# EDGAR Filing Document

**Accession Number:** 0000831001
**File Stem:** 0000950103-23-001732
**Filing Date:** 2023-2
**Character Count:** 52669
**Document Hash:** 47119fab93dc809bae385ff335a05cf8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000950103-23-001732.hdr.sgml**: 20230202

**ACCESSION NUMBER**: 0000950103-23-001732

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 3

**FILED AS OF DATE**: 20230202

**DATE AS OF CHANGE**: 20230202

**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:** 23579748

**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:** 23579749

**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 31 , 2023**<br> **Medium-Term Senior Notes, Series N**<br> **Pricing Supplement No. 2023-USNCH15393**<br> **Filed Pursuant to Rule 424(b)(2)**<br> **Registration Statement Nos. 333-255302 and 333-255302-03** |

---

Variable Coupon Market-Linked Notes Based on the S&P 500<sup>®</sup> Index Due February 3, 2026

**Overview**

▪ The notes offered by this pricing supplement
 are unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed
 by Citigroup Inc. The notes offer periodic coupon payments. The coupon rate for each coupon
 payment date will be determined on the valuation date immediately preceding that coupon payment
 date based on the closing level of the underlying specified below, as follows: if the closing
 level of the underlying on the applicable valuation date is greater than or equal to the
 initial underlying level, you will receive a coupon payment at the higher coupon rate indicated
 below; however, if the closing level of the underlying on the applicable valuation date is
 less than the initial underlying level, you will receive a coupon payment at the lower coupon
 rate indicated below.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **KEY TERMS** | | | | |
| **Issuer:** | Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. | Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. | Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. | Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. |
| **Guarantee:** | All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc. | All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc. | All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc. | All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc. |
| **Underlying:** | The S&P 500<sup>®</sup> Index (ticker symbol: "SPX") | The S&P 500<sup>®</sup> Index (ticker symbol: "SPX") | The S&P 500<sup>®</sup> Index (ticker symbol: "SPX") | The S&P 500<sup>®</sup> Index (ticker symbol: "SPX") |
| **Stated principal amount:** | $1,000 per note | $1,000 per note | $1,000 per note | $1,000 per note |
| **Pricing date:** | January 31, 2023 | January 31, 2023 | January 31, 2023 | January 31, 2023 |
| **Issue date:** | February 3, 2023 | February 3, 2023 | February 3, 2023 | February 3, 2023 |
| **Coupon payment dates:** | The 3rd day of each February, beginning in February 2024 and ending in February 2026, provided that the February 2026 coupon payment date will be the maturity date. Each coupon payment date is subject to postponement to the next succeeding business day if such day is not a business day. In addition, if the valuation date immediately preceding any coupon payment date is postponed, that coupon payment date will be postponed to the third business day following that valuation date as postponed, provided that the coupon payment date with respect to the final valuation date will be the maturity date. No interest will accrue as a result of any delayed payment. | The 3rd day of each February, beginning in February 2024 and ending in February 2026, provided that the February 2026 coupon payment date will be the maturity date. Each coupon payment date is subject to postponement to the next succeeding business day if such day is not a business day. In addition, if the valuation date immediately preceding any coupon payment date is postponed, that coupon payment date will be postponed to the third business day following that valuation date as postponed, provided that the coupon payment date with respect to the final valuation date will be the maturity date. No interest will accrue as a result of any delayed payment. | The 3rd day of each February, beginning in February 2024 and ending in February 2026, provided that the February 2026 coupon payment date will be the maturity date. Each coupon payment date is subject to postponement to the next succeeding business day if such day is not a business day. In addition, if the valuation date immediately preceding any coupon payment date is postponed, that coupon payment date will be postponed to the third business day following that valuation date as postponed, provided that the coupon payment date with respect to the final valuation date will be the maturity date. No interest will accrue as a result of any delayed payment. | The 3rd day of each February, beginning in February 2024 and ending in February 2026, provided that the February 2026 coupon payment date will be the maturity date. Each coupon payment date is subject to postponement to the next succeeding business day if such day is not a business day. In addition, if the valuation date immediately preceding any coupon payment date is postponed, that coupon payment date will be postponed to the third business day following that valuation date as postponed, provided that the coupon payment date with respect to the final valuation date will be the maturity date. No interest will accrue as a result of any delayed payment. |
| **Valuation dates:** | January 31, 2024, January 29, 2025 and January 29, 2026, each subject to postponement if such date is not a scheduled trading day or if a market disruption event occurs | January 31, 2024, January 29, 2025 and January 29, 2026, each subject to postponement if such date is not a scheduled trading day or if a market disruption event occurs | January 31, 2024, January 29, 2025 and January 29, 2026, each subject to postponement if such date is not a scheduled trading day or if a market disruption event occurs | January 31, 2024, January 29, 2025 and January 29, 2026, each subject to postponement if such date is not a scheduled trading day or if a market disruption event occurs |
| **Maturity date:** | February 3, 2026 | February 3, 2026 | February 3, 2026 | February 3, 2026 |
| **Coupon rate:** | On each coupon payment date, the notes will pay a coupon at an annual rate determined as follows:<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the closing level of the underlying on the applicable valuation date is **greater than or equal to** the initial underlying level: 5.50% (the "higher coupon rate")<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the closing level of the underlying on the applicable valuation date is **less than** the initial underlying level: 2.50% (the "lower coupon rate")<br> The amount of each coupon payment per note will be equal to the stated principal amount *times* the applicable coupon rate. | On each coupon payment date, the notes will pay a coupon at an annual rate determined as follows:<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the closing level of the underlying on the applicable valuation date is **greater than or equal to** the initial underlying level: 5.50% (the "higher coupon rate")<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the closing level of the underlying on the applicable valuation date is **less than** the initial underlying level: 2.50% (the "lower coupon rate")<br> The amount of each coupon payment per note will be equal to the stated principal amount *times* the applicable coupon rate. | On each coupon payment date, the notes will pay a coupon at an annual rate determined as follows:<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the closing level of the underlying on the applicable valuation date is **greater than or equal to** the initial underlying level: 5.50% (the "higher coupon rate")<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the closing level of the underlying on the applicable valuation date is **less than** the initial underlying level: 2.50% (the "lower coupon rate")<br> The amount of each coupon payment per note will be equal to the stated principal amount *times* the applicable coupon rate. | On each coupon payment date, the notes will pay a coupon at an annual rate determined as follows:<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the closing level of the underlying on the applicable valuation date is **greater than or equal to** the initial underlying level: 5.50% (the "higher coupon rate")<br> &nbsp;&nbsp;&nbsp;&nbsp;▪ If the closing level of the underlying on the applicable valuation date is **less than** the initial underlying level: 2.50% (the "lower coupon rate")<br> The amount of each coupon payment per note will be equal to the stated principal amount *times* the applicable coupon rate. |
| **Payment at maturity:** | For each note you hold at maturity, you will receive the stated principal amount *plus* the applicable coupon payment | For each note you hold at maturity, you will receive the stated principal amount *plus* the applicable coupon payment | For each note you hold at maturity, you will receive the stated principal amount *plus* the applicable coupon payment | For each note you hold at maturity, you will receive the stated principal amount *plus* the applicable coupon payment |
| **Initial underlying level:** | 4,076.60, the closing level of the underlying on the pricing date | 4,076.60, the closing level of the underlying on the pricing date | 4,076.60, the closing level of the underlying on the pricing date | 4,076.60, the closing level of the underlying on the pricing date |
| **Listing:** | The notes will not be listed on any securities exchange | The notes will not be listed on any securities exchange | The notes will not be listed on any securities exchange | The notes will not be listed on any securities exchange |
| **CUSIP / ISIN:** | 17331C4B0 / US17331C4B00 | 17331C4B0 / US17331C4B00 | 17331C4B0 / US17331C4B00 | 17331C4B0 / US17331C4B00 |
| **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 | Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal |
| **Underwriting fee and issue price:** | **Underwriting fee and issue price:** | **Issue price<sup>(1)</sup>** | **Underwriting fee<sup>(2)</sup>** | **Proceeds to issuer<sup>(3)</sup>** |
| **Per note:** | **Per note:** | $1000.00 | $11.30 | $988.70 |
| **Total:** | **Total:** | $15000.00 | $75.00 | $14925.00 |

---

*(Key Terms continued on next page)*

(1) On the date of this pricing supplement, the estimated value of the notes is $985.20 per note, which is less than the issue price. The estimated value of the notes is based on CGMI's proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the notes from you at any time after issuance. See "Valuation of the Notes" in this pricing supplement.

(2) CGMI will receive an underwriting fee of up to $11.30 for each note 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 notes, 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 notes declines. See "Use of Proceeds and Hedging" in the accompanying prospectus.

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

**Investing in the notes involves risks not associated with an investment in conventional debt securities. See "Summary Risk Factors" beginning on page PS-4.**

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

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

[**Product Supplement No. EA-03-08 dated May 11, 2021**](https://www.sec.gov/Archives/edgar/data/200245/000095010321007048/dp150746_424b2-pp0308.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 notes are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.**

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

Additional Information

The terms of the notes are set forth in the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the accompanying product supplement contains important information about how the closing level of the underlying will be determined and about adjustments that may be made to the terms of the notes upon the occurrence of market disruption events and other specified events with respect to the underlying. The accompanying underlying supplement contains information about the 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 notes. 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>

Hypothetical Examples of Coupon Payments

The examples below illustrate how to determine the applicable coupon rate to be paid following a valuation date, assuming that the closing level of the underlying on that valuation date is as indicated below. 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 notes.

The examples below are based on a hypothetical initial underlying level of 100.00 and do not reflect the actual initial underlying level. For the actual initial underlying level, see the cover page of this pricing supplement. We have used this hypothetical value, rather than the actual value, to simplify the calculations and aid understanding of how the notes work. However, you should understand that the actual payments on the notes will be calculated based on the actual initial underlying level, and not this hypothetical value.

---

| | | |
|:---|:---|:---|
| | **Hypothetical closing level of underlying on applicable valuation date** | **Hypothetical coupon payment per note** |
| **Example 1** | 105 | **$55.00**<br> (higher coupon rate is paid) |
| **Example 2** | 90 | **$25.00**<br> (lower coupon rate is paid) |
| **Example 3** | 85 | **$25.00**<br> (lower coupon rate is paid) |
| **Example 4** | 150 | **$55.00**<br> (higher coupon rate is paid) |

---

In examples 1 and 4, the hypothetical closing level of the underlying on the valuation date is greater than or equal to the initial underlying level, and as a result investors in the notes would receive a coupon payment of $55.00 per note on the related coupon payment date. In examples 2 and 3, the hypothetical closing level of the underlying on the valuation date is less than the initial underlying level, and as a result investors in the notes would receive a coupon payment of $25.00 per note on the related coupon payment date.

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

Summary Risk Factors

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

The following is a summary of certain key risk factors for investors in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the notes contained in the section "Risk Factors Relating to the Notes" beginning on page EA-6 in the accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.'s most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.

▪ **The notes will not pay a coupon at the higher coupon rate stated on the cover of this pricing supplement unless the closing level of the underlying on the applicable valuation date is greater than or equal to the initial underlying level.** If
 the closing level of the underlying on any valuation date is less than the initial underlying
 level, the related coupon payment will be made at the lower coupon rate indicated on the
 cover of this pricing supplement. It is possible that you will receive only the lower coupon
 rate on each coupon payment date over the entire term of the notes. There is no assurance
 that the coupon payments you receive on the notes will be as great as you would have received
 on a conventional debt security of ours of comparable maturity.

▪ **Although the notes provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss on your investment in real value terms if you receive coupon payments made at the lower coupon rate.** This is because inflation
 may cause the real value of the stated principal amount to be less at maturity than it is
 at the time you invest, and because an investment in the notes represents a forgone opportunity
 to invest in an alternative asset that does generate a positive real return at a market rate.
 This potential loss in real value terms is significant given the term of the notes. You should
 carefully consider whether an investment that may provide a return that is lower than the
 return on alternative investments is appropriate for you.

▪ **The notes do not offer any upside exposure to the underlying.** You will not participate in any appreciation in
 the level of the underlying over the term of the notes and will not receive any dividends
 paid on the stocks that make up the underlying. Consequently, your return on the notes will
 be limited to the coupon payments you receive, and may be significantly less than the return
 on the underlying over the term of the notes.

▪ **The performance of the notes will depend on the closing level of the underlying solely on the valuation dates, which makes the notes particularly sensitive to the volatility of the underlying.** The
 rate at which coupon payments will be made for any given coupon payment date will depend
 on the closing level of the underlying solely on the applicable valuation date, regardless
 of the closing level of the underlying on other days during the term of the notes. Because
 the performance of the notes depends on the closing level of the underlying on a limited
 number of dates, the notes will be particularly sensitive to volatility in the closing level
 of the underlying. You should understand that the underlying has historically been highly
 volatile.

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

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

▪ **Sale of the notes prior to maturity may result in a loss of principal.** You will be entitled to receive at least the full stated principal amount of your notes,
 subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.,
 only if you hold the notes to maturity. The value of the notes may fluctuate during the term
 of the notes, and if you are able to sell your notes prior to maturity, you may receive less
 than the full stated principal amount of your notes.

▪ **The estimated value of the notes on the pricing date, based on CGMI's proprietary pricing models and our internal funding rate, is less than the issue price.** The difference is attributable to certain costs associated with selling, structuring
 and hedging the notes that are included in the issue price. These costs include (i) any selling
 concessions or other fees paid in

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

connection with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations under the notes. These costs adversely affect the economic terms of the notes because, if they were lower, the economic terms of the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the notes. See "The estimated value of the notes would be lower if it were calculated based on our secondary market rate" below.

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

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

Because there is not an active market for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the notes, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our creditworthiness, but rather reflects the market's perception of our parent company's creditworthiness as adjusted for discretionary factors such as CGMI's preferences with respect to purchasing the notes prior to maturity.

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

▪ **The value of the notes prior to maturity will fluctuate based on many unpredictable factors.** The value of your notes prior to maturity will fluctuate
 based on the level and volatility of the underlying, the dividend yields on the stocks that
 constitute the underlying, 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 Notes—Risk Factors
 Relating to All Notes—The value of your notes prior to maturity will fluctuate based
 on many unpredictable factors" in the accompanying product supplement. Changes in the
 closing level of the underlying may not result in a comparable change in the value of your
 notes. You should understand that the value of your notes at any time prior to maturity may
 be significantly less than the issue price.

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

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

▪ **The closing level of the underlying may be adversely affected by our or our affiliates' hedging and other trading activities.** We have hedged
 our obligations under the notes through CGMI or other of our affiliates, who have taken positions
 directly in the stocks that constitute the underlying or in financial instruments related
 to the underlying or such stocks and may adjust such

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

positions during the term of the notes. Our affiliates also take positions in the stocks that constitute the underlying or in financial instruments related to the underlying or such stocks on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These activities could affect the level of the underlying in a way that negatively affects the value of and your return on the notes. They could also result in substantial returns for us or our affiliates while the value of the notes 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 underlying in a way that
 negatively affects the value of and your return on the notes. They could also result in substantial
 returns for us or our affiliates while the value of the notes 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 notes.** If certain events occur during the
 term of the notes, such as market disruption events and other events with respect to the
 underlying, CGMI, as calculation agent, will be required to make discretionary judgments
 that could significantly affect your return on the notes. In making these judgments, the
 calculation agent's interests as an affiliate of ours could be adverse to your interests
 as a holder of the notes. See "Risk Factors Relating to the Notes—Risk Factors
 Relating to All Notes—The calculation agent, which is an affiliate of ours, will make
 important determinations with respect to the notes" in the accompanying product supplement.

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

<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—The S&P 500<sup>®</sup> Index" 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 notes 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 notes.

The notes 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 notes or to holders of the notes.

Historical Information

The closing level of the S&P 500<sup>®</sup> Index on January 31, 2023 was 4,076.60.

The graph below shows the closing level of the S&P 500<sup>®</sup> Index for each day such level was available from January 2, 2013 to January 31, 2023. We obtained the closing levels from Bloomberg L.P., without independent verification. You should not take the historical closing levels as an indication of future performance.

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| **S&P 500<sup>®</sup> Index – Historical Closing Levels<br> January 2, 2013 to January 31, 2023** |
| ![](image_001.jpg) |

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

United States Federal Tax Considerations

In the opinion of our tax counsel, Davis Polk & Wardwell LLP, based on current market conditions, it is more likely than not that the notes will be treated as "variable rate debt instruments" for U.S. federal income tax purposes, as described in the section of the accompanying product supplement called "United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Variable Rate Debt Instruments," and the remaining discussion is based on this treatment, except as otherwise noted.

Stated interest on the notes will be taxable to a U.S. Holder (as defined in the accompanying product supplement) as ordinary interest income at the time it accrues or is received in accordance with the holder's method of tax accounting. Upon the sale or other taxable disposition of a note, a U.S. Holder generally will recognize capital gain or loss equal to the difference between the amount realized on the disposition (other than any amount attributable to accrued interest, which will be treated as a payment of interest) and the holder's adjusted tax basis in the note. A U.S. Holder's adjusted tax basis in a note will generally equal the purchase price paid to acquire the note. Such gain or loss generally will be long-term capital gain or loss if the U.S. Holder held the note for more than one year at the time of disposition.

*Possible Alternative Tax Treatment of an Investment in the Notes*

If the notes were not treated as variable rate debt instruments, they would instead be subject to Treasury regulations governing "contingent payment debt instruments," as described in the section of the accompanying product supplement called "United States Federal Tax Considerations―Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments." If the notes were treated as contingent payment debt instruments, (i) a U.S. Holder would be required to recognize interest income based on our "comparable yield" for a similar non-contingent debt instrument and a "projected payment schedule" in respect of the notes, adjusted each year to take account for the difference between the actual and the projected payments in that year, and (ii) gain with respect to a note would be treated as ordinary income.

**Non-U.S. Holders.** Subject to the discussions below regarding Section 871(m) and in "United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders" and "—FATCA" in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the notes, under current law you generally will not be subject to U.S. federal withholding or income tax in respect of payments on or amounts received on the sale, exchange, redemption or retirement of the notes, provided that (i) income in respect of the notes is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements. See "United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders" in the accompanying product supplement for a more detailed discussion of the rules applicable to Non-U.S. Holders of the notes.

As discussed under "United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders" in the accompanying product supplement, Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities ("Underlying Securities") or indices that include Underlying Securities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an Internal Revenue Service ("IRS") notice, exempt financial instruments issued prior to January 1, 2025 that do not have a "delta" of one. Based on the terms of the notes and representations provided by us, our tax counsel is of the opinion that the notes should not be treated as transactions that have a "delta" of one within the meaning of the regulations with respect to any Underlying Security and, therefore, should not be subject to withholding tax under Section 871(m).

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

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

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

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

<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 notes, is acting as principal and will receive an underwriting fee of up to $11.30 for each note 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 $11.30 for each note they sell.

See "Plan of Distribution; Conflicts of Interest" in the accompanying product supplement and "Plan of Distribution" in each of the accompanying prospectus supplement and prospectus for additional information.

Valuation of the Notes

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

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

Validity of the Notes

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

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

In the opinion of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets Holdings Inc., (i) the terms of the notes offered by this pricing supplement have been duly established under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has duly authorized the issuance and sale of such notes and such authorization has not been modified or rescinded; (ii) Citigroup Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture and of the notes offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global Markets Holdings Inc. of its obligations thereunder,

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

are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York.

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

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

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

Contact

Clients may contact their local brokerage representative. Third-party distributors may contact Citi Structured Investment Sales at (212) 723-7005.© 2023 Citigroup Global Markets Inc. All rights reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world.

## 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 $15,000.00.