# EDGAR Filing Document

**Accession Number:** 0000831001
**File Stem:** 0000950103-23-001329
**Filing Date:** 2023-1
**Character Count:** 73756
**Document Hash:** fd8e517917c0c9da99388a4f32c15901
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000950103-23-001329.hdr.sgml**: 20230130

**ACCESSION NUMBER**: 0000950103-23-001329

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 6

**FILED AS OF DATE**: 20230130

**DATE AS OF CHANGE**: 20230130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** CITIGROUP INC
- **CENTRAL INDEX KEY:** 0000831001
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **IRS NUMBER:** 521568099
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-255302
- **FILM NUMBER:** 23566904

**BUSINESS ADDRESS:**
- **STREET 1:** 388 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013
- **BUSINESS PHONE:** 2125591000

**MAIL ADDRESS:**
- **STREET 1:** 388 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRAVELERS GROUP INC
- **DATE OF NAME CHANGE:** 19950519

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRAVELERS INC
- **DATE OF NAME CHANGE:** 19940103

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRIMERICA CORP /NEW/
- **DATE OF NAME CHANGE:** 19920703
**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Citigroup Global Markets Holdings Inc.
- **CENTRAL INDEX KEY:** 0000200245
- **STANDARD INDUSTRIAL CLASSIFICATION:** SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211]
- **IRS NUMBER:** 112418067
- **STATE OF INCORPORATION:** NY
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-255302-03
- **FILM NUMBER:** 23566905

**BUSINESS ADDRESS:**
- **STREET 1:** 388 GREENWICH ST
- **STREET 2:** 38TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013
- **BUSINESS PHONE:** 2128166000

**MAIL ADDRESS:**
- **STREET 1:** 388 GREENWICH ST
- **STREET 2:** 38TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CITIGROUP GLOBAL MARKETS HOLDINGS INC
- **DATE OF NAME CHANGE:** 20030404

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SALOMON SMITH BARNEY HOLDINGS INC
- **DATE OF NAME CHANGE:** 19971128

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SALOMON INC
- **DATE OF NAME CHANGE:** 19920703

---

| | |
|:---|:---|
| Citigroup Global Markets Holdings Inc. | **January 26, 2023**<br> **Medium-Term Senior Notes, Series N**<br> **Pricing Supplement No. 2023-USNCH15468**<br> **Filed Pursuant to Rule 424(b)(2)**<br> **Registration Statement Nos. 333-255302 and 333-255302-03** |

---

Autocallable Securities Linked to the Worst Performing of the S&P 500<sup>®</sup> Index, the Russell 2000<sup>®</sup> Index and the Dow Jones Industrial Average<sup>TM</sup> Due January 31, 2028

▪ The securities
 offered by this pricing supplement are unsecured debt securities issued by Citigroup Global
 Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities,
 the securities do not pay interest, do not guarantee the repayment of principal at maturity
 and are subject to potential automatic early redemption on a periodic basis on the terms
 described below. Your return on the securities will depend solely on the performance of the **worst performing** of the underlyings specified below.

▪ The securities
 offer the potential for automatic early redemption at a premium following the first valuation
 date (other than the final valuation date) on which the closing value of the worst performing
 underlying on that valuation date is greater than or equal to its premium threshold value.
 If the securities are not automatically redeemed prior to maturity, the payment at maturity
 will depend on the final underlying value of the worst performing underlying on the final
 valuation date. In this circumstance, you will be repaid the stated principal amount of your
 securities at maturity so long as the final underlying value of the worst performing underlying
 on the final valuation date is greater than or equal to its trigger value specified below.
 If the final underlying value of the worst performing underlying on the final valuation date
 is greater than or equal to its premium threshold value, you will also receive a premium. **If the securities are not automatically redeemed prior to maturity and the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value, you will incur a significant loss at maturity and will have full downside exposure to the depreciation of the worst performing underlying from its initial underlying value to its final underlying value.** 

▪ You will
 be subject to risks associated with <u>each</u> of the underlyings and will be negatively
 affected by adverse movements in <u>any one</u> of the underlyings. Although you will have
 downside exposure to the worst performing underlying, you will not receive dividends or participate
 in any appreciation of any of the underlyings.

▪ Investors
 in the securities must be willing to accept (i) an investment that may have limited or no
 liquidity and (ii) the risk of not receiving any payments due under the securities if we
 and Citigroup Inc. default on our obligations. **All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.** 

---

| | |
|:---|:---|
| **KEY TERMS** | **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. |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlyings:** | **Underlying** | **Initial underlying value\*** | **Trigger value\*\*** | **Premium threshold value\*\*\*** |
|  | S&P 500<sup>®</sup> Index | 4060.43 | 2639.28 | 3654.387 |
|  | Russell 2000<sup>®</sup> Index | 1903.064 | 1236.992 | 1712.758 |
|  | Dow Jones Industrial Average<sup>TM</sup> | 33949.41 | 22067.117 | 30554.469 |
|  | \* For each underlying, its closing value on the pricing date<br> \*\* For each underlying, 65% of its initial underlying value<br> \*\*\* For each underlying, 90% of its initial underlying value | \* For each underlying, its closing value on the pricing date<br> \*\* For each underlying, 65% of its initial underlying value<br> \*\*\* For each underlying, 90% of its initial underlying value | \* For each underlying, its closing value on the pricing date<br> \*\* For each underlying, 65% of its initial underlying value<br> \*\*\* For each underlying, 90% of its initial underlying value | \* For each underlying, its closing value on the pricing date<br> \*\* For each underlying, 65% of its initial underlying value<br> \*\*\* For each underlying, 90% of its initial underlying value |

---

---

| | | | |
|:---|:---|:---|:---|
| **Stated principal amount:** | $1,000 per security | $1,000 per security | $1,000 per security |
| **Pricing date:** | January 26, 2023 | January 26, 2023 | January 26, 2023 |
| **Issue date:** | January 31, 2023 | January 31, 2023 | January 31, 2023 |
| **Maturity date:** | Unless earlier redeemed, January 31, 2028 | Unless earlier redeemed, January 31, 2028 | Unless earlier redeemed, January 31, 2028 |
| **Automatic early redemption:** | If, on any valuation date prior to the final valuation date, the closing value of the worst performing underlying on that valuation date is greater than or equal to its premium threshold value, the securities will be automatically redeemed on the third business day immediately following that valuation date for an amount in cash per security equal to $1,000 *plus* the premium applicable to that valuation date. If the securities are automatically redeemed following any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable to any later valuation date. | If, on any valuation date prior to the final valuation date, the closing value of the worst performing underlying on that valuation date is greater than or equal to its premium threshold value, the securities will be automatically redeemed on the third business day immediately following that valuation date for an amount in cash per security equal to $1,000 *plus* the premium applicable to that valuation date. If the securities are automatically redeemed following any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable to any later valuation date. | If, on any valuation date prior to the final valuation date, the closing value of the worst performing underlying on that valuation date is greater than or equal to its premium threshold value, the securities will be automatically redeemed on the third business day immediately following that valuation date for an amount in cash per security equal to $1,000 *plus* the premium applicable to that valuation date. If the securities are automatically redeemed following any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable to any later valuation date. |
| **Payment at maturity:** | If the securities are not automatically redeemed prior to maturity, you will receive at maturity, for each security you then hold, an amount in cash equal to:<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the final underlying value of the worst performing underlying on the final valuation date is **greater than or equal to** its premium threshold value: $1,000 + the premium applicable to the final valuation date<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the final underlying value of the worst performing underlying on the final valuation date is **less than** its premium threshold value but **greater than or equal to** its trigger value: $1,000<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the final underlying value of the worst performing underlying on the final valuation date is **less than** its trigger value:<br> $1,000 + ($1,000 × the underlying return of the worst performing underlying on the final valuation date)<br> **If the securities are not automatically redeemed prior to maturity and the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value, you will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity.** | If the securities are not automatically redeemed prior to maturity, you will receive at maturity, for each security you then hold, an amount in cash equal to:<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the final underlying value of the worst performing underlying on the final valuation date is **greater than or equal to** its premium threshold value: $1,000 + the premium applicable to the final valuation date<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the final underlying value of the worst performing underlying on the final valuation date is **less than** its premium threshold value but **greater than or equal to** its trigger value: $1,000<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the final underlying value of the worst performing underlying on the final valuation date is **less than** its trigger value:<br> $1,000 + ($1,000 × the underlying return of the worst performing underlying on the final valuation date)<br> **If the securities are not automatically redeemed prior to maturity and the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value, you will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity.** | If the securities are not automatically redeemed prior to maturity, you will receive at maturity, for each security you then hold, an amount in cash equal to:<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the final underlying value of the worst performing underlying on the final valuation date is **greater than or equal to** its premium threshold value: $1,000 + the premium applicable to the final valuation date<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the final underlying value of the worst performing underlying on the final valuation date is **less than** its premium threshold value but **greater than or equal to** its trigger value: $1,000<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the final underlying value of the worst performing underlying on the final valuation date is **less than** its trigger value:<br> $1,000 + ($1,000 × the underlying return of the worst performing underlying on the final valuation date)<br> **If the securities are not automatically redeemed prior to maturity and the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value, you will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity.** |
| **Listing:** | The securities will not be listed on any securities exchange | The securities will not be listed on any securities exchange | The securities will not be listed on any securities exchange |
| **CUSIP / ISIN:** | 17331CE60 / US17331CE602 | 17331CE60 / US17331CE602 | 17331CE60 / US17331CE602 |
| **Underwriter:** | Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal | Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal | Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal |
| **Underwriting fee and issue price:** | **Issue price** **<sup>(1)</sup>** | **Underwriting fee** **<sup>(2)</sup>** | **Proceeds to issuer<sup>(3)</sup>** |
| **Per security:** | $1000.00 | $35.00 | $965.00 |
| **Total:** | $633000.00 | $22155.00 | $610845.00 |

---

*(Key Terms continued on next page)*

(1) On the date of this pricing supplement, the estimated value of the securities is $963.30 per security, which is less than the issue price. The estimated value of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See "Valuation of the Securities" in this pricing supplement.

(2) CGMI will receive an underwriting fee of up to $35.00 for each security sold in this offering. The total underwriting fee and proceeds to issuer in the table above give effect to the actual total underwriting fee. For more information on the distribution of the securities, see "Supplemental Plan of Distribution" in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. See "Use of Proceeds and Hedging" in the accompanying prospectus.

(3) The per security proceeds to issuer indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting fee. As noted above, the underwriting fee is variable.

**Investing in the securities involves risks not associated with an investment in conventional debt securities. See "Summary Risk Factors" beginning on page PS-5.**

**Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary is a criminal offense.**

***You should read this pricing supplement together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks below:***

[**Product Supplement No. EA-02-09 dated May 11, 2021**](https://www.sec.gov/Archives/edgar/data/200245/000095010321007038/dp150744_424b2-par0209.htm) [**Underlying Supplement No. 10 dated May 11, 2021**](https://www.sec.gov/Archives/edgar/data/200245/000095010321007028/dp150879_424b2-us10.htm)<br> [**Prospectus Supplement and Prospectus each dated May 11, 2021**](https://www.sec.gov/Archives/edgar/data/200245/000119312521157552/d423193d424b2.htm)

**The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.**

<u>Citigroup Global Markets Holdings Inc.</u> <br>

---

| | |
|:---|:---|
| **KEY TERMS (continued)** | **KEY TERMS (continued)** |
| **Valuation dates and premiums:** | The premium applicable to each valuation date is the percentage of the stated principal amount indicated below. **The premium may be significantly less than the appreciation of any underlying from the pricing date to the applicable valuation date.** |

---

---

| | |
|:---|:---|
| **Valuation date\*** | **Premium** |
| January 29, 2024 | 8.2500% of the stated principal amount |
| April 26, 2024 | 10.3125% of the stated principal amount |
| July 26, 2024 | 12.3750% of the stated principal amount |
| October 28, 2024 | 14.4375% of the stated principal amount |
| January 27, 2025 | 16.5000% of the stated principal amount |
| April 28, 2025 | 18.5625% of the stated principal amount |
| July 28, 2025 | 20.6250% of the stated principal amount |
| October 27, 2025 | 22.6875% of the stated principal amount |
| January 26, 2026 | 24.7500% of the stated principal amount |
| April 27, 2026 | 26.8125% of the stated principal amount |
| July 27, 2026 | 28.8750% of the stated principal amount |
| October 26, 2026 | 30.9375% of the stated principal amount |
| January 26, 2027 | 33.0000% of the stated principal amount |
| April 26, 2027 | 35.0625% of the stated principal amount |
| July 26, 2027 | 37.1250% of the stated principal amount |
| October 26, 2027 | 39.1875% of the stated principal amount |
| January 26, 2028 (the "final valuation date") | 41.2500% of the stated principal amount |

---

\*Each valuation date is subject to postponement if such date is not a scheduled trading day or certain market disruption events occur

---

| | |
|:---|:---|
| **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 |
| **Worst performing underlying:** | For any valuation date, the underlying with the lowest underlying return determined as of that valuation date |
| **Final underlying value:** | For each underlying, its closing value on the final valuation date |

---

Additional Information

The terms of the securities are set forth in the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the accompanying product supplement contains important information about how the closing value of each underlying will be determined and about adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events with respect to each underlying. The accompanying underlying supplement contains information about each underlying that is not repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your investment in the securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.

<u>Citigroup Global Markets Holdings Inc.</u> <br>

Payout Tables and Diagram

The table below illustrates how the amount payable per security will be calculated if the closing value of the worst performing underlying on any valuation date is greater than or equal to its premium threshold value. The tables and diagram below assume that the premium will be set at the minimum level indicated under "Key Terms" above.

---

| | |
|:---|:---|
| **If the first valuation date on which the closing value of the worst performing underlying on that valuation date is greater than or equal to its premium threshold value is . . .** | **. . . then you will receive the following payment per $1,000 security upon automatic early redemption or at maturity, as applicable:** |
| 1<sup>st</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $82.500 = $1,082.500 |
| 2<sup>nd</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $103.125 = $1,103.125 |
| 3<sup>rd</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $123.750 = $1,123.750 |
| 4<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $144.375 = $1,144.375 |
| 5<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $165.000 = $1,165.000 |
| 6<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $185.625 = $1,185.625 |
| 7<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $206.250 = $1,206.250 |
| 8<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $226.875 = $1,226.875 |
| 9<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $247.500 = $1,247.500 |
| 10<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $268.125 = $1,268.125 |
| 11<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $288.750 = $1,288.750 |
| 12<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $309.375 = $1,309.375 |
| 13<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $330.000 = $1,330.000 |
| 14<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $350.625 = $1,350.625 |
| 15<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $371.250= $1,371.250 |
| 16<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $391.875 = $1,391.875 |
| 17<sup>th</sup> valuation date | $1,000.00 + applicable premium = $1,000.00 + $412.500 = $1,412.500 |

---

**If, on any valuation date, the closing value of any underlying is greater than or equal to its premium threshold value, but the closing value of any other underlying is less than its premium threshold value, you will not receive the premium indicated above following that valuation date. In order to receive the premium indicated above, the closing value of *each* underlying on the applicable valuation date must be greater than or equal to its premium threshold value.**

The table below indicates what your payment at maturity would be for various hypothetical underlying returns of the worst performing underlying on the final valuation date, assuming the securities are not automatically redeemed prior to maturity. Your actual payment at maturity (if the securities are not earlier automatically redeemed) will depend on the actual final underlying value of the worst performing underlying on the final valuation date.

---

| | |
|:---|:---|
| **Hypothetical Payment at Maturity<sup>(1)</sup>** | **Hypothetical Payment at Maturity<sup>(1)</sup>** |
| &nbsp;&nbsp;**Hypothetical Underlying Return of Worst Performing Underlying on the Final Valuation Date** | &nbsp;&nbsp;**Hypothetical Payment at Maturity per Security** |
| 100.00% | $1412.50 |
| 75.00% | $1412.50 |
| 50.00% | $1412.50 |
| 25.00% | $1412.50 |
| 10.00% | $1412.50 |
| 0.00% | $1412.50 |

---

<u>Citigroup Global Markets Holdings Inc.</u> <br>

---

| | |
|:---|:---|
| -5.00% | $1412.50 |
| -10.00% | $1412.50 |
| -10.01% | $1000.00 |
| -35.00% | $1000.00 |
| -35.01% | $649.90 |
| -50.00% | $500.00 |
| -75.00% | $250.00 |
| -100.00% | $0.00 |

---

<sup>(1)</sup> Assumes the securities are not automatically redeemed prior to maturity. Each security has a stated principal amount of $1,000.00.

The diagram below illustrates the payment at maturity of the securities, assuming the securities have not previously been automatically redeemed, for a range of hypothetical underlying returns of the worst performing underlying on the final valuation date. Your payment at maturity (if the securities are not earlier automatically redeemed) will be determined based solely on the performance of the worst performing underlying on the final valuation date.

**Investors in the securities will not receive any dividends with respect to the underlyings. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities.** See "Summary Risk Factors—You will not receive dividends or have any other rights with respect to the underlyings" below.

---

| |
|:---|
| **Payment at Maturity** |
| ![](image_001.gif)<br>■The Securities ■The Worst Performing Underlying<br>|

---

<u>Citigroup Global Markets Holdings Inc.</u> <br>

Hypothetical Examples of the Payment at Maturity

The examples below illustrate how to determine the payment at maturity on the securities, assuming the securities are not automatically redeemed prior to maturity and the final underlying value of the worst performing underlying on the final valuation date is less than its premium threshold value. The examples are solely for illustrative purposes, 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 and do not reflect the actual initial underlying values, trigger values or premium threshold values of the underlyings. For the actual initial underlying values, trigger values and premium threshold values, see the cover page of this pricing supplement. We have used these hypothetical values, rather than the actual values, to simplify the calculations and aid understanding of how the securities work. However, you should understand that the actual payments on the securities will be calculated based on the actual initial underlying value, trigger value and premium threshold value of each underlying, and not the hypothetical values indicated below.

---

| | | | |
|:---|:---|:---|:---|
| **Underlying** | **Hypothetical initial underlying value** | **Hypothetical trigger value** | **Hypothetical premium threshold value** |
| S&P 500<sup>®</sup> Index | 100 | 65 (65% of its hypothetical initial underlying value) | 90 (90% of its hypothetical initial underlying value) |
| Russell 2000<sup>®</sup> Index | 100 | 65 (65% of its hypothetical initial underlying value) | 90 (90% of its hypothetical initial underlying value) |
| Dow Jones Industrial Average<sup>TM</sup> | 100 | 65 (65% of its hypothetical initial underlying value) | 90 (90% of its hypothetical initial underlying value) |

---

The examples below are intended to illustrate how, if the securities are not automatically 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. Your actual payment at maturity per security will depend on the actual final underlying value of the worst performing underlying on the final valuation date.

**Example 1—Par Scenario.**

---

| | | |
|:---|:---|:---|
| **Underlying** | **Hypothetical final underlying value** | **Hypothetical underlying return** |
| S&P 500<sup>®</sup> Index | 85 | -15% |
| Russell 2000<sup>®</sup> Index | 110 | 10% |
| Dow Jones Industrial Average<sup>TM</sup> | 120 | 20% |

---

In this example, the S&P 500<sup>®</sup> Index has the lowest underlying return and is, therefore, the worst performing underlying on the final valuation date. Because the final underlying value of the worst performing underlying on the final valuation date is less than its premium threshold value but greater than its trigger value, you would be repaid the stated principal amount of $1,000 per security at maturity but would not receive any premium.

**Example 2—Downside Scenario.**

---

| | | |
|:---|:---|:---|
| **Underlying** | **Hypothetical final underlying value** | **Hypothetical underlying return** |
| S&P 500<sup>®</sup> Index | 105 | 5% |
| Russell 2000<sup>®</sup> Index | 30 | -70% |
| Dow Jones Industrial Average<sup>TM</sup> | 80 | -20% |

---

In this example, the Russell 2000<sup>®</sup> Index has the lowest underlying return and is, therefore, the worst performing underlying on the final valuation date. Because the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value, you would receive a payment at maturity per security that is significantly less than the stated principal amount, calculated as follows:

Payment at maturity per security = $1,000 + ($1,000 × the underlying return of the worst performing underlying on the final valuation date)

<u>Citigroup Global Markets Holdings Inc.</u> <br>

= $1,000 + ($1,000 × -70%)

= $1,000 + -$700

= $300

In this example, you would incur a significant loss at maturity and would have full downside exposure to the depreciation of the worst performing underlying on the final valuation date from its initial underlying value to its final underlying value.

<u>Citigroup Global Markets Holdings Inc.</u> <br>

Summary Risk Factors

An investment in the securities is significantly riskier than an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities, and are also subject to risks associated with each underlying. Accordingly, the securities are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.

The following is a summary of certain key risk factors for investors in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the securities contained in the section "Risk Factors Relating to the Securities" beginning on page EA-7 in the accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.'s most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.

▪ **You may lose a significant portion or all of your investment.** Unlike conventional debt securities,
 the securities do not provide for the repayment of the stated principal amount at maturity
 in all circumstances. If the securities are not automatically 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. If the final underlying value of the worst performing
 underlying on the final valuation date is less than its trigger value, you will lose 1% of
 the stated principal amount of the securities for every 1% by which the worst performing
 underlying has declined from its initial underlying value. There is no minimum payment at
 maturity on the securities, and you may lose up to all of your investment.

▪ **Your potential return on the securities is limited.** Your potential return on the securities
 is limited to the applicable premium payable upon automatic early redemption or at maturity.
 If the closing value of the worst performing underlying on one of the valuation dates is
 greater than or equal to its premium threshold value, you will be repaid the stated principal
 amount of your securities and will receive the fixed premium applicable to that valuation
 date, regardless of how significantly the closing value of the worst performing underlying
 on that valuation date may exceed its initial underlying value. Accordingly, any premium
 may result in a return on the securities that is significantly less than the return you could
 have achieved on a direct investment in any or all of the underlyings.

▪ **The securities do not pay interest.** You should not invest in the securities if you seek current
 income during the term of the securities.

▪ **The securities are subject to heightened risk because they have multiple underlyings.** The
 securities are more risky than similar investments that may be available with only one underlying.
 With multiple underlyings, there is a greater chance that any one underlying will perform
 poorly, adversely affecting your return on the securities.

▪ **The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs poorly.** You are subject to risks associated with each
 of the underlyings. If any one underlying performs poorly, you will be negatively affected.
 The securities are not linked to a basket composed of the underlyings, where the blended
 performance of the underlyings would be better than the performance of the worst performing
 underlying alone. Instead, you are subject to the full risks of whichever of the underlyings
 is the worst performing underlying.

▪ **You will not benefit in any way from the performance of any better performing underlying.** The
 return on the securities depends solely on the performance of the worst performing underlying,
 and you will not benefit in any way from the performance of any better performing underlying.

▪ **You will be subject to risks relating to the relationship between the underlyings.** It is
 preferable from your perspective for the underlyings to be correlated with each other, in
 the sense that they tend to increase or decrease at similar times and by similar magnitudes.
 By investing in the 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 predict what 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.

▪ **The securities may be automatically redeemed prior to maturity, limiting the term of the securities.** If the closing value of the worst performing underlying on any valuation date (other
 than the final valuation date) is greater than or equal to its premium threshold value, the
 securities will be automatically redeemed. If the securities are automatically redeemed following
 any valuation date prior to the final valuation date, they will cease to be outstanding and
 you will not receive the premium applicable to any later valuation date. Moreover, you may
 not be able to reinvest your funds in another investment that provides a similar yield with
 a similar level of risk.

▪ **The securities offer downside exposure to the worst performing underlying, but no upside exposure to any underlying.** You will not participate in any appreciation in the value of any underlying
 over the term of the securities. Consequently, your return

<u>Citigroup Global Markets Holdings Inc.</u> <br>

on the securities will be limited to the applicable premium payable upon an automatic early redemption or at maturity and may be significantly less than the return on any underlying over the term of the securities.

▪ **You will not receive dividends or have any other rights with respect to the underlyings.** You
 will not receive any dividends with respect to the underlyings. This lost dividend yield
 may be significant over the term of the securities. The payment scenarios described in this
 pricing supplement do not show any effect of such lost dividend yield over the term of the
 securities. In addition, you will not have voting rights or any other rights with respect
 to the underlyings or the stocks included in the underlyings.

▪ **The performance of the securities will depend on the closing values of the underlyings solely on the valuation dates, which makes the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates.** Whether the securities
 will be automatically redeemed prior to maturity will depend on the closing values of the
 underlyings solely on the valuation dates (other than the final valuation date), regardless
 of the closing values of the underlyings on other days during the term of the securities.
 If the securities are not automatically redeemed prior to maturity, what you receive at maturity
 will depend solely on the closing value of the worst performing underlying on the final valuation
 date, and not on any other day during the term of the securities. Because the performance
 of the securities depends on the closing values of the underlyings on a limited number of
 dates, the securities will be particularly sensitive to volatility in the closing values
 of the underlyings on or near the valuation dates. You should understand that the closing
 value of each underlying has historically been highly volatile.

▪ **The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.** If we default on our obligations under the securities and Citigroup Inc. defaults
 on its guarantee obligations, you may not receive anything owed to you under the securities.

▪ **The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.** The securities will not be listed on any securities exchange.
 Therefore, there may be little or no secondary market for the securities. CGMI currently
 intends to make a secondary market in relation to the securities and to provide an indicative
 bid price for the securities on a daily basis. Any indicative bid price for the securities
 provided by CGMI will be determined in CGMI's sole discretion, taking into account
 prevailing market conditions and other relevant factors, and will not be a representation
 by CGMI that the securities can be sold at that price, or at all. CGMI may suspend or terminate
 making a market and providing indicative bid prices without notice, at any time and for any
 reason. If CGMI suspends or terminates making a market, there may be no secondary market
 at all for the securities because it is likely that CGMI will be the only broker-dealer that
 is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
 to hold the securities until maturity.

▪ **The estimated value of the securities on the pricing date, based on CGMI's proprietary pricing models and our internal funding rate, will be less than the issue price**. The
 difference is attributable to certain costs associated with selling, structuring and hedging
 the securities that are included in the issue price. These costs include (i) any selling
 concessions or other fees paid in connection with the offering of the securities, (ii) hedging
 and other costs incurred by us and our affiliates in connection with the offering of the
 securities and (iii) the expected profit (which may be more or less than actual profit) to
 CGMI or other of our affiliates in connection with hedging our obligations under the securities.
 These costs adversely affect the economic terms of the securities because, if they were lower,
 the economic terms of the securities would be more favorable to you. The economic terms of
 the securities are also likely to be adversely affected by the use of our internal funding
 rate, rather than our secondary market rate, to price the securities. See "The estimated
 value of the securities would be lower if it were calculated based on our secondary market
 rate" below.

▪ **The estimated value of the securities was determined for us by our affiliate using proprietary pricing models.** CGMI derived the estimated value disclosed on the cover page of this
 pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary
 judgments about the inputs to its models, such as the volatility of, and correlation between,
 the closing values of the underlyings, dividend yields on the underlyings and interest rates.
 CGMI's views on these inputs may differ from your or others' views, and as an
 underwriter in this offering, CGMI's interests may conflict with yours. Both the models
 and the inputs to the models may prove to be wrong and therefore not an accurate reflection
 of the value of the securities. Moreover, the estimated value of the securities set forth
 on the cover page of this pricing supplement may differ from the value that we or our affiliates
 may determine for the securities for other purposes, including for accounting purposes. You
 should not invest in the securities because of the estimated value of the securities. Instead,
 you should be willing to hold the securities to maturity irrespective of the initial estimated
 value.

▪ **The estimated value of the securities would be lower if it were calculated based on our secondary market rate.** The estimated value of the securities included in this pricing supplement
 is calculated based on our internal funding rate, which is the rate at which we are willing
 to borrow funds through the issuance of the securities. Our internal funding rate is generally
 lower than our secondary market rate, which is the rate that CGMI will use in determining
 the value of the securities for purposes of any purchases of the securities from you in the
 secondary market. If the estimated value included in this pricing supplement were based on
 our secondary market rate, rather than our internal funding rate, it would likely be lower.
 We determine our internal funding rate based on factors such as the costs associated with
 the securities, which are generally higher than the costs associated with conventional debt
 securities, and our liquidity needs and preferences. Our internal funding rate is not an
 interest rate that is payable on the securities.

Because there is not an active market for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject to adjustments that CGMI makes in its sole

<u>Citigroup Global Markets Holdings Inc.</u> <br>

discretion. As a result, our secondary market rate is not a market-determined measure of our creditworthiness, but rather reflects the market's perception of our parent company's creditworthiness as adjusted for discretionary factors such as CGMI's preferences with respect to purchasing the securities prior to maturity.

▪ **The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you in the secondary market.** Any such secondary market price will fluctuate over the term of the securities based
 on the market and other factors described in the next risk factor. Moreover, unlike the estimated
 value included in this pricing supplement, any value of the securities determined for purposes
 of a secondary market transaction will be based on our secondary market rate, which will
 likely result in a lower value for the securities than if our internal funding rate were
 used. In addition, any secondary market price for the securities will be reduced by a bid-ask
 spread, which may vary depending on the aggregate stated principal amount of the securities
 to be purchased in the secondary market transaction, and the expected cost of unwinding related
 hedging transactions. As a result, it is likely that any secondary market price for the securities
 will be less than the issue price.

▪ **The value of the securities prior to maturity will fluctuate based on many unpredictable factors.** The value of your securities prior to maturity will fluctuate based on the closing values
 of the underlyings, the volatility of, and the correlation between, the closing values of
 the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining
 to maturity and our and Citigroup Inc.'s creditworthiness, as reflected in our secondary
 market rate, among other factors described under "Risk Factors Relating to the Securities—Risk
 Factors Relating to All Securities—The value of your securities prior to maturity will
 fluctuate based on many unpredictable factors" in the accompanying product supplement.
 Changes in the closing values of the underlyings may not result in a comparable change in
 the value of your securities. You should understand that the value of your securities at
 any time prior to maturity may be significantly less than the issue price.

▪ **Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.** The amount of this temporary upward adjustment
 will steadily decline to zero over the temporary adjustment period. See "Valuation
 of the Securities" in this pricing supplement.

▪ **The Russell 2000<sup>®</sup> Index is subject to risks associated with small capitalization stocks.** The stocks that constitute the Russell 2000<sup>®</sup> Index are issued
 by companies with relatively small market capitalization. The stock prices of smaller companies
 may be more volatile than stock prices of large capitalization companies. These companies
 tend to be less well-established than large market capitalization companies. Small capitalization
 companies may be less able to withstand adverse economic, market, trade and competitive conditions
 relative to larger companies. Small capitalization companies are less likely to pay dividends
 on their stocks, and the presence of a dividend payment could be a factor that limits downward
 stock price pressure under adverse market conditions.

▪ **Our offering of the securities is not a recommendation of any underlying.** The fact that we
 are offering the securities does not mean that we believe that investing in an instrument
 linked to the underlyings is likely to achieve favorable returns. In fact, as we are part
 of a global financial institution, our affiliates may have positions (including short positions)
 in the underlyings or in instruments related to the underlyings, and may publish research
 or express opinions, that in each case are inconsistent with an investment linked to the
 underlyings. These and other activities of our affiliates may affect the closing values of
 the underlyings in a way that negatively affects the value of and your return on the securities.

▪ **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 underlyings or in
 financial instruments related to the underlyings and may adjust such positions during the
 term of the securities. Our affiliates also take positions in the underlyings or in financial
 instruments related to the underlyings on a regular basis (taking long or short positions
 or both), for their accounts, for other accounts under their management or to facilitate
 transactions on behalf of customers. These activities could affect the closing values of
 the underlyings in a way that negatively affects the value of and your return on the securities.
 They could also result in substantial returns for us or our affiliates while the value of
 the securities declines.

▪ **We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates' business activities.** Our affiliates engage in business activities with
 a wide range of companies. These activities include extending loans, making and facilitating
 investments, underwriting securities offerings and providing advisory services. These activities
 could involve or affect the underlyings in a way that negatively affects the value of and
 your return on the securities. They could also result in substantial returns for us or our
 affiliates while the value of the securities declines. In addition, in the course of this
 business, we or our affiliates may acquire non-public information, which will not be disclosed
 to you.

▪ **The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.** If certain events occur during the term of the securities,
 such as market disruption events and other events with respect to an underlying, CGMI, as
 calculation agent, will be required to make discretionary judgments that could significantly
 affect your return on the securities. In making these judgments, the calculation agent's
 interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
 See "Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The
 calculation agent, which is an affiliate of ours, will make important determinations with
 respect to the securities" in the accompanying product supplement.

<u>Citigroup Global Markets Holdings Inc.</u> <br>

▪ **Changes that affect the underlyings may affect the value of your securities.** The sponsors of
 the underlyings may at any time make methodological changes or other changes in the manner
 in which they operate that could affect the values of the underlyings. We are not affiliated
 with any such underlying sponsor and, accordingly, we have no control over any changes any
 such sponsor may make. Such changes could adversely affect the performance of the underlyings
 and the value of and your return on the securities.

▪ **The U.S. federal tax consequences of an investment in th e securities ar e unclear.** There is no direct legal authority regarding the proper
 U.S. federal tax treatment of the securities, and we do not plan to request a ruling from
 the Internal Revenue Service (the "IRS"). Consequently, significant aspects of
 the tax treatment of the securities are uncertain, and the IRS or a court might not agree
 with the treatment of the securities as prepaid forward contracts. If the IRS were successful
 in asserting an alternative treatment of the securities, the tax consequences of the ownership
 and disposition of the securities might be materially and adversely affected. Moreover, future
 legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal
 tax treatment of the securities, possibly retroactively.

If you are a non-U.S. investor, you should review the discussion of withholding tax issues in "United States Federal Tax Considerations—Non-U.S. Holders" below.

You should read carefully the discussion under "United States Federal Tax Considerations" and "Risk Factors Relating to the Securities" in the accompanying product supplement and "United States Federal Tax Considerations" in this pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

<u>Citigroup Global Markets Holdings Inc.</u> <br>

Information About the S&P 500<sup>®</sup> Index

The S&P 500<sup>®</sup> Index consists of the common stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated and maintained by S&P Dow Jones Indices LLC.

Please refer to the section "Equity Index Descriptions— The S&P U.S. Indices" in the accompanying underlying supplement for additional information.

We have derived all information regarding the S&P 500<sup>®</sup> Index from publicly available information and have not independently verified any information regarding the S&P 500<sup>®</sup> Index. This pricing supplement relates only to the securities and not to the S&P 500<sup>®</sup> Index. We make no representation as to the performance of the S&P 500<sup>®</sup> Index over the term of the securities.

The securities represent obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500<sup>®</sup> Index is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.

Historical Information

The closing value of the S&P 500<sup>®</sup> Index on January 26, 2023 was 4,060.43.

The graph below shows the closing value of the S&P 500<sup>®</sup> Index for each day such value was available from January 3, 2012 to January 26, 2023. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take the historical closing values as an indication of future performance.

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| **S&P 500<sup>®</sup> Index – Historical Closing Values<br> January 3, 2012 to January 26, 2023** |
| ![](image_002.gif) |

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<u>Citigroup Global Markets Holdings Inc.</u> <br>

Information About the Russell 2000<sup>®</sup> Index

The Russell 2000<sup>®</sup> Index is designed to track the performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000<sup>®</sup> Index are traded on a major U.S. exchange. It is calculated and maintained by FTSE Russell.

Please refer to the section "Equity Index Descriptions—The Russell Indices—The Russell 2000<sup>®</sup> Index" in the accompanying underlying supplement for additional information.

We have derived all information regarding the Russell 2000<sup>®</sup> Index from publicly available information and have not independently verified any information regarding the Russell 2000<sup>®</sup> Index. This pricing supplement relates only to the securities and not to the Russell 2000<sup>®</sup> Index. We make no representation as to the performance of the Russell 2000<sup>®</sup> Index over the term of the securities.

The securities represent obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000<sup>®</sup> Index is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.

Historical Information

The closing value of the Russell 2000<sup>®</sup> Index on January 26, 2023 was 1,903.064.

The graph below shows the closing value of the Russell 2000<sup>®</sup> Index for each day such value was available from January 3, 2012 to January 26, 2023. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take the historical closing values as an indication of future performance.

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| **Russell 2000<sup>®</sup> Index – Historical Closing Values<br> January 3, 2012 to January 26, 2023** |
| ![](image_003.gif) |

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<u>Citigroup Global Markets Holdings Inc.</u> <br>

Information About the Dow Jones Industrial Average<sup>TM</sup>

The Dow Jones Industrial Average<sup>TM</sup> is a price-weighted index rather than a market capitalization-weighted index. The Dow Jones Industrial Average<sup>TM</sup> consists of 30 common stocks chosen as representative of the broad market of U.S. industry. It is calculated and maintained by S&P Dow Jones Indices LLC.

Please refer to the section "Equity Index Descriptions—The Dow Jones Industrial Average<sup>TM</sup>" in the accompanying underlying supplement for additional information.

We have derived all information regarding the Dow Jones Industrial Average<sup>TM</sup> from publicly available information and have not independently verified any information regarding the Dow Jones Industrial Average<sup>TM</sup>. This pricing supplement relates only to the securities and not to the Dow Jones Industrial Average<sup>TM</sup>. We make no representation as to the performance of the Dow Jones Industrial Average<sup>TM</sup> over the term of the securities.

The securities represent obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Dow Jones Industrial Average<sup>TM</sup> is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.

Historical Information

The closing value of the Dow Jones Industrial Average<sup>TM</sup> on January 26, 2023 was 33,949.41.

The graph below shows the closing value of the Dow Jones Industrial Average<sup>TM</sup> for each day such value was available from January 3, 2012 to January 26, 2023. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take the historical closing values as an indication of future performance.

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|:---|
| **Dow Jones Industrial Average<sup>TM</sup> – Historical Closing Values<br> January 3, 2012 to January 26, 2023** |
| ![](image_004.gif) |

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<u>Citigroup Global Markets Holdings Inc.</u> <br>

United States Federal Tax Considerations

You should read carefully the discussion under "United States Federal Tax Considerations" and "Risk Factors Relating to the Securities" in the accompanying product supplement and "Summary Risk Factors" in this pricing supplement.

In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.

Assuming this treatment of the securities is respected and subject to the discussion in "United States Federal Tax Considerations" in the accompanying product supplement, the following U.S. federal income tax consequences should result under current law:

&nbsp;&nbsp;&nbsp;&nbsp;· You should not recognize
 taxable income over the term of the securities prior to maturity, other than pursuant to
 a sale or exchange.

&nbsp;&nbsp;&nbsp;&nbsp;· Upon a sale or exchange
 of a security (including retirement at maturity), you should recognize capital gain or loss
 equal to the difference between the amount realized and your tax basis in the security. Such
 gain or loss should be long-term capital gain or loss if you held the security for more than
 one year.

We do not plan to request a ruling from the IRS regarding the treatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of "prepaid forward contracts" and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.

**Non-U.S. Holders**. Subject to the discussions below and in "United States Federal Tax Considerations" in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.

As discussed under "United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders" in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities ("U.S. Underlying Equities") or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2025 that do not have a "delta" of one. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions that have a "delta" of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m).

A determination that the securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities.

If withholding tax applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld.

**You should read the section entitled "United States Federal Tax Considerations" in the accompanying product supplement. The preceding discussion, when read in combination with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing of the securities.** 

**You should also consult your tax adviser regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.**

<u>Citigroup Global Markets Holdings Inc.</u> <br>

Supplemental Plan of Distribution

CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $35.00 for each security sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected dealers, as described in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable selling concession of up to $35.00 for each security they sell. For the avoidance of doubt, the fees and selling concessions described in this pricing supplement will not be rebated if the securities are automatically redeemed prior to maturity. See "Plan of Distribution; Conflicts of Interest" in the accompanying product supplement and "Plan of Distribution" in each of the accompanying prospectus supplement and prospectus for additional information.

Valuation of the Securities

CGMI calculated the estimated value of the securities set forth on the cover page of this pricing supplement based on proprietary pricing models. CGMI's proprietary pricing models generated an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the securities, which consists of a fixed-income bond (the "bond component") and one or more derivative instruments underlying the economic terms of the securities (the "derivative component"). CGMI calculated the estimated value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various inputs, including the factors described under "Summary Risk Factors—The value of the securities prior to maturity will fluctuate based on many unpredictable factors" in this pricing supplement, but not including our or Citigroup Inc.'s creditworthiness. These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.

For a period of approximately four months following issuance of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the four-month temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See "Summary Risk Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity."

Validity of the Securities

In the opinion of Davis Polk & Wardwell LLP, as special products counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities.

In giving this opinion, Davis Polk & Wardwell LLP has assumed the legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc. In addition, this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021, which has been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result in a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.

In the opinion of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York.

<u>Citigroup Global Markets Holdings Inc.</u> <br>

Alexia Breuvart, or other internal attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.

In the opinion of Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.

Barbara Politi, or other internal attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.

Contact

Clients may contact their local brokerage representative. Third-party distributors may contact Citi Structured Investment Sales at (212) 723-7005.

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## Ex-Filing

**Exhibit 107.1**

The pricing supplement to which this Exhibit is attached is a final prospectus for the related offering. The maximum aggregate offering price of that offering is $633,000.00.