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Citigroup Global Markets Holdings Inc.
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April 16, 2021
Medium-Term Senior Notes,
Series N
Pricing Supplement No. 2021-USNCH7196
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos.
333-224495 and 333-224495-03
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121,950 Partial Principal at Risk Securities Based on
the EURO STOXX 50® Index Due May 7, 2026
Overview
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The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and
guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not guarantee the full repayment
of principal at maturity. Instead, the securities offer the potential for a positive return at maturity based on the performance of the
EURO STOXX 50® Index (the “underlying index”) from the initial index level to the final index level, subject
to the maximum return at maturity specified below.
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The securities offer exposure to a limited range of potential appreciation of the underlying index as described below. However, if
the underlying index depreciates from the initial index level to the final index level, you will incur a loss at maturity equal to that
depreciation, subject to a maximum loss of 10% of the stated principal amount. Even if the underlying index appreciates from the initial
index level to the final index level so that you do receive a positive return at maturity, there is no assurance that your total return
at maturity on the securities 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.
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In exchange for the limited loss potential if the underlying index depreciates, investors in the securities must be willing to forgo
(i) any appreciation of the underlying index in excess of the maximum return at maturity specified below and (ii) any dividends that may
be paid on the stocks that constitute the underlying index during the 5-year term of the securities. If the underlying index does not
appreciate from the pricing date to the valuation date, you will not receive any return on your investment in the securities, and you
may lose up to 10% of your investment.
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In order to obtain the modified exposure to the underlying index that the securities 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 securities if we and
Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Global Markets
Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying index:
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The EURO STOXX 50® Index (ticker symbol: “SX5E”)
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Aggregate stated principal amount:
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$1,219,500
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Stated principal amount:
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$10.00 per security
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Pricing date:
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April 16, 2021
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Issue date:
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April 21, 2021. See “Supplemental Plan of Distribution” in this pricing supplement for additional information.
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Valuation date:
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April 30, 2026, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Maturity date:
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May 7, 2026
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Payment at maturity:
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▪ If
the final index level is greater than the initial index level:
$10.00 + ($10.00 × the index return), subject to the maximum return at maturity
▪ If
the final index level is less than or equal to the initial index level:
$10.00 + ($10.00 × the index return), subject to the minimum payment at maturity
If the final index level depreciates from the initial
index level, you will be exposed to the first 10% of that depreciation and your payment at maturity will be less than the stated principal
amount per security. You should not invest in the securities unless you are willing and able to bear the risk of losing up to $1.00 per
security.
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Initial index level:
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4,032.99, the closing level of the underlying index on the pricing date
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Final index level:
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The closing level of the underlying index on the valuation date
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Index return:
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(i) The final index level minus the initial index level, divided by the (ii) initial index level
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Maximum return at maturity:
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$5.50 per security (55.00% of the stated principal amount). The payment at maturity per security will not exceed $10.00 plus the maximum return at maturity.
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Minimum payment at maturity:
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$9.00 per security (90.00% of the stated principal amount).
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17329B848 / US17329B8485
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)(2)
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Underwriting fee
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Proceeds to issuer
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Per security:
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$10.00
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$0.30(2)
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$9.65
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$0.05(3)
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Total:
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$1,219,500.00
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$42,682.50
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$1,176,817.50
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(1) On the date of this pricing supplement, the estimated value of the
securities is $9.495 per security, which is less than the issue price. The estimated value of the securities is based on CGMI’s
proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates,
nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time
after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and
the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.35 for each $10.00 security
sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management, and their financial advisors will collectively
receive from CGMI a fixed selling concession of $0.30 for each $10.00 security they sell. Additionally, it is possible that CGMI and its
affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. See “Use of
Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management
by CGMI of $0.05 for each security.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying
product supplement, underlying supplement,
prospectus supplement and prospectus is 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:
Prospectus Supplement and Prospectus each dated May 14, 2018
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, 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 Securities—Consequences of a Market Disruption Event; Postponement of a Valuation
Date” and “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—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 securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying
product supplement.
Prospectus. The first sentence of “Description of Debt
Securities— Events of Default and Defaults” in the accompanying prospectus shall be amended to read in its entirety as follows:
Events of default under the indenture are:
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for 30 days;
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failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a sinking fund, on any debt security of such series for 30 days;
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failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking fund for 30 days on debt securities of such series;
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failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture applicable to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other than such series; and
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certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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Investment Summary
The securities provide investors:
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an opportunity to gain exposure to the underlying index, subject to the maximum return at maturity, within a limited range of positive
performance; and
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a limited loss potential of up to 10% at maturity.
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At maturity, if the underlying index depreciates from the initial index
level to the final index level, you will incur a loss equal to that depreciation, subject to a maximum loss of 10% of the stated principal
amount. All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. Investors
in the securities will not receive any dividends paid on the stocks that constitute the underlying index over the term of the securities.
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Maturity:
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Approximately 5 years
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Maximum return at maturity:
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$5.50 per security (55.00% of the stated principal amount)
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Minimum payment at maturity:
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$9.00 per security
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Interest:
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None
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Key Investment Rationale
The securities offer investors exposure to the performance of the underlying
index, provided that investors will not receive a payment at maturity in excess of the maximum payment at maturity, which will
be $15.50 per security, and provide for a limited loss potential of up to 10% at maturity. They are for investors who are concerned about
principal risk but seek an equity index-based return, and who are willing to forgo dividends in exchange for the limited loss potential
of up to 10% at maturity if the underlying index depreciates.
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Limited Loss Potential:
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The securities offer investors exposure to appreciation of the underlying index within a limited range of positive performance, while providing for limited loss potential at maturity.
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Upside Scenario:
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If the final index level is greater than the initial index level, the payment at maturity for each security will be equal to the $10.00 stated principal amount plus the product of (i) the stated principal amount and (ii) the index return, subject to the maximum return at maturity.
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Downside Scenario:
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If the final index level is less than the initial index level, the securities will be exposed to the negative performance of the underlying index, subject to a maximum loss of 10% of the stated principal amount.
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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Hypothetical Examples
The diagram below illustrates your payment at maturity for a range of
hypothetical index returns.
Investors in the securities will not receive any dividends that may
be paid on the stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield
over the term of the securities. See “Summary Risk Factors—Investing in the securities is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index” below.
Partial Principal at Risk Securities
Payment at Maturity Diagram
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n The Securities
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n The Underlying Index
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Your actual payment at maturity per security will depend on the actual
initial index level and the actual final index level. The examples below are intended to illustrate how your payment at maturity will
depend on whether the final index level is greater than or less than the initial index level and by how much. The examples are based on
a hypothetical initial index level of 3,800.00 and are for illustrative purposes only.
Example 1—Upside Scenario A. The hypothetical final index
level is 3,990.00 (a 5.00% increase from the hypothetical initial index level), which is greater than the hypothetical initial
index level.
Payment at maturity per security = $10 + ($10 × the index return),
subject to the maximum return at maturity of $5.50 per security
= $10 + ($10 × 5.00%), subject to the maximum return at maturity
of $5.50 per security
= $10 + $0.50, subject to the maximum return at maturity of $5.50 per
security
= $10.50
Because the underlying index appreciated by 5.00% from its hypothetical
initial index level to its hypothetical final index level, your total return at maturity in this scenario would be 5%.
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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Example 2—Upside Scenario B. The hypothetical final index
level is 6,460.00 (a 70.00% increase from the hypothetical initial index level), which is greater than the hypothetical initial
index level.
Payment at maturity per security = $10 + ($10 × the index return),
subject to the maximum return at maturity of $5.50 per security
= $10 + ($10 × 70.00%), subject to the maximum return at maturity
of $5.50 per security
= $10 + $7.00, subject to the maximum return at maturity of $5.50 per
security
= $15.50
Because the underlying index appreciated from its hypothetical initial
index level to its hypothetical final index level and the index return is greater than the maximum return at maturity, your payment at
maturity in this scenario would equal the maximum payment at maturity of $15.50 per security. In this scenario, an investment in the securities
would underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the underlying index without
a maximum return.
Example 3—Downside Scenario A. The hypothetical final index
level is 3,610.00 (an approximately 5.00% decrease from the hypothetical initial index level), which is less than the hypothetical
initial index level.
Payment at maturity per security = $10 + ($10 × the index return),
subject to the minimum payment at maturity of $9.00 per security
= $10 + ($10 × -5.00%), subject to the minimum payment at maturity
of $9.00 per security
= $10 + -$0.50, subject to the minimum payment at maturity of $9.00
per security
= $9.50, subject to the minimum payment at maturity of $9.00 per security
= $9.50
Because the underlying index depreciated from its hypothetical initial
index level to its hypothetical final index level, but not by more than 10.00%, your payment at maturity would reflect 1-to-1 exposure
to the negative performance of the underlying index and you would incur a loss at maturity of 5.00%.
Example 4—Downside Scenario B. The hypothetical final index
level is 3,040.00 (an approximately 20.00% decrease from the hypothetical initial index level), which is less than the hypothetical
initial index level.
Payment at maturity per security = $10 + ($10 × the index return),
subject to the minimum payment at maturity of $9.00 per security
= $10 + ($10 × -20.00%), subject to the minimum payment at maturity
of $9.00 per security
= $10 + -$2.00, subject to the minimum payment at maturity of $9.00
per security
= $8.00, subject to the minimum payment at maturity of $9.00 per security
= $9.00
Because the underlying index depreciated from its hypothetical initial
index level to its hypothetical final index level by more than 10.00%, you would incur a loss at maturity equal to the maximum loss of
10.00%.
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities that are guaranteed by Citigroup Inc., including the risk that we and Citigroup Inc. may default on our obligations under the
securities, and are also subject to risks associated with the underlying index. Accordingly, the securities are appropriate only for investors
who are capable of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors
as to the risks of an investment in the securities and the appropriateness of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
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You may not receive any return on your investment in the securities and you may lose up to 10% of your investment. You will
receive a positive return on your investment in the securities only if the underlying index appreciates from the initial index level to
the final index level. If the final index level is less than the initial index level, you will lose 1% of the stated principal amount
of the securities for every 1% by which the final index level is less than the initial index level, subject to a maximum loss of 10% of
your investment. As the securities do not pay any interest, if the underlying index does not appreciate sufficiently from the initial
index level to the final index level over the term of the securities, there is no assurance that your total return at maturity on the
securities will be as great as could have been achieved on conventional debt securities of ours of comparable maturity. Additionally,
you may lose up to 10% of your investment.
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The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other amounts
prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
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Although the securities limit your loss at maturity to 10%, you may nevertheless suffer additional losses on your investment in
real value terms if the underlying index declines or does not appreciate 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 securities represents a forgone opportunity to invest in an alternative asset that does
generate a positive real return. This potential loss in real value terms is significant given the 5-year term of the securities. 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.
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Your potential return on the securities is limited. Your potential total return on the
securities at maturity is limited to the maximum return at maturity of 55.00%, which is equivalent to a maximum return at maturity of
$5.50 per security and would result in a maximum payment at maturity of $15.50 per security.
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Investing in the securities 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. As of April 16, 2021, the average dividend yield of the underlying index was approximately
1.935% per year. While it is impossible to know the future dividend yield of the underlying index, if this average dividend yield were
to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 9.76% (assuming no reinvestment
of dividends) by investing in the securities instead of investing directly in the stocks that constitute the underlying index or in another
investment linked to the underlying index that provides for a pass-through of dividends. The payment scenarios described in this pricing
supplement do not show any effect of lost dividend yield over the term of the securities. If the underlying index appreciates, or if it
depreciates by up to the dividend yield, this lost dividend yield will cause the securities to underperform an alternative investment
providing for a pass-through of dividends and 1-to-1 exposure to the performance of the underlying index.
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Your payment at maturity depends on the closing level of the underlying index on a single day. Because your payment at maturity
depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that the closing level
of the underlying index on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of
the securities. If you had invested directly in the stocks that constitute the underlying index or in another instrument linked to the
underlying index that you could sell for full value at a time selected by you, or if the payment at maturity were based on an average
of the closing levels of the underlying index throughout the term of the securities, you might have achieved better returns.
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The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities.
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity.
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The estimated value of the securities 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 securities that are included in the issue price. These costs include (i) the selling concessions and structuring fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of 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 securities. Moreover, the estimated value of the securities
set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities
for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
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The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs
associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the securities, which do not
bear interest.
Because there is not an active market for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary
market rate based on the market price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and
the guarantor of all payments due on the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our
secondary market rate is not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of
our parent company’s creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing
the securities prior to maturity.
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price.
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▪
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The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the 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 volatility of the exchange rate between the U.S. dollar and the euro, the correlation between that
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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exchange rate and the level of the underlying
index, the time remaining to maturity and our and/or 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 securities. You should understand
that the value of your securities at any time prior to maturity may be significantly less than the issue price.
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.
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The underlying index is subject to risks associated with non-U.S. markets. Investments linked to the value of non-U.S. stocks
involve risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental
intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available
information about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of
the SEC. Further, non-U.S. companies are generally subject to accounting, auditing and financial reporting standards and requirements
and securities trading rules that are different from those applicable to U.S. reporting companies. The prices of securities in foreign
markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes
in government, economic and fiscal policies and currency exchange laws. Moreover, the economies in such countries may differ favorably
or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation, capital
reinvestment, resources and self-sufficiency.
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The underlying index performance will not be adjusted for changes in the exchange rate between the euro and the U.S. dollar.
The underlying index is composed of stocks traded in euro, the value of which may be subject to a high degree of fluctuation relative
to the U.S. dollar. However, the performance of the underlying index and the value of your securities will not be adjusted for exchange
rate fluctuations. If the euro appreciates relative to the U.S. dollar over the term of the securities, your return on the securities
will underperform an alternative investment that offers exposure to that appreciation in addition to the change in the level of the underlying
index.
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▪
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Our offering of the securities does not constitute a recommendation of the underlying index. The fact that we are offering
the securities 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
securities.
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▪
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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 securities 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 securities. 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 securities. They could also result in substantial
returns for us or our affiliates while the value of the securities declines.
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▪
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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.
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▪
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. 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 securities.
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▪
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Adjustments to the underlying index may affect the value of your securities. STOXX Limited (the “underlying index publisher”)
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 underlying index publisher may discontinue or suspend calculation or publication of the underlying
index at any time without regard to your interests as holders of the securities.
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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Information About
the Underlying Index
The EURO STOXX 50®
Index is composed of 50 component stocks of market sector leaders from within the 20 EURO STOXX® Supersector indices, which
represent the Eurozone portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600® Supersector
indices contain the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50® Index
is reported by Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”)
and its licensors and CGMI have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in
exchange for a fee, of the right to use the EURO STOXX 50® Index, which is owned and published by STOXX, in connection
with certain financial instruments, including the securities. For more information, see “Equity Index Descriptions—The STOXX
Benchmark Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity
Index Descriptions—The STOXX Benchmark Indices” in the accompanying underlying supplement for important disclosures regarding
the EURO STOXX 50® Index.
Historical Information
The closing level of the underlying index on April 16, 2021 was 4,032.99.
The graph below shows the closing level of the underlying index for
each day such level was available from January 3, 2011 to April 16, 2021. We obtained the closing levels from Bloomberg L.P., without
independent verification. You should not take the historical levels of the underlying index as an indication of future performance.
EURO STOXX 50® Index – Historical Closing Levels
January 3, 2011 to April 16, 2021
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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United States Federal Tax Considerations
Prospective investors should note that, other
than the discussion under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Withholding
Under Section 871(m) of the Code,” the section entitled “United States Federal Tax Considerations” in the accompanying
product supplement does not apply to the securities issued under this pricing supplement and is superseded by the following discussion.
In the opinion of our counsel, Davis Polk &
Wardwell LLP, the securities should be treated as “contingent payment debt instruments” for U.S. federal income tax purposes,
as described in the section of the accompanying prospectus 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. The discussion herein does not address the consequences to taxpayers subject to special tax accounting rules under
Section 451(b) of the Internal Revenue Code of 1986, as amended (the “Code”).
If you are a U.S. Holder (as defined in the accompanying
prospectus supplement), you will be required to recognize interest income during the term of the securities 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 securities, 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 securities. We are required to construct a “projected payment schedule” in respect
of the securities representing a payment the amount and timing of which would produce a yield to maturity on the securities equal to the
comparable yield. Assuming you hold the securities until their maturity, the amount of interest you include in income based on the comparable
yield in the taxable year in which the securities mature will be adjusted upward or downward to reflect the difference, if any, between
the actual and projected payment on the securities at maturity as determined under the projected payment schedule.
Upon the sale, exchange or retirement of the securities
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 securities. Your adjusted tax basis will equal your purchase price for the securities, increased by interest previously included
in income on the securities. 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 security and as capital loss thereafter.
We have determined that the comparable yield for
a security is a rate of 1.504%, compounded semi-annually, and that the projected payment schedule with respect to a security consists
of a single payment of $0.785 at maturity. The following table states the amount of interest (without taking into account any adjustment
to reflect the difference, if any, between the actual and the projected amount of the contingent payment on a security) that will be deemed
to have accrued with respect to a security for each accrual period (assuming a day count convention of 30 days per month and 360 days
per year), based upon the comparable yield set forth above:
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ACCRUAL
PERIOD
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OID
DEEMED TO ACCRUE DURING ACCRUAL PERIOD (PER SECURITY)
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Issue date through June 30, 2021
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$0.029
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July 1, 2021 through December 31, 2021
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$0.075
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January 1, 2022 through June 30, 2022
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$0.076
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July 1, 2022 through December 31, 2022
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$0.077
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January 1, 2023 through June 30, 2023
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$0.077
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July 1, 2023 through December 31, 2023
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$0.078
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January 1, 2024 through June 30, 2024
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$0.078
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July 1, 2024 through December 31, 2024
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$0.079
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January 1, 2025 through June 30, 2025
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$0.079
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July 1, 2025 through December 31, 2025
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$0.080
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January 1, 2026 through maturity
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$0.057
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Neither the comparable yield nor the projected
payment schedule constitutes a representation by us regarding the actual amount that we will pay on the securities.
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 prospectus supplement, if you are a Non-U.S. Holder (as defined in the accompanying
prospectus supplement) of the securities, 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 securities, provided that (i) income in
respect of the securities is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply
with the applicable certification requirements. See “United States Federal Tax Considerations—
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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Tax Consequences to Non-U.S. Holders” in
the accompanying prospectus supplement for a more detailed discussion of the rules applicable to Non-U.S. Holders of the securities.
As discussed under “United
States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Withholding Under Section 871(m) of the Code”
in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”)
generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities. Section
871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities,
as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an Internal Revenue
Service (“IRS”) notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta”
of one. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities should
not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying
Equity and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the securities are not subject
to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its
application may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding
the potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we
will not be required to pay any additional amounts with respect to amounts withheld.
FATCA. You should review the section entitled
“United States Federal Tax Considerations—FATCA” in the accompanying prospectus supplement regarding withholding rules
under the “FATCA” regime. The discussion in that section is hereby modified to reflect regulations proposed by the U.S. Treasury
Department indicating an intent to eliminate the requirement under FATCA of withholding on gross proceeds of the disposition of affected
financial instruments. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations pending their
finalization.
You should read the section entitled “United
States Federal Tax Considerations” in the accompanying prospectus supplement and the discussion under “United States Federal
Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Withholding Under Section 871(m) of the Code” in the
accompanying product supplement. The preceding discussion, when read in combination with those sections, constitutes the full opinion
of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing of the securities.
You should also consult your tax adviser regarding
all aspects of the U.S. federal tax consequences of an investment in the securities and any tax consequences arising under the laws of
any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.35 for each $10.00 security
sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including Morgan Stanley Wealth
Management, and their financial advisors collectively a fixed selling concession of $0.30 for each $10.00 security they sell. In addition,
Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security they sell.
CGMI is an affiliate of ours. Accordingly, this offering will conform
with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule 5121 of the
Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment discretion will
not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of the client.
Secondary market sales of securities typically settle two business days
after the date on which the parties agree to the sale. Because the issue date for the securities is more than two business days after
the pricing date, investors who wish to sell the securities at any time prior to the second business day preceding the issue date will
be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement. Investors should consult
their own investment advisors in this regard.
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.
A portion of the net proceeds from the sale of the securities will be
used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or other of our affiliates.
CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities declines. This hedging
activity could affect the closing level of the underlying index and, therefore, the value of and your return on the securities. For additional
information on the ways in which our counterparties may hedge our obligations under the securities, see “Use of Proceeds and Hedging”
in the accompanying prospectus.
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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Certain Selling Restrictions
Prohibition of Sales to EEA Retail Investors
The securities may not be offered, sold or otherwise made available
to any retail investor in the European Economic Area. For the purposes of this provision:
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(a)
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the expression “retail investor” means a person who is one (or more) of the following:
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(i)
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a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
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(ii)
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a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in
point (10) of Article 4(1) of MiFID II; or
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(iii)
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not a qualified investor as defined in Directive 2003/71/EC; and
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(b)
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the expression “offer” includes the communication in any form and by any means of sufficient information on the terms
of the offer and the securities offered so as to enable an investor to decide to purchase or subscribe the securities.
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Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately four months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the four-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and issued
by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor,
such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings
Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that
such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed the
legal conclusions expressed in the opinions set forth below of Alexia Breuvart, General Counsel of Citigroup Global Markets Inc., and
Barbara Politi, Assistant 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 March 19, 2021, which has been filed as an exhibit to a Current Report
on Form 8-K filed by Citigroup Inc. on March 19, 2021, that the indenture has been duly authorized, executed and delivered by, and is
a valid, binding and enforceable agreement of, the trustee and that none of the terms of the securities nor the issuance and delivery
of the securities and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc. with the
terms of the securities and the related guarantee respectively, will result in a violation of any provision of any instrument or agreement
then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by any court or
governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
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Citigroup Global Markets Holdings Inc.
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121,950 Partial Principal at Risk Securities Based on the EURO STOXX 50® Index Due May 7, 2026
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In the opinion of Alexia Breuvart, General Counsel of Citigroup Global
Markets Inc., (i) the terms of the securities offered by this pricing supplement have been duly established under the indenture and the
Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has duly authorized the issuance
and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup Global Markets Holdings Inc. is
validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been duly authorized, executed
and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture and of the securities offered
by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global Markets Holdings Inc. of
its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other
constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New
York.
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, Assistant General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the
guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly
existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered
by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination,
she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers
of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents
of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
© 2021 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.
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