# EDGAR Filing Document

**Accession Number:** 0000831001
**File Stem:** 0000950103-23-004753
**Filing Date:** 2023-3
**Character Count:** 53078
**Document Hash:** 73e92c5d675e49c03c2c368b4372310f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000950103-23-004753.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0000950103-23-004753

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 3

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**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:** 23768492

**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:** 23768493

**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. | **March 24, 2023**<br>**Medium-Term Senior Notes, Series N**<br>**Pricing Supplement No. 2023-USNCH16349**<br>**Filed Pursuant to Rule 424(b)(2)**<br>**Registration Statement Nos. 333-255302 and 333-255302-03**<br>|

---

Dual Directional Market-Linked Notes Linked to the S&P 500<sup>®</sup> Index Due March 27, 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. Unlike conventional debt securities,
the notes do not pay interest. Instead, the notes offer the potential for a positive return at maturity based on the performance
of the underlying index specified below over the term of the notes.

▪ The notes offer the potential for positive participation in
the absolute value of the performance of the underlying index from its initial index level to its final index level, **but only** so
long as a knock-out event does not occur. A knock-out event will occur if the closing level of the underlying index on any
scheduled trading day during the observation period specified below is equal to or less than the downside knock-out level or equal to
or greater than the upside knock-out level specified below. If a knock-out event occurs, you will be repaid the stated principal
amount of your notes at maturity *plus* the knock-out return specified below. As the notes do not pay any interest and
you will not receive any dividends on the underlying index, there is no assurance that your total return at maturity on the notes will
compensate you for the effects of inflation or be as great as the yield you could have achieved on a conventional debt security of ours
of comparable maturity.

▪ To obtain the modified exposure to the underlying index that
the notes provide, 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. |
| **Guarantee:** | All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc. |
| **Underlying index:** | The S&P 500<sup>®</sup> Index (ticker symbol: "SPX") |
| **Stated principal amount:** | $1,000 per note |
| **Pricing date:** | March 24, 2023 |
| **Issue date:** | March 29, 2023 |
| **Valuation date:** | March 24, 2026, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur |
| **Maturity date:** | March 27, 2026 |
| **Payment at maturity:** | For each note you hold at maturity, the $1,000 stated principal amount *plus* the note return amount, which will be either zero or positive |
| **Note return amount:** | ▪ If a knock-out event occurs: $1,000 × the knock-out return<br>▪ If a knock-out event does not occur: $1,000 × the absolute value of the index return<br>|
| **Knock-out return:** | 3% |
| **Knock-out event:** | A knock-out event will occur if the closing level of the underlying index on any scheduled trading day during the observation period is equal to or less than the downside knock-out level or equal to or greater than the upside knock-out level |
| **Observation period:** | The period from but excluding the pricing date to and including the scheduled valuation date |
| **Upside knock-out level:** | 143.00% of the initial index level |
| **Downside knock-out level:** | 70.00% of the initial index level |
| **Initial index level:** | 3,970.99, the closing level of the underlying index on the pricing date |
| **Final index level:** | The closing level of the underlying index on the valuation date |
| **Index return:** | (i) The final index level *minus* the initial index level, *divided by* (ii) the initial index level |
| **Listing:** | The notes will not be listed on any securities exchange |
| **CUSIP / ISIN:** | 17331CYK7 / US17331CYK79 |
| **Underwriter:** | 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** |
| **Per note:** | $1000.00 | $20.00 | $980.00 |
| **Total:** | $435000.00 | $8700.00 | $426300.00 |

---

(1) On the date of this pricing supplement, the estimated value of the notes is $960.40 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) 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.

**Investing in the notes 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 (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) |

---

**[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, certain events may occur that could affect your payment at maturity. These events and their consequences are described in the accompanying product supplement in the sections "Description of the Notes—Certain Additional Terms for Notes Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date" and "—Discontinuance or Material Modification of an Underlying Index" and not in this pricing supplement. The accompanying underlying supplement contains important disclosures regarding the underlying index that are 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

The table below indicates what your payment at maturity and total return on the notes would be for various hypothetical index returns of the underlying index, depending on whether a knock-out event has occurred. Your actual payment at maturity per note and total return on the notes will depend on the actual index return and whether a knock-out event actually occurs.

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Hypothetical Index Return** | &nbsp;&nbsp;**Assuming a Knock-out Event Occurs** | &nbsp;&nbsp;**Assuming a Knock-out Event Occurs** | &nbsp;&nbsp;**Assuming a Knock-out Event Does <u>Not</u> Occur** | &nbsp;&nbsp;**Assuming a Knock-out Event Does <u>Not</u> Occur** |
| &nbsp;&nbsp;**Hypothetical Index Return** | &nbsp;&nbsp;**Hypothetical Payment at Maturity per Note** | &nbsp;&nbsp;**Hypothetical Total Return on Notes at Maturity** | &nbsp;&nbsp;**Hypothetical Payment at Maturity per Note** | &nbsp;&nbsp;**Hypothetical Total Return on Notes at Maturity** |
| &nbsp;&nbsp;100.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A |
| &nbsp;&nbsp;75.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A |
| &nbsp;&nbsp;50.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A |
| &nbsp;&nbsp;43.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A |
| &nbsp;&nbsp;42.99% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1429.90 | &nbsp;&nbsp;42.99% |
| &nbsp;&nbsp;40.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1400.00 | &nbsp;&nbsp;40.00% |
| &nbsp;&nbsp;30.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1300.00 | &nbsp;&nbsp;30.00% |
| &nbsp;&nbsp;20.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1200.00 | &nbsp;&nbsp;20.00% |
| &nbsp;&nbsp;10.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1100.00 | &nbsp;&nbsp;10.00% |
| &nbsp;&nbsp;5.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1050.00 | &nbsp;&nbsp;5.00% |
| &nbsp;&nbsp;2.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1020.00 | &nbsp;&nbsp;2.00% |
| &nbsp;&nbsp;1.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1010.00 | &nbsp;&nbsp;1.00% |
| &nbsp;&nbsp;0.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;0.00% |
| &nbsp;&nbsp;-1.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1010.00 | &nbsp;&nbsp;1.00% |
| &nbsp;&nbsp;-2.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1020.00 | &nbsp;&nbsp;2.00% |
| &nbsp;&nbsp;-5.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1050.00 | &nbsp;&nbsp;5.00% |
| &nbsp;&nbsp;-10.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1100.00 | &nbsp;&nbsp;10.00% |
| &nbsp;&nbsp;-20.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1200.00 | &nbsp;&nbsp;20.00% |
| &nbsp;&nbsp;-29.99% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;$1299.90 | &nbsp;&nbsp;29.99% |
| &nbsp;&nbsp;-30.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A |
| &nbsp;&nbsp;-40.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A |
| &nbsp;&nbsp;-50.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A |
| &nbsp;&nbsp;-75.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A |
| &nbsp;&nbsp;-100.00% | &nbsp;&nbsp;$1030.00 | &nbsp;&nbsp;3.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A |

---

The examples below are intended to illustrate how your payment at maturity will depend on whether a knock-out event occurs and, if a knock-out event does not occur, on the index return of the underlying index. The examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction of what your actual payment at maturity on the notes will be. The examples are based on a hypothetical initial index level of 100.00 and do not reflect the actual initial index level. For the actual initial index level, see the cover page of this pricing supplement. We have used this hypothetical level, rather than the actual level, to simplify the calculations and aid understanding of how the notes work. However, you should understand that your actual payment at maturity will be calculated based on the actual initial index level, and not the hypothetical initial index level used in the examples below.

**Example 1.** A knock-out event does not occur, and the hypothetical final index level is 102.00, resulting in an index return of 2.00%.

Payment at maturity per note = $1,000 + the note return amount

= $1,000 + ($1,000 × the absolute value of the index return)

= $1,000 + ($1,000 × \| 2.00% \|)

= $1,000 + $20

= $1,020

Because a knock-out event did not occur in this example, you would participate on a 1-to-1 basis in the appreciation of the underlying index from the initial index level to the final index level.

**Example 2.** A knock-out event does not occur, and the hypothetical final index level is 98.00, resulting in an index return of -2.00%.

Payment at maturity per note = $1,000 + the note return amount

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

= $1,000 + ($1,000 × the absolute value of the index return)

= $1,000 + ($1,000 × \| -2.00% \|)

= $1,000 + $20

= $1,020

Because a knock-out event did not occur in this example, you would participate on a 1-to-1 basis in the absolute value of the depreciation of the underlying index from the initial index level to the final index level.

**Example 3.** A knock-out event occurs, and the hypothetical final index level is 150.00, resulting in an index return of 50.00%.

Payment at maturity per note = $1,000 + the note return amount

= $1,000 + ($1,000 × the knock-out return)

= $1,000 + ($1,000 × 3.00%)

= $1,000 + $30

= $1,030

Because a knock-out event occurred in this example, you would be repaid the stated principal amount of your notes at maturity *plus* the knock-out return. In this example, you would not participate in the significant appreciation of the underlying index over the term of the notes.

<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 index. 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.

▪ **You may not receive any positive return on your investment in the notes.** The notes do not pay interest. If a knock-out
event does not occur and the index return is 0%, you will not receive any positive return on your investment. Even if you do receive a
positive return at maturity, there is no assurance that your total return on the notes will be as great as could have been achieved on
a conventional debt security of ours of comparable maturity. The notes are not appropriate for investors who require interest payments
or the certainty of a positive return on their investment.

▪ **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 a knock-out event occurs or if the underlying index does not appreciate or depreciate sufficiently from the initial index level to the final index level.** 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. You should carefully consider whether an
investment that may not provide for any return on your investment, or may provide a return that is lower than the return on alternative
investments, is appropriate for you.

▪ **Your potential to participate in the absolute value of the performance of the underlying index may terminate on any scheduled trading day during the observation period.** A knock-out event will occur if the closing level of the underlying index on any scheduled
trading day during the observation period is equal to or less than the downside knock-out level or equal to or greater than the upside
knock-out level. The knock-out feature of the notes effectively limits the potential return on the notes.

▪ **The probability that a knock-out event will occur will depend in part on the volatility of the underlying index.** "Volatility"
refers to the frequency and magnitude of changes in the level of the underlying index. In general, the greater the volatility of the underlying
index, the greater the probability that the underlying index will experience a large increase or decrease over the term of the notes and
a knock-out event will occur on any scheduled trading day during the observation period. The underlying index has historically experienced
significant volatility. As a result, there is a significant risk that a knock-out event will occur during the observation period.
The terms of the notes are set, in part, based on expectations about the volatility of the underlying index as of the pricing date. If
expectations about the volatility of the underlying index change over the term of the notes, the value of the notes may be adversely affected,
and if the actual volatility of the underlying index proves to be greater than initially expected, the notes may prove to be riskier than
initially expected.

▪ **Your potential return on the notes is limited and may significantly underperform the underlying index.** The notes
offer the potential for (i) a positive return at maturity based on the absolute value of the performance of the underlying index if a
knock-out event <u>does not</u> occur and (ii) a positive fixed return at maturity if a knock-out event <u>does</u> occur. A
knock-out event will occur if the closing level of the underlying index on any scheduled trading day during the observation period is
equal to or less than the downside knock-out level or equal to or greater than the upside knock-out level. If the closing level
of the underlying index on any scheduled trading day is equal to or greater than the upside knock-out level, you will not participate
in any appreciation of the underlying index. As a result, your potential return on the notes may be significantly less than
the return you could have achieved by investing directly in the underlying index.

▪ **Investing in the notes is not equivalent to investing in the underlying index or the stocks that constitute the underlying index.** You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the stocks that
constitute the underlying index. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield
over the term of the notes. If the underlying index appreciates, or if it depreciates by up to the dividend yield, this lost dividend
yield will cause the notes to underperform an alternative investment providing for a pass-through of all dividends and 1-to-1 exposure
to the performance of the underlying index.

▪ **If a knock-out event does not occur, your payment at maturity will depend on the closing level of the underlying index on a single day.** Because your payment at maturity will depend on the closing level of the underlying index solely on the valuation date if a knock-out
event does not occur, you are subject to the risk that the closing level of the underlying index on that day may result in a lower, and
possibly significantly lower, payment at maturity than the closing level on one or more other dates during the

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

term of the notes. If the payment at maturity were based on an average of closing levels of the underlying index, you might have achieved better returns.

▪ **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) the selling concessions paid in connection with the offering of
the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes and (iii) the expected
profit (which may be more or less than actual profit) to CGMI or other of our affiliates 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 index, dividend yields on the stocks
that constitute the underlying index 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 we will pay to investors in the notes.<br>
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

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

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 index and a number of other factors, including the price
and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute the underlying index,
interest rates generally, the time remaining to maturity and our and Citigroup Inc.'s creditworthiness, as reflected in our secondary
market rate. Changes in the level of the underlying index 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 does not constitute a recommendation of the underlying index.** The fact that we are offering the notes
does not mean that we believe that investing in an instrument linked to the underlying index 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 index or in instruments related to the underlying index or such stocks, and may publish research or express
opinions, that in each case are inconsistent with an investment linked to the underlying index. These and other activities of our affiliates
may affect the level of the underlying index in a way that has a negative impact on your interests as a holder of the notes.

▪ **The level of the underlying index 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 index and other financial instruments related to the underlying index or such stocks and may adjust such
positions during the term of the notes. Our affiliates also trade the stocks that constitute the underlying index and other financial
instruments related to the underlying index 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 index in a way that negatively affects the value of 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 may currently or from time to time engage in business with the issuers of the stocks that constitute the underlying index,
including extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business,
we or our affiliates may acquire non-public information about such issuers, which we will not disclose to you. Moreover, if any of our
affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against such issuer that are available to them
without regard to your interests.

▪ **The calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes.** If
certain events occur, such as market disruption events or the discontinuance of the underlying index, CGMI, as calculation agent, will
be required to make discretionary judgments that could significantly affect your payment at maturity. 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.

▪ **Adjustments to the underlying index may affect the value of your notes.** The publisher of the underlying index may add, delete
or substitute the stocks that constitute the underlying index or make other methodological changes that could affect the level of the
underlying index. The publisher of the underlying index may discontinue or suspend calculation or publication of the underlying index
at any time without regard to your interests as holders of 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 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. The S&P 500<sup>®</sup> Index is reported by Bloomberg L.P. under the ticker symbol "SPX."

"Standard & Poor's," "S&P" and "S&P 500<sup>®</sup>" are trademarks of Standard & Poor's Financial Services LLC and have been licensed for use by Citigroup Inc. and its affiliates. For more information, see "Equity Index Descriptions—The S&P U.S. Indices—License Agreement" in the accompanying underlying supplement.

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 important disclosures regarding the S&P 500<sup>®</sup> Index.

Historical Information

The closing level of the S&P 500<sup>®</sup> Index on March 24, 2023 was 3,970.99.

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 March 24, 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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| &nbsp;&nbsp;**S&P 500<sup>®</sup> Index – Historical Closing Levels<br> January 2, 2013 to March 24, 2023** |
| &nbsp;&nbsp;![](image_001.jpg) |

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

United States Federal Income Tax Considerations

In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, the notes should be treated as "contingent payment debt instruments" for U.S. federal income tax purposes, as described in the section of the accompanying product supplement called "United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments," and the remaining discussion is based on this treatment.

If you are a U.S. Holder (as defined in the accompanying product supplement), you will be required to recognize interest income during the term of the notes at the "comparable yield," which generally is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of the notes, including the level of subordination, term, timing of payments and general market conditions, but excluding any adjustments for the riskiness of the contingencies or the liquidity of the notes. We are required to construct a "projected payment schedule" in respect of the notes representing a payment the amount and timing of which would produce a yield to maturity on the notes equal to the comparable yield. Assuming you hold the notes until their maturity, the amount of interest you include in income based on the comparable yield in the taxable year in which the notes mature will be adjusted upward or downward to reflect the difference, if any, between the actual and projected payment on the notes at maturity as determined under the projected payment schedule. However, special rules may apply if the payment at maturity on the notes is treated as becoming fixed prior to maturity. See "United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments" in the accompanying product supplement for a more detailed discussion of the special rules.

Upon the sale, exchange or retirement of the notes prior to maturity, you generally will recognize gain or loss equal to the difference between the proceeds received and your adjusted tax basis in the notes. Your adjusted tax basis will equal your purchase price for the notes, increased by interest previously included in income on the notes. Any gain generally will be treated as ordinary income, and any loss generally will be treated as ordinary loss to the extent of prior interest inclusions on the note and as capital loss thereafter.

We have determined that the comparable yield for a note is a rate of 4.793%, compounded semi-annually, and that the projected payment schedule with respect to a note consists of a single payment of $1,152.543 at maturity.

**Neither the comparable yield nor the projected payment schedule constitutes a representation by us regarding the actual amount that we will pay on the notes.** 

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

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

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

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

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

**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 $20.00 for each note sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $20.00 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 notes 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, 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 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 $435,000.00.