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| Citigroup World Markets Holdings Inc. |
January Medium-Time period Pricing Filed Registration |
Market-Linked Notes Linked to the S&P 500®
Index Due January 23, 2026
| ▪ | The notes provided by this pricing complement are unsecured debt securities issued by Citigroup World Markets Holdings Inc. and assured by Citigroup Inc. Not like typical debt securities, the notes don’t pay curiosity. As an alternative, the notes supply the potential for a return at maturity primarily based on the efficiency of the underlying specified under from the preliminary underlying worth to the ultimate underlying worth. |
| ▪ | If the underlying appreciates from the preliminary underlying worth to the ultimate underlying worth, you’ll obtain a optimistic return at maturity equal to that appreciation multiplied by the upside participation charge, topic to the utmost return at maturity specified under. Nonetheless, if the underlying stays the identical or depreciates from the preliminary underlying worth to the ultimate underlying worth, you can be repaid the acknowledged principal quantity of your notes at maturity however won’t obtain any return in your funding. Even when the underlying appreciates from the preliminary underlying worth to the ultimate underlying worth, so that you simply do obtain a optimistic return at maturity, there isn’t any assurance that your complete return at maturity on the notes will compensate you for the consequences of inflation or be as nice because the yield you might have achieved on a traditional debt safety of ours of comparable maturity. |
| ▪ | In alternate for the potential for a optimistic return at maturity primarily based on the efficiency of the underlying and reimbursement of the principal quantity even when the underlying depreciates, buyers within the notes should be keen to forgo (i) any return on the notes in extra of the utmost return at maturity and (ii) dividends with respect to the underlying. If the underlying doesn’t respect from the preliminary underlying worth to the ultimate underlying worth, you’ll not obtain any return in your funding within the notes. |
| ▪ | With a purpose to acquire the modified publicity to the underlying that the notes present, buyers should be keen to just accept (i) an funding which will have restricted or no liquidity and (ii) the danger of not receiving any quantity due below the notes if we and Citigroup Inc. default on our obligations. All funds on the notes are topic to the credit score danger of Citigroup World Markets Holdings Inc. and Citigroup Inc. |
| KEY TERMS | |||
| Issuer: | Citigroup World Markets Holdings Inc., an entirely owned subsidiary of Citigroup Inc. | ||
| Assure: | All funds due on the notes are absolutely and unconditionally assured by Citigroup Inc. | ||
| Underlying: | The S&P 500® Index | ||
| Acknowledged principal quantity: | $1,000 per be aware | ||
| Pricing date: | January 18, 2023 | ||
| Concern date: | January 23, 2023 | ||
| Valuation date: | January 20, 2026, topic to postponement if such date isn’t a scheduled buying and selling day or sure market disruption occasions happen | ||
| Maturity date: | January 23, 2026 | ||
| Cost at maturity: |
You’ll obtain at maturity for every be aware you then maintain: · If the ultimate underlying worth is higher than the preliminary underlying worth: $1,000 + the return quantity, topic to the utmost · $1,000 |
||
| Preliminary underlying worth: | 3,928.86, the closing worth of the underlying on the pricing date | ||
| Ultimate underlying worth: | The closing worth of the underlying on the valuation date | ||
| Return quantity: | $1,000 × the underlying return × the upside participation charge | ||
| Upside participation charge: | 100.00% | ||
| Underlying return: | (i) The ultimate underlying worth minus the preliminary underlying worth, divided by (ii) the preliminary underlying worth | ||
| Most return at maturity: | $315.00 per be aware (31.50% of the acknowledged principal quantity). The cost at maturity per be aware won’t exceed the acknowledged principal quantity plus the utmost return at maturity. | ||
| Itemizing: | The notes won’t be listed on any securities alternate | ||
| CUSIP / ISIN: | 17331CJX6 / US17331CJX65 | ||
| Underwriter: | Citigroup World Markets Inc. (“CGMI”), an affiliate of the issuer, appearing as principal | ||
| Underwriting charge and subject value: | Concern value(1) | Underwriting charge(2) | Proceeds to issuer(3) |
| Per be aware: | $1,000.00 | $6.50 | $993.50 |
| Complete: | $924,000.00 | $6,006.00 | $917,994.00 |
(1) On the date of this pricing complement,
the estimated worth of the notes is $986.30 per be aware, which is lower than the problem value. The estimated worth of the notes is predicated on
CGMI’s proprietary pricing fashions and our inside funding charge. It’s not a sign of precise revenue to CGMI or different of our
associates, neither is it a sign of the value, if any, at which CGMI or another particular person could also be keen to purchase the notes from you
at any time after issuance. See “Valuation of the Notes” on this pricing complement.
(2) CGMI will obtain an underwriting
charge of as much as $6.50 for every be aware offered on this providing. The full underwriting charge and proceeds to issuer within the desk above give impact
to the precise complete underwriting charge. For extra data on the distribution of the notes, see “Supplemental Plan of Distribution”
on this pricing complement. Along with the underwriting charge, CGMI and its associates could revenue from hedging exercise associated to
this providing, even when the worth of the notes declines. See “Use of Proceeds and Hedging” within the accompanying prospectus.
(3) The per be aware proceeds to issuer indicated
above symbolize the minimal per be aware proceeds to issuer for any be aware, assuming the utmost per be aware underwriting charge. As famous above,
the underwriting charge is variable.
Investing within the notes entails dangers not related to an funding
in typical debt securities. See “Abstract Threat Elements” starting on web page PS-4.
Neither the Securities and Change Fee
nor any state securities fee has accredited or disapproved of the notes or decided that this pricing complement and the accompanying
product complement, underlying complement, prospectus complement and prospectus are truthful or full. Any illustration on the contrary
is a prison offense.
You must learn this pricing complement collectively
with the accompanying product complement, underlying complement, prospectus complement and prospectus, which will be accessed by way of the
hyperlinks under:
Product Complement No. EA-03-08 dated Might 11, 2021 Underlying Complement No. 10 dated Might 11, 2021
Prospectus Complement and Prospectus every dated Might 11, 2021
The notes will not be financial institution deposits and will not be insured
or assured by the Federal Deposit Insurance coverage Company or another governmental company, nor are they obligations of, or assured
by, a financial institution.
| Citigroup World Markets Holdings Inc. |
Further Info
The phrases of the notes are set forth within the accompanying product complement,
prospectus complement and prospectus, as supplemented by this pricing complement. The accompanying product complement, prospectus complement
and prospectus comprise necessary disclosures that aren’t repeated on this pricing complement. For instance, the accompanying product complement
comprises necessary details about how the closing worth of the underlying will probably be decided and about changes which may be made
to the phrases of the notes upon the prevalence of market disruption occasions and different specified occasions with respect to the underlying. The
accompanying underlying complement comprises details about the underlying that isn’t repeated on this pricing complement. It is necessary
that you simply learn the accompanying product complement, underlying complement, prospectus complement and prospectus along with this pricing
complement in connection along with your funding within the notes. Sure phrases used however not outlined on this pricing complement are outlined
within the accompanying product complement.
Payout Diagram
The diagram under illustrates your cost at maturity for a variety of
hypothetical underlying returns.
Buyers within the notes won’t obtain any dividends with respect
to the underlying. The diagram and examples under don’t present any impact of misplaced dividend yield over the time period of the notes. See “Abstract
Threat Elements—You’ll not obtain dividends or have another rights with respect to the underlying” under.
| Payout Diagram | |
| n The Notes | n The Underlying |
| Citigroup World Markets Holdings Inc. |
Hypothetical Examples
The examples under illustrate decide the cost at maturity
on the notes, assuming the varied hypothetical remaining underlying values indicated under. The examples are solely for illustrative functions,
don’t present all doable outcomes and will not be a prediction of what the precise cost at maturity on the notes will probably be. The precise cost
at maturity will rely upon the precise remaining underlying worth.
The examples under are primarily based on a hypothetical preliminary underlying worth
of 100.00 and don’t replicate the precise preliminary underlying worth. For the precise preliminary underlying worth, see the quilt web page of this
pricing complement. We’ve used this hypothetical worth, slightly than the precise worth, to simplify the calculations and help understanding
of how the notes work. Nonetheless, you must perceive that the precise cost at maturity on the notes will probably be calculated primarily based on the
precise preliminary underlying worth, and never this hypothetical worth. For ease of study, figures under have been rounded.
Instance 1—Upside State of affairs A. The ultimate underlying worth
is 105.00, leading to a 5.00% underlying return. On this instance, the ultimate underlying worth is higher than the preliminary underlying
worth.
Cost at maturity per be aware = $1,000 + the return quantity, topic to
the utmost return at maturity
= $1,000 + ($1,000 × the underlying return × the upside
participation charge), topic to the utmost return at maturity
= $1,000 + ($1,000 × 5.00% × 100.00%), topic to the utmost
return at maturity
= $1,000 + $50.00, topic to the utmost return at maturity
= $1,050.00
On this situation, the underlying has appreciated from the preliminary underlying
worth to the ultimate underlying worth, and your complete return at maturity would equal the underlying return multiplied by the upside
participation charge.
Instance 2—Upside State of affairs B. The ultimate underlying worth
is 200.00, leading to a 100.00% underlying return. On this instance, the ultimate underlying worth is higher than the preliminary underlying
worth.
Cost at maturity per be aware = $1,000 + the return quantity, topic to
the utmost return at maturity
= $1,000 + ($1,000 × the underlying return × the upside
participation charge), topic to the utmost return at maturity
= $1,000 + ($1,000 × 100.00% × 100.00%), topic to the
most return at maturity
= $1,000 + $1,000.00, topic to the utmost return at maturity
= $1,315.00
On this situation, the underlying has appreciated from the preliminary underlying
worth to the ultimate underlying worth, however the underlying return multiplied by the upside participation charge would exceed the utmost
return at maturity. Consequently, your complete return at maturity on this situation could be restricted to the utmost return at maturity, and
an funding within the notes would underperform a hypothetical various funding offering 1-to-1 publicity to the appreciation of the
underlying with out a most return.
Instance 3—Par State of affairs. The ultimate underlying worth is 90.00,
leading to a -10.00% underlying return.
Cost at maturity per be aware = $1,000
On this situation, the underlying has depreciated from the preliminary underlying
worth to the ultimate underlying worth. Consequently, your cost at maturity per be aware would equal the $1,000 acknowledged principal quantity per
be aware and you wouldn’t obtain any optimistic return in your funding.
| Citigroup World Markets Holdings Inc. |
Abstract Threat Elements
An funding within the notes is considerably riskier than an funding
in typical debt securities. The notes are topic to the entire dangers related to an funding in our typical debt securities
(assured by Citigroup Inc.), together with the danger that we and Citigroup Inc. could default on our obligations below the notes, and are
additionally topic to dangers related to the underlying. Accordingly, the notes are appropriate just for buyers who’re able to understanding
the complexities and dangers of the notes. You must seek the advice of your individual monetary, tax and authorized advisors as to the dangers of an funding
within the notes and the suitability of the notes in mild of your specific circumstances.
The next is a abstract of sure key danger components for buyers
within the notes. You must learn this abstract along with the extra detailed description of dangers regarding an funding within the notes
contained within the part “Threat Elements Regarding the Notes” starting on web page EA-6 within the accompanying product complement.
You must also fastidiously learn the danger components included within the accompanying prospectus complement and within the paperwork included by
reference within the accompanying prospectus, together with Citigroup Inc.’s most up-to-date Annual Report on Type 10-Okay and any subsequent Quarterly
Studies on Type 10-Q, which describe dangers regarding the enterprise of Citigroup Inc. extra typically.
| § | Chances are you’ll not obtain any return in your funding within the notes. You’ll obtain a optimistic return in your funding within the notes provided that the underlying appreciates from the preliminary underlying worth to the ultimate underlying worth. If the ultimate underlying worth is the same as or lower than the preliminary underlying worth, you’ll obtain solely the acknowledged principal quantity of $1,000 for every be aware you maintain at maturity. Because the notes don’t pay any curiosity, even when the underlying appreciates from the preliminary underlying worth to the ultimate underlying worth, there isn’t any assurance that your complete return at maturity on the notes will probably be as nice as might have been achieved on typical debt securities of ours of comparable maturity. |
| § | Though the notes present for the reimbursement of the acknowledged principal quantity at maturity, you could nonetheless undergo a loss on your funding in actual worth phrases if the underlying declines or doesn’t respect sufficiently from the preliminary underlying worth to the ultimate underlying worth. It is because inflation could trigger the true worth of the acknowledged principal quantity to be much less at maturity than it’s on the time you make investments, and since an funding within the notes represents a forgone alternative to spend money on another asset that does generate a optimistic actual return. This potential loss in actual worth phrases is critical given the time period of the notes. You ought to fastidiously think about whether or not an funding that won’t present for any return in your funding, or could present a return that’s decrease than the return on various investments, is acceptable for you. |
| § | Your potential return on the notes is proscribed. Your potential complete return on the notes at maturity is proscribed to the utmost return at maturity, even when the underlying appreciates by considerably greater than the utmost return at maturity. If the underlying appreciates by greater than the utmost return at maturity, the notes will underperform another funding offering 1-to-1 publicity to the efficiency of the underlying. When misplaced dividends are taken under consideration, the notes could underperform another funding offering 1-to-1 publicity to the efficiency of the underlying even when the underlying appreciates by lower than the utmost return at maturity. |
| § | The notes don’t pay curiosity. Not like typical debt securities, the notes don’t pay curiosity or another quantities prior to maturity. You shouldn’t spend money on the notes in the event you search present revenue throughout the time period of the notes. |
| § | You’ll not obtain dividends or have another rights with respect to the underlying. You’ll not obtain any dividends with respect to the underlying. This misplaced dividend yield could also be vital over the time period of the notes. The cost eventualities described on this pricing complement don’t present any impact of such misplaced dividend yield over the time period of the notes. As well as, you’ll not have voting rights or another rights with respect to the underlying or the shares included within the underlying. |
| § | Your cost at maturity depends upon the closing worth of the underlying on a single day. As a result of your cost at maturity relies upon on the closing worth of the underlying solely on the valuation date, you’re topic to the danger that the closing worth of the underlying on that day could also be decrease, and probably considerably decrease, than on a number of different dates throughout the time period of the notes. In the event you had invested in one other instrument linked to the underlying that you might promote for full worth at a time chosen by you, or if the cost at maturity had been primarily based on a mean of closing values of the underlying, you may need achieved higher returns. |
| § | The notes are topic to the credit score danger of Citigroup World Markets Holdings Inc. and Citigroup Inc. If we default on our obligations below the notes and Citigroup Inc. defaults on its assure obligations, you could not obtain something owed to you below the notes. |
| § | The notes won’t be listed on any securities alternate and you could not be capable to promote them previous to maturity. The notes will not be listed on any securities alternate. Subsequently, there could also be little or no secondary marketplace for the notes. CGMI presently intends to make a secondary market in relation to the notes and to offer an indicative bid value for the notes each day. Any indicative bid value for the notes supplied by CGMI will probably be decided in CGMI’s sole discretion, making an allowance for prevailing market circumstances and different related components, and won’t be a illustration by CGMI that the notes will be offered at that value, or in any respect. CGMI could droop or terminate making a market and offering indicative bid costs with out discover, at any time and for any motive. If CGMI suspends or terminates making a market, there could also be no secondary market in any respect for the notes as a result of it’s seemingly that CGMI would be the solely broker-dealer that is keen to purchase your notes previous to maturity. Accordingly, an investor should be ready to carry the notes till maturity. |
| § | Sale of the notes previous to maturity could lead to a lack of principal. You’ll be entitled to obtain at the very least the complete acknowledged principal quantity of your notes, topic to the credit score danger of Citigroup World Markets Holdings Inc. and Citigroup Inc., provided that you maintain the notes to maturity. The worth of the notes could fluctuate throughout the time period of the notes, and if you’ll be able to promote your notes prior to maturity, you could obtain lower than the complete acknowledged principal quantity of your notes. |
| § | The estimated worth of the notes on the pricing date, primarily based on CGMI’s proprietary pricing fashions and our inside funding charge, is lower than the problem value. The distinction is attributable to sure prices related to promoting, structuring and hedging the notes which might be included within the subject value. These prices embody (i) any promoting concessions or different charges paid in reference to the providing of the notes, (ii) hedging and different prices incurred by us and our associates in reference to the providing of the notes and (iii) the anticipated revenue |
| Citigroup World Markets Holdings Inc. |
(which can be roughly than precise revenue)
to CGMI or different of our associates in reference to hedging our obligations below the notes. These prices adversely have an effect on the financial
phrases of the notes as a result of, in the event that they had been decrease, the financial phrases of the notes could be extra favorable to you. The financial phrases of
the notes are additionally more likely to be adversely affected by means of our inside funding charge, slightly than our secondary market charge, to
value the notes. See “The estimated worth of the notes could be decrease if it had been calculated primarily based on our secondary market charge”
under.
| § | The estimated worth of the notes was decided for us by our affiliate utilizing proprietary pricing fashions. CGMI derived the estimated worth disclosed on the quilt web page of this pricing complement from its proprietary pricing fashions. In doing so, it could have made discretionary judgments concerning the inputs to its fashions, such because the volatility of the closing worth of the underlying, the dividend yield on the underlying and rates of interest. CGMI’s views on these inputs could differ out of your or others’ views, and as an underwriter on this providing, CGMI’s pursuits could battle with yours. Each the fashions and the inputs to the fashions could show to be improper and due to this fact not an correct reflection of the worth of the notes. Furthermore, the estimated worth of the notes set forth on the quilt web page of this pricing complement could differ from the worth that we or our associates could decide for the notes for different functions, together with for accounting functions. You shouldn’t spend money on the notes due to the estimated worth of the notes. As an alternative, you need to be keen to carry the notes to maturity no matter the preliminary estimated worth. |
| § | The estimated worth of the notes could be decrease if it had been calculated primarily based on our secondary market charge. The estimated worth of the notes included on this pricing complement is calculated primarily based on our inside funding charge, which is the speed at which we’re keen to borrow funds by the issuance of the notes. Our inside funding charge is usually decrease than our secondary market charge, which is the speed that CGMI will use in figuring out the worth of the notes for functions of any purchases of the notes from you within the secondary market. If the estimated worth included on this pricing complement had been primarily based on our secondary market charge, slightly than our inside funding charge, it will seemingly be decrease. We decide our inside funding charge primarily based on components comparable to the prices related to the notes, which are typically larger than the prices related to typical debt securities, and our liquidity wants and preferences. Our inside funding charge isn’t an rate of interest that’s payable on the notes. |
As a result of there may be not an energetic marketplace for traded devices
referencing our excellent debt obligations, CGMI determines our secondary market charge primarily based available on the market value of traded devices
referencing the debt obligations of Citigroup Inc., our dad or mum firm and the guarantor of all funds due on the notes, however topic
to changes that CGMI makes in its sole discretion. Consequently, our secondary market charge isn’t a market-determined measure of our
creditworthiness, however slightly displays the market’s notion of our dad or mum firm’s creditworthiness as adjusted for discretionary
components comparable to CGMI’s preferences with respect to buying the notes previous to maturity.
| § | The estimated worth of the notes isn’t a sign of the value, if any, at which CGMI or another particular person could also be keen to purchase the notes from you within the secondary market. Any such secondary market value will fluctuate over the time period of the notes primarily based on the market and different components described within the subsequent danger issue. Furthermore, not like the estimated worth included on this pricing complement, any worth of the notes decided for functions of a secondary market transaction will probably be primarily based on our secondary market charge, which can seemingly lead to a decrease worth for the notes than if our inside funding charge had been used. As well as, any secondary market value for the notes will probably be decreased by a bid-ask unfold, which can range relying on the combination acknowledged principal quantity of the notes to be bought within the secondary market transaction, and the anticipated price of unwinding associated hedging transactions. Consequently, it’s seemingly that any secondary market value for the notes will probably be lower than the problem value. |
| § | The worth of the notes previous to maturity will fluctuate primarily based on many unpredictable components. The worth of your notes prior to maturity will fluctuate primarily based on the closing worth of the underlying, the volatility of the closing worth of the underlying, the dividend yield on the underlying, rates of interest typically, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as mirrored in our secondary market charge, amongst different components described below “Threat Elements Regarding the Notes—Threat Elements Regarding All Notes—The worth of your notes previous to maturity will fluctuate primarily based on many unpredictable components” within the accompanying product complement. Modifications within the closing worth of the underlying could not lead to a comparable change within the worth of your notes. You must perceive that the worth of your notes at any time previous to maturity could also be considerably lower than the problem value. |
| § | Instantly following issuance, any secondary market bid value supplied by CGMI, and the worth that will probably be indicated on any brokerage account statements ready by CGMI or its associates, will replicate a short lived upward adjustment. The quantity of this momentary upward adjustment will steadily decline to zero over the momentary adjustment interval. See “Valuation of the Notes” on this pricing complement. |
| § | Our providing of the notes isn’t a advice of the underlying. The truth that we’re providing the notes doesn’t imply that we consider that investing in an instrument linked to the underlying is more likely to obtain favorable returns. In truth, as we’re half of a world monetary establishment, our associates could have positions (together with brief positions) within the underlying or in devices associated to the underlying, and will publish analysis or specific opinions, that in every case are inconsistent with an funding linked to the underlying. These and different actions of our associates could have an effect on the closing worth of the underlying in a means that negatively impacts the worth of and your return on the notes. |
| § | The closing worth of the underlying could also be adversely affected by our or our associates’ hedging and different buying and selling actions. We’ve hedged our obligations below the notes by CGMI or different of our associates, who’ve taken positions within the underlying or in monetary devices associated to the underlying and will modify such positions throughout the time period of the notes. Our associates additionally take positions within the underlying or in monetary devices associated to the underlying regularly (taking lengthy or brief positions or each), for his or her accounts, for different accounts below their administration or to facilitate transactions on behalf of shoppers. These actions might have an effect on the closing worth of the underlying in a means that negatively impacts the worth of and your return on the notes. They may additionally lead to substantial returns for us or our associates whereas the worth of the notes declines. |
| § | We and our associates could have financial pursuits which might be adversarial to yours on account of our associates’ enterprise actions. Our associates have interaction in enterprise actions with a variety of corporations. These actions embody extending loans, making and facilitating |
| Citigroup World Markets Holdings Inc. |
investments, underwriting notes choices
and offering advisory providers. These actions might contain or have an effect on the underlying in a means that negatively impacts the worth of
and your return on the notes. They may additionally lead to substantial returns for us or our associates whereas the worth of the notes declines.
As well as, in the midst of this enterprise, we or our associates could purchase private data, which won’t be disclosed to you.
| § | The calculation agent, which is an affiliate of ours, will make necessary determinations with respect to the notes. If sure occasions happen throughout the time period of the notes, comparable to market disruption occasions and different occasions with respect to the underlying, CGMI, as calculation agent, will probably be required to make discretionary judgments that might considerably have an effect on your return on the notes. In making these judgments, the calculation agent’s pursuits as an affiliate of ours might be adversarial to your pursuits as a holder of the notes. See “Threat Elements Regarding the Notes—Threat Elements Regarding All Notes—The calculation agent, which is an affiliate of ours, will make necessary determinations with respect to the notes” within the accompanying product complement. |
| § | Modifications that have an effect on the underlying could have an effect on the worth of your notes. The sponsor of the underlying could at any time make methodological modifications or different modifications within the method through which it operates that might have an effect on the worth of the underlying. We aren’t affiliated with the underlying sponsor and, accordingly, we have now no management over any modifications such sponsor could make. Such modifications might adversely have an effect on the efficiency of the underlying and the worth of and your return on the notes. |
| Citigroup World Markets Holdings Inc. |
Info In regards to the S&P 500® Index
The S&P 500®
Index consists of frequent shares of 500 issuers chosen to offer a efficiency benchmark for the massive capitalization phase of the
U.S. fairness markets. It’s calculated and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index is reported
by Bloomberg L.P. below the ticker image “SPX.”
“Normal & Poor’s,”
“S&P” and “S&P 500®” are logos of Normal & Poor’s Monetary Companies LLC
and have been licensed to be used by Citigroup Inc. and its associates. For extra data, see “Fairness Index Descriptions—The
S&P U.S. Indices—License Settlement” within the accompanying underlying complement.
Please check with the part “Fairness Index Descriptions—The
S&P U.S. Indices—The S&P 500® Index” within the accompanying underlying complement for necessary disclosures
relating to the S&P 500® Index.
Historic Info
The closing worth of the S&P 500® Index on January
18, 2023 was 3,928.86.
The graph under reveals the closing worth of the S&P 500®
Index for every day such worth was out there from January 2, 2013 to January 18, 2023. We obtained the closing values from Bloomberg L.P.,
with out unbiased verification. You shouldn’t take historic closing values as a sign of future efficiency.
| S&P 500® Index – Historic Closing Values January 2, 2013 to January 18, 2023 |
 |
| Citigroup World Markets Holdings Inc. |
United States Federal Earnings Tax Issues
Within the opinion of our counsel, Davis Polk &
Wardwell LLP, which is predicated on present market circumstances, the notes needs to be handled as “contingent cost debt devices”
for U.S. federal revenue tax functions, as described within the part of the accompanying product complement known as “United States Federal
Tax Issues—Tax Penalties to U.S. Holders—Notes Handled as Contingent Cost Debt Devices,” and the remaining
dialogue is predicated on this therapy.
If you’re a U.S. Holder (as outlined within the accompanying
product complement), you can be required to acknowledge curiosity revenue throughout the time period of the notes on the “comparable yield,”
which typically is the yield at which we might subject a fixed-rate debt instrument with phrases much like these of the notes, together with
the extent of subordination, time period, timing of funds and basic market circumstances, however excluding any changes for the riskiness of
the contingencies or the liquidity of the notes. We’re required to assemble a “projected cost schedule” in respect of
the notes representing a cost the quantity and timing of which might produce a yield to maturity on the notes equal to the comparable
yield. Assuming you maintain the notes till their maturity, the quantity of curiosity you embody in revenue primarily based on the comparable yield in
the taxable yr through which the notes mature will probably be adjusted upward or downward to replicate the distinction, if any, between the precise and
projected cost on the notes at maturity as decided below the projected cost schedule. Nonetheless, particular guidelines could apply if the
cost at maturity on the notes is handled as turning into fastened previous to maturity. See “United States Federal Tax Issues—Tax
Penalties to U.S. Holders—Notes Handled as Contingent Cost Debt Devices” within the accompanying product complement
for a extra detailed dialogue of the particular guidelines.
Upon the sale, alternate or retirement of the notes
previous to maturity, you typically will acknowledge achieve or loss equal to the distinction between the proceeds obtained and your adjusted tax
foundation within the notes. Your adjusted tax foundation will equal your buy value for the notes, elevated by curiosity beforehand included in
revenue on the notes. Any achieve typically will probably be handled as odd revenue, and any loss typically will probably be handled as odd loss to
the extent of prior curiosity inclusions on the be aware and as capital loss thereafter.
We’ve decided that the comparable yield for
a be aware is a charge of 4.988%, compounded semi-annually, and that the projected cost schedule with respect to a be aware consists of a single
cost of $1,159.365 at maturity.
Neither the comparable yield nor the projected
cost schedule constitutes a illustration by us relating to the precise quantity that we’ll pay on the notes.
Non-U.S. Holders. Topic to the discussions
under relating to Part 871(m) and in “United States Federal Tax Issues—Tax Penalties to Non-U.S. Holders”
and “—FATCA” within the accompanying product complement, if you’re a Non-U.S. Holder (as outlined within the accompanying product
complement) of the notes, below present regulation you typically won’t be topic to U.S. federal withholding or revenue tax in respect of
any cost on or any quantity obtained on the sale, alternate or retirement of the notes, supplied that (i) revenue in respect of the notes
isn’t successfully linked along with your conduct of a commerce or enterprise in the USA, and (ii) you adjust to the relevant certification
necessities. See “United States Federal Tax Issues—Tax Penalties to Non-U.S. Holders” within the accompanying
product complement for a extra detailed dialogue of the foundations relevant to Non-U.S. Holders of the notes.
As mentioned below “United States Federal
Tax Issues—Tax Penalties to Non-U.S. Holders—Dividend Equivalents Underneath Part 871(m) of the Code” within the
accompanying product complement, Part 871(m) of the Inside Income Code of 1986, as amended and Treasury laws promulgated
thereunder (“Part 871(m)”) typically impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to sure monetary devices linked to U.S. equities (“Underlying Securities”) or indices that embody
Underlying Securities. Part 871(m) typically applies to devices that considerably replicate the financial efficiency of 1 or
extra Underlying Securities, as decided primarily based on exams set forth within the relevant Treasury laws. Nonetheless, the laws, as
modified by an Inside Income Service (“IRS”) discover, exempt monetary devices issued previous to January 1, 2025 that
don’t have a “delta” of 1. Primarily based on the phrases of the notes and representations supplied by us, our counsel is of the opinion
that the notes shouldn’t be handled as transactions which have a “delta” of 1 throughout the which means of the laws with
respect to any Underlying Safety and, due to this fact, shouldn’t be topic to withholding tax below Part 871(m).
A dedication that the notes will not be topic
to Part 871(m) isn’t binding on the IRS, and the IRS could disagree with this therapy. Furthermore, Part 871(m) is advanced and its
utility could rely in your specific circumstances, together with your different transactions. You must seek the advice of your tax adviser relating to
the potential utility of Part 871(m) to the notes.
If withholding tax applies to the notes, we’ll
not be required to pay any further quantities with respect to quantities withheld.
You must learn the part entitled “United
States Federal Tax Issues” within the accompanying product complement. The previous dialogue, when learn together with
that part, constitutes the complete opinion of Davis Polk & Wardwell LLP relating to the fabric U.S. federal tax penalties of proudly owning
and disposing of the notes.
You must also seek the advice of your tax adviser relating to
all points of the U.S. federal tax penalties of an funding within the notes and any tax penalties arising below the legal guidelines of any
state, native or non-U.S. taxing jurisdiction.
| Citigroup World Markets Holdings Inc. |
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup World Markets Holdings Inc. and the
underwriter of the sale of the notes, is appearing as principal and can obtain an underwriting charge of as much as $6.50 for every be aware offered in
this providing. The precise underwriting charge will probably be equal to the promoting concession supplied to chose sellers, as described on this
paragraph. From this underwriting charge, CGMI can pay chosen sellers not affiliated with CGMI a variable promoting concession of as much as
$6.50 for every be aware they promote.
See “Plan of Distribution; Conflicts of Curiosity” within the
accompanying product complement and “Plan of Distribution” in every of the accompanying prospectus complement and prospectus
for extra data.
Valuation of the Notes
CGMI calculated the estimated worth of the notes set forth on the quilt
web page of this pricing complement primarily based on proprietary pricing fashions. CGMI’s proprietary pricing fashions generated an estimated worth
for the notes by estimating the worth of a hypothetical bundle of economic devices that might replicate the payout on the notes,
which consists of a fixed-income bond (the “bond part”) and a number of by-product devices underlying the financial
phrases of the notes (the “by-product part”). CGMI calculated the estimated worth of the bond part utilizing a reduction
charge primarily based on our inside funding charge. CGMI calculated the estimated worth of the by-product part primarily based on a proprietary derivative-pricing
mannequin, which generated a theoretical value for the devices that represent the by-product part primarily based on numerous inputs, together with
the components described below “Abstract Threat Elements—The worth of the notes previous to maturity will fluctuate primarily based on many unpredictable
components” on this pricing complement, however not together with our or Citigroup Inc.’s creditworthiness. These inputs could also be market-observable
or could also be primarily based on assumptions made by CGMI in its discretionary judgment.
For a interval of roughly three months following issuance of the
notes, the value, if any, at which CGMI could be keen to purchase the notes from buyers, and the worth that will probably be indicated for the
notes on any brokerage account statements ready by CGMI or its associates (which worth CGMI can also publish by a number of monetary
data distributors), will replicate a short lived upward adjustment from the value or worth that might in any other case be decided. This momentary
upward adjustment represents a portion of the hedging revenue anticipated to be realized by CGMI or its associates over the time period of the notes.
The quantity of this momentary upward adjustment will decline to zero on a straight-line foundation over the three-month momentary adjustment
interval. Nonetheless, CGMI isn’t obligated to purchase the notes from buyers at any time. See “Abstract Threat Elements—The notes will
not be listed on any securities alternate and you could not be capable to promote them previous to maturity.”
Validity of the
Notes
Within the opinion of Davis Polk &
Wardwell LLP, as particular merchandise counsel to Citigroup World Markets Holdings Inc., when the notes provided by this pricing complement
have been executed and issued by Citigroup World Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and
delivered towards cost therefor, such notes and the associated assure of Citigroup Inc. will probably be legitimate and binding obligations of Citigroup
World Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective phrases, topic to relevant
chapter, insolvency and comparable legal guidelines affecting collectors’ rights typically, ideas of reasonableness and equitable ideas
of basic applicability (together with, with out limitation, ideas of excellent religion, truthful dealing and the shortage of unhealthy religion), supplied that
such counsel expresses no opinion as to the impact of fraudulent conveyance, fraudulent switch or comparable provision of relevant regulation
on the conclusions expressed above. This opinion is given as of the date of this pricing complement and is proscribed to the legal guidelines of the
State of New York, besides that such counsel expresses no opinion as to the applying of state securities or Blue Sky legal guidelines to the notes.
In giving this opinion, Davis
Polk & Wardwell LLP has assumed the authorized conclusions expressed within the opinions set forth under of Alexia Breuvart, Secretary and
Normal Counsel of Citigroup World Markets Holdings Inc., and Barbara Politi, Affiliate Normal Counsel—Capital Markets of Citigroup
Inc. As well as, this opinion is topic to the assumptions set forth within the letter of Davis Polk & Wardwell LLP dated Might 11, 2021,
which has been filed as an exhibit to a Present Report on Type 8-Okay filed by Citigroup Inc. on Might 11, 2021, that the indenture has been
duly licensed, executed and delivered by, and is a legitimate, binding and enforceable settlement of, the trustee and that not one of the phrases
of the notes nor the issuance and supply of the notes and the associated assure, nor the compliance by Citigroup World Markets Holdings
Inc. and Citigroup Inc. with the phrases of the notes and the associated assure respectively, will lead to a violation of any provision
of any instrument or settlement then binding upon Citigroup World Markets Holdings Inc. or Citigroup Inc., as relevant, or any restriction
imposed by any court docket or governmental physique having jurisdiction over Citigroup World Markets Holdings Inc. or Citigroup Inc., as relevant.
Within the opinion of Alexia Breuvart,
Secretary and Normal Counsel of Citigroup World Markets Holdings Inc., (i) the phrases of the notes provided by this pricing complement
have been duly established below the indenture and the Board of Administrators (or a duly licensed committee thereof) of Citigroup World
Markets Holdings Inc. has duly licensed the issuance and sale of such notes and such authorization has not been modified or rescinded;
(ii) Citigroup World Markets Holdings Inc. is validly current and in good standing below the legal guidelines of the State of New York; (iii) the
indenture has been duly licensed, executed and delivered by Citigroup World Markets Holdings Inc.; and (iv) the execution and supply
of such indenture and of the notes provided by this pricing complement by Citigroup World Markets Holdings Inc., and the efficiency by
Citigroup World Markets Holdings Inc. of its obligations thereunder, are inside its company powers and don’t contravene its certificates
of incorporation or bylaws or different constitutive paperwork. This opinion is given as of the date of this pricing complement and is proscribed
to the legal guidelines of the State of New York.
Alexia Breuvart, or different inside
attorneys with whom she has consulted, has examined and is conversant in originals, or copies licensed or in any other case recognized to her
satisfaction, of such company data of Citigroup World Markets Holdings Inc., certificates or paperwork as she has deemed applicable
as a foundation for the opinions expressed above. In such examination, she or such individuals has assumed the authorized capability of all pure individuals,
the genuineness of all signatures (aside from these of officers of Citigroup World Markets Holdings Inc.), the authenticity of all paperwork
submitted to her or such individuals as originals, the conformity to unique paperwork of all paperwork submitted to her or such individuals
as licensed or photostatic copies and the authenticity of the originals of such copies.
| Citigroup World Markets Holdings Inc. |
Within the opinion of Barbara Politi,
Affiliate Normal Counsel—Capital Markets of Citigroup Inc., (i) the Board of Administrators (or a duly licensed committee thereof)
of Citigroup Inc. has duly licensed the assure of such notes by Citigroup Inc. and such authorization has not been modified or rescinded;
(ii) Citigroup Inc. is validly current and in good standing below the legal guidelines of the State of Delaware; (iii) the indenture has been duly
licensed, executed and delivered by Citigroup Inc.; and (iv) the execution and supply of such indenture, and the efficiency by Citigroup
Inc. of its obligations thereunder, are inside its company powers and don’t contravene its certificates of incorporation or bylaws or
different constitutive paperwork. This opinion is given as of the date of this pricing complement and is proscribed to the Normal Company
Legislation of the State of Delaware.
Barbara Politi, or different inside
attorneys with whom she has consulted, has examined and is conversant in originals, or copies licensed or in any other case recognized to her
satisfaction, of such company data of Citigroup Inc., certificates or paperwork as she has deemed applicable as a foundation for the
opinions expressed above. In such examination, she or such individuals has assumed the authorized capability of all pure individuals, the genuineness
of all signatures (aside from these of officers of Citigroup Inc.), the authenticity of all paperwork submitted to her or such individuals
as originals, the conformity to unique paperwork of all paperwork submitted to her or such individuals as licensed or photostatic copies
and the authenticity of the originals of such copies.
Contact
Purchasers could contact their native brokerage consultant. Third-party
distributors could contact Citi Structured Funding Gross sales at (212) 723-7005.
© 2023 Citigroup World Markets Inc. All rights reserved. Citi
and Citi and Arc Design are logos and repair marks of Citigroup Inc. or its associates and are used and registered all through the
world.
ATTACHMENTS / EXHIBITS
