations
You should read carefully the discussion under "United StatesFederal Tax
Considerations" and "Risk Factors Relating to the Securities" in the
accompanying product supplement and"Summary Risk Factors" in this pricing
supplement.
Due to the lack of any controlling legal authority, there is substantialuncertai
nty regarding the U.S. federal tax consequences of an investment in the
securities. In connection with any information reportingrequirements we may
have in respect of the securities under applicable law, we intend (in the
absence of an administrative determinationor judicial ruling to the contrary)
to treat the securities for U.S. federal income tax purposes as prepaid
forward contracts with associatedcoupon payments that will be treated as gross
income to you at the time received or accrued in accordance with your regular
method oftax accounting. In the opinion of our counsel, Davis Polk & Wardwell
LLP, which is based on current market conditions, this treatmentof the
securities is reasonable under current law; however, our counsel has advised
us that it is unable to conclude affirmatively thatthis treatment is more
likely than not to be upheld, and that alternative treatments are possible.
Assuming this treatment of the securities is respected and subject tothe
discussion in "United States Federal Tax Considerations" in the accompanying
product supplement, the following U.S. federalincome tax consequences should
result under current law:
. Any coupon payments on the securities should be taxable as ordinary income to you at the time received
or accrued in accordance withyour regular method of accounting for U.S. federal income tax purposes.
. Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the differencebetween the amount realized and your tax basis in the security. For this purpose, the amount realized does not
include any coupon paidon retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated
as a coupon payment. Such gainor loss should be long-term capital gain or loss if you held the security for more than one year.
We do not plan to request a ruling from the IRS regarding the treatmentof the
securities. An alternative characterization of the securities could materially
and adversely affect the tax consequences of ownershipand disposition of the
securities, including the timing and character of income recognized. In
addition, the U.S. Treasury Departmentand the IRS have requested comments on
various issues regarding the U.S. federal income tax treatment of "prepaid
forward contracts"and similar financial instruments and have indicated that
such transactions may be the subject of future regulations or other
guidance.Furthermore, members of Congress have proposed legislative changes to
the tax treatment of derivative contracts. Any legislation, Treasuryregulations
or other guidance promulgated after consideration of these issues could
materially and adversely affect the tax consequencesof an investment in the
securities, possibly with retroactive effect. You should consult your tax
adviser regarding possible alternativetax treatments of the securities and
potential changes in applicable law.
Withholding Tax on Non-U.S. Holders.
Because significant aspectsof the tax treatment of the securities are
uncertain, persons having withholding responsibility in respect of the
securities may withholdon any coupon payment paid to Non-U.S. Holders (as
defined in the accompanying product supplement), generally at a rate of 30%.
To theextent that we have (or an affiliate of ours has) withholding
responsibility in respect of the securities, we intend to so withhold. Inorder
to claim an exemption from, or a reduction in, the 30% withholding, you may
need to comply with certification requirements to establishthat you are not a
U.S. person and are eligible for such an exemption or reduction under an
applicable tax treaty. You should consultyour tax adviser regarding the tax
treatment of the securities, including the possibility of obtaining a refund
of any amounts withheldand the certification requirement described above.
As discussed under "United States Federal Tax Considerations-TaxConsequences
to Non-U.S. Holders" in the accompanying product supplement, Section 871(m) of
the Code and Treasury regulations promulgatedthereunder ("Section 871(m)")
generally impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S.Holders with respect to certain financial instruments linked
to U.S. equities ("U.S. Underlying Equities") or indices thatinclude U.S.
Underlying Equities. Section 871(m) generally applies to instruments that
substantially replicate the economic performanceof one or more U.S. Underlying
Equities, as determined based on tests set forth in the applicable Treasury
regulations. However, the regulations,as modified by an IRS notice, exempt
financial instruments issued prior to January 1, 2025 that do not have a
"delta" of one.Based on the terms of the securities and representations
provided by us, our counsel is of the opinion that the securities should notbe
treated as transactions that have a "delta" of one within the meaning of the
regulations with respect to any U.S. UnderlyingEquity and, therefore, should
not be subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section 871(m)is not
binding on the IRS, and the IRS may disagree with this treatment. Moreover,
Section 871(m) is complex and its application may dependon your particular
circumstances, including your other transactions. You should consult your tax
adviser regarding the potential applicationof Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect toamounts
withheld.
You should read the section entitled "United States FederalTax 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 disposingof the securities.
You should also consult your tax adviser regarding all aspects ofthe U.S.
federal income and estate tax consequences of an investment in the securities
and any tax consequences arising under the lawsof any state, local or non-U.S.
taxing jurisdiction.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and theunderwriter
of the sale of the securities, is acting as principal and will receive an
underwriting fee of up to $22.25 for each securitysold in this offering. The
actual underwriting fee will be equal to the selling concession provided to
selected dealers, as describedin this paragraph. From this underwriting fee,
CGMI will pay selected dealers not affiliated with CGMI a variable selling
concession ofup to $22.25 for each security they sell. For the avoidance of
doubt, any fees or selling concessions described in this pricing supplementwill
not be rebated if we redeem the securities prior to maturity.
PS-
14
Citigroup Global Markets Holdings Inc.
See "Plan of Distribution; Conflicts of Interest" in theaccompanying product
supplement and "Plan of Distribution" in each of the accompanying prospectus
supplement and prospectusfor additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on thecover
page of this pricing supplement based on proprietary pricing models. CGMI's
proprietary pricing models generated an estimatedvalue for the securities by
estimating the value of a hypothetical package of financial instruments that
would replicate the payout onthe securities, which consists of a fixed-income
bond (the "bond component") and one or more derivative instruments
underlyingthe economic terms of the securities (the "derivative component").
CGMI calculated the estimated value of the bond componentusing a discount rate
based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietaryderivative-pricing model, which
generated a theoretical price for the instruments that constitute the
derivative component based on variousinputs, including the factors described
under "Summary Risk Factors-The value of the securities prior to maturity will
fluctuatebased on many unpredictable factors" in this pricing supplement, but
not including our or Citigroup Inc.'s creditworthiness.These inputs may be
market-observable or may be based on assumptions made by CGMI in its
discretionary judgment.
For a period of approximately three months following issuance of thesecurities,
the price, if any, at which CGMI would be willing to buy the securities from
investors, and the value that will be indicatedfor the securities on any
brokerage account statements prepared by CGMI or its affiliates (which value
CGMI may also publish through oneor 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
theterm of the securities. The amount of this temporary upward adjustment will
decline to zero on a straight-line basis over the three-monthtemporary
adjustment period. However, CGMI is not obligated to buy the securities from
investors at any time. See "Summary RiskFactors-The securities will not be
listed on any securities exchange and you may not be able to sell them prior
to maturity."
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special productscounsel to
Citigroup Global Markets Holdings Inc., when the securities offered by this
pricing supplement have been executed and issuedby Citigroup Global Markets
Holdings Inc. and authenticated by the trustee pursuant to the indenture, and
delivered against payment therefor,such securities and the related guarantee
of Citigroup Inc. will be valid and binding obligations of Citigroup Global
Markets HoldingsInc. and Citigroup Inc., respectively, enforceable in
accordance with their respective terms, subject to applicable bankruptcy,
insolvencyand 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 expressesno opinion as to the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressedabove. 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 thatsuch counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed thelegal
conclusions expressed in the opinions set forth below of Alexia Breuvart,
Secretary and General Counsel of Citigroup Global MarketsHoldings Inc., and
Barbara Politi, Associate General Counsel-Capital Markets of Citigroup Inc. In
addition, this opinion is subjectto the assumptions set forth in the letter of
Davis Polk & Wardwell LLP dated March 7, 2023, which has been filed as an
exhibit toa Current Report on Form 8-K filed by Citigroup Inc. on March 8,
2023, that the indenture has been duly authorized, executed and deliveredby,
and is a valid, binding and enforceable agreement of, the trustee and that
none of the terms of the securities nor the issuance anddelivery of the
securities and the related guarantee, nor the compliance by Citigroup Global
Markets Holdings Inc. and Citigroup Inc.with the terms of the securities and
the related guarantee respectively, will result in a violation of any
provision of any instrumentor agreement then binding upon Citigroup Global
Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction
imposed byany 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 ofCitigroup
Global Markets Holdings Inc., (i) the terms of the securities offered by this
pricing supplement have been duly establishedunder the indenture and the Board
of Directors (or a duly authorized committee thereof) of Citigroup Global
Markets Holdings Inc. hasduly authorized the issuance and sale of such
securities and such authorization has not been modified or rescinded; (ii)
Citigroup GlobalMarkets Holdings Inc. is validly existing and in good standing
under the laws of the State of New York; (iii) the indenture has been
dulyauthorized, executed and delivered by Citigroup Global Markets Holdings
Inc.; and (iv) the execution and delivery of such indenture andof the
securities offered by this pricing supplement by Citigroup Global Markets
Holdings Inc., and the performance by Citigroup GlobalMarkets Holdings Inc. of
its obligations thereunder, are within its corporate powers and do not
contravene its certificate of incorporationor bylaws or other constitutive
documents. This opinion is given as of the date of this pricing supplement and
is limited to the lawsof 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 recordsof Citigroup Global
Markets Holdings Inc., certificates or documents as she has deemed appropriate
as a basis for the opinions expressedabove. 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
personsas originals, the conformity to original documents of all documents
submitted to her or such persons as certified or photostatic copiesand the
authenticity of the originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel-CapitalMarkets of
Citigroup Inc., (i) the Board of Directors (or a duly authorized committee
thereof) of Citigroup Inc. has duly authorized theguarantee of such securities
by Citigroup Inc. and such authorization has not been modified or rescinded;
(ii) Citigroup Inc. is validlyexisting and in good standing under the laws of
the State of Delaware; (iii) the indenture has been duly authorized, executed
and deliveredby 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
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15
Citigroup Global Markets Holdings Inc.
constitutive documents. This opinion is given as of the date of thispricing
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 recordsof 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 officersof Citigroup Inc.), the authenticity of all
documents submitted to her or such persons as originals, the conformity to
original documentsof 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-partydistributor
s may contact Citi Structured Investment Sales at (212) 723-7005.
(c) 2023 Citigroup Global Markets Inc. All rights reserved. Citiand Citi and
Arc Design are trademarks and service marks of Citigroup Inc. or its
affiliates and are used and registered throughout theworld.
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16
Exhibit107.1
Calculationof Filing Fee Table
Rule424(b)(2)
(Form Type)
CitigroupGlobal Markets Holdings Inc.
CitigroupInc., as Guarantor
(ExactName of Registrant as Specified in its Charter)
Table1-Newly Registered Securities
Security Type Security Fee Calculation Amount Proposed Maximum Fee Rate Amount of
Class Title or Registered Maximum Aggregate Registration
Carry Forward Offering Price Offering Price Fee
Rule Per Unit
Fees to Debt Medium-Term Rule 609 $1,000 $609,000 0.0001476 $89.89
be Paid Senior 456(b) and
Notes, Rule 457(r)
Series N
Other Citigroup Inc. Rule 457(n) -- -- -- -- --
Guarantee of
Medium-Term Senior
Notes, Series N
Thepricing supplement to which this Exhibit is attached is a final prospectus
for the related offering.
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