Citigroup Global Markets Holdings Inc.
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April 16, 2021
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2021-USNCH7345
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos.
333-224495 and 333-224495-03
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Autocallable Equity Linked Securities Linked to the
Worst Performing of Appian Corporation, Enphase Energy, Inc. and The Mosaic Company Due April 21, 2022
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▪
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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. The securities offer periodic coupon
payments at an annualized rate that is generally higher than the yield on our conventional debt securities of the same maturity. In exchange
for this higher yield, you must be willing to accept the risks that (i) the value of what you receive at maturity may be significantly
less than the stated principal amount of your securities, and may be zero, and (ii) the securities may be automatically called for redemption
prior to maturity beginning on the first potential autocall date specified below. Each of these risks will depend solely on the performance
of the worst performing of the underlyings specified below.
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▪
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You will be subject to risks associated with each of
the underlyings and will be negatively affected by adverse movements in any one of the underlyings. Although you will have downside
exposure to the worst performing underlying, you will not receive dividends with respect to any underlying or participate in any appreciation
of any underlying.
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▪
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Investors in the securities must be willing to accept (i) an
investment that may have limited or no liquidity and (ii) the risk of not receiving any payments due under the securities if we and Citigroup
Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings
Inc. and Citigroup Inc.
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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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Underlyings:
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Underlying
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Initial underlying value*
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Final barrier value**
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Equity ratio***
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Appian Corporation
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$135.23
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$74.377
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7.39481
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Enphase Energy, Inc.
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$150.01
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$82.506
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6.66622
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The Mosaic Company
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$33.46
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$18.403
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29.88643
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*For each underlying, its closing
value on the pricing date
**For each underlying, 55.00%
of its initial underlying value
***For each underlying, the stated principal amount divided
by its initial underlying value
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Stated principal amount:
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$1,000 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
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Valuation date:
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April 18, 2022, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Maturity date:
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Unless earlier redeemed, April 21, 2022
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Coupon payments:
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On each coupon payment date, unless previously redeemed, the securities will pay a coupon equal to 1.604167% of the stated principal amount of the securities (equivalent to a coupon rate of 19.25% per annum)
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Coupon payment dates:
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May 24, 2021, June 23, 2021, July 23, 2021, August 23, 2021, September 23, 2021, October 25, 2021, November 23, 2021, December 23, 2021, January 25, 2022, February 24, 2022, March 23, 2022 and the maturity date
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Payment at maturity:
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If the securities are not automatically redeemed prior to maturity, you
will receive at maturity for each security you then hold (in addition to the final coupon payment):
§ If
the final underlying value of the worst performing underlying on the valuation date is greater than or equal to its final barrier
value: $1,000
§ If
the final underlying value of the worst performing underlying on the valuation date is less than its final barrier value:
a fixed number of underlying shares of the worst performing
underlying on the valuation date equal to its equity ratio (or, if we elect, the cash value of those shares based on its final underlying
value)
If the securities are not automatically redeemed prior to maturity
and the final underlying value of the worst performing underlying on the valuation date is less than its final barrier value, you will
receive underlying shares of the worst performing underlying (or, in our sole discretion, cash) that will be worth significantly less
than the stated principal amount of your securities, and possibly nothing, at maturity (other than the final coupon payment).
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Listing:
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The securities will not be listed on any securities exchange
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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)
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Underwriting fee(2)
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Proceeds to issuer
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Per security:
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$1,000.00
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$28.75
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$971.25
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Total:
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$814,000.00
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$23,402.50
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$790,597.50
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(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the
securities is $918.40 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) For more information on the distribution of the securities, see
“Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates
may profit from hedging activity related to this offering, even if the value of the securities declines. See “Use of Proceeds and
Hedging” in the accompanying prospectus.
Investing in the securities involves
risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-5.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the
accompanying product supplement, 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, prospectus supplement and prospectus, which can be accessed via the hyperlinks below:
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.
Citigroup Global Markets Holdings Inc.
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KEY TERMS (continued)
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Automatic early redemption:
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If, on any potential autocall date, the closing value of the worst performing underlying on that potential autocall date is greater than or equal to its initial underlying value, each security you then hold will be automatically called on that potential autocall date for redemption on the immediately following coupon payment date for an amount in cash equal to $1,000.00 plus the related coupon payment. The automatic early redemption feature may significantly limit your potential return on the securities. If the worst performing underlying performs in a way that would otherwise be favorable, the securities are likely to be automatically called for redemption prior to maturity, cutting short your opportunity to receive coupon payments. The securities may be automatically called for redemption as early as the first potential autocall date specified below.
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Potential autocall dates:
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July 16, 2021, August 16, 2021, September 16, 2021, October 18, 2021, November 16, 2021, December 16, 2021, January 18, 2022, February 16, 2022 and March 16, 2022, each subject to postponement as if such date were the valuation date as described in the accompanying product supplement. If a scheduled potential autocall date is postponed by one or more business days, the immediately following coupon payment date will be postponed by an equal number of business days.
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Final underlying value:
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For each underlying, its closing value on the valuation date
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Worst performing underlying:
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For any date, the underlying with the lowest underlying return determined as of that date
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Underlying return:
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For each underlying on any date, (i) its closing value on that date minus its initial underlying value, divided by (ii) its initial underlying value
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CUSIP / ISIN:
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17328NMX3 / US17328NMX39
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Citigroup Global Markets Holdings Inc.
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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, the
accompanying product supplement contains important information about how the closing value of each underlying will be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events
with respect to each underlying. It is important that you read the accompanying product supplement, prospectus supplement and prospectus
together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of each underlying
on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement. The “underlying
shares” of (i) Enphase Energy, Inc. and The Mosaic Company are their respective shares of common stock and (ii) Appian Corporation
are its shares of Class A common stock. Please see the accompanying product supplement for more information.
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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·
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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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·
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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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·
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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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·
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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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·
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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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Hypothetical Examples
The examples below illustrate how to determine the payment at maturity
on the securities, assuming the securities are not automatically redeemed prior to maturity. You should understand that the term of the
securities, and your opportunity to receive the coupon payments on the securities, may be limited by the automatic early redemption feature
of the securities, which is not reflected in the examples below. The outcomes illustrated below are not exhaustive, and your actual payment
at maturity on the securities (if the securities are not earlier automatically redeemed) may differ from any example illustrated below.
The examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction of any payment that may
be made on the securities.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values, final barrier values or equity ratios of the underlyings. For the actual initial
underlying value, final barrier value and equity ratio of each underlying, see the cover page of this pricing supplement. We have used
these hypothetical values, rather than the actual values, to simplify the calculations and aid understanding of how the securities work.
However, you should understand that the actual payments on the securities will be calculated based on the actual initial underlying value,
final barrier value and equity ratio of each underlying, and not the hypothetical values indicated below. For ease of analysis, figures
below have been rounded.
Underlying
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Hypothetical initial underlying value
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Hypothetical final barrier value
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Hypothetical equity ratio
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Appian Corporation
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$100.00
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$55.00 (55.00% of its hypothetical initial underlying value)
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10.00000
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Enphase Energy, Inc.
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$100.00
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$55.00 (55.00% of its hypothetical initial underlying value)
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10.00000
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The Mosaic Company
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$100.00
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$55.00 (55.00% of its hypothetical initial underlying value)
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10.00000
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Hypothetical final underlying value of Appian Corporation
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Hypothetical final underlying value of Enphase Energy, Inc.
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Hypothetical final underlying value of The Mosaic Company
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Hypothetical payment at maturity per $1,000.00 security (excluding the final coupon payment)
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Example 1
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$110
(underlying return =
($110 - $100) / $100 = 10%)
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$120
(underlying return =
($120 - $100) / $100 = 20%)
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$130
(underlying return =
($130 - $100) / $100 = 30%)
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$1,000.00
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Example 2
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$110
(underlying return =
($110 - $100) / $100 = 10%)
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$120
(underlying return =
($120 - $100) / $100 = 20%)
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$45
(underlying return =
($45 - $100) / $100 = -55%)
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A number of underlying shares of the worst performing underlying on the valuation date (or, in our sole discretion, cash) worth $450.00 based on its final underlying value
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Example 3
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$0
(underlying return =
($0 - $100) / $100 = -100%)
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$55
(underlying return =
($55 - $100) / $100 = -45%)
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$80
(underlying return =
($80 - $100) / $100 = -20%)
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A number of underlying shares of the worst performing underlying on the valuation date (or, in our sole discretion, cash) worth $0.00 based on its final underlying value
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Example 1: On the valuation
date, Appian Corporation has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In
this scenario, the final underlying value of the worst performing underlying on the valuation date is greater than its final barrier value.
Accordingly, at maturity, you would receive the stated principal amount of the securities plus the final coupon payment. You would
not participate in the appreciation of any of the underlyings.
Example 2: On the valuation
date, The Mosaic Company has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In
this scenario, the final underlying value of the worst performing underlying on the valuation date is less than its final barrier value.
Accordingly, at maturity, you would receive for each security you then hold a fixed number of underlying shares of the worst performing
underlying on the valuation date equal to its equity ratio (or, at our option, the cash value thereof) plus the final coupon payment.
In this scenario, the value of a number of underlying shares of the
worst performing underlying on the valuation date equal to its equity ratio, based on its final underlying value, would be $450.00. Therefore,
the value of the underlying shares of the worst performing underlying on the valuation date (or, in our discretion, cash) you receive
at maturity would be significantly less than the stated principal amount of your securities. You would incur a loss based on the performance
of the worst performing underlying on the valuation date.
If the final underlying value of the worst performing underlying on
the valuation date is less than its final barrier value, we will have the option to deliver to you on the maturity date either a number
of underlying shares of the worst performing underlying on the valuation date equal to its equity ratio or the cash value of those underlying
shares based on their final underlying value. The value of those underlying shares on the maturity date may be different than their final
underlying value.
Example 3: On the valuation
date, Appian Corporation has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In
this scenario, the final underlying value of the worst performing underlying on the valuation date is less than its final barrier value.
In this scenario, because the underlying shares of the worst performing underlying on the valuation date are worthless, you would lose
your entire investment in the securities and only receive the final coupon payment at maturity.
Citigroup Global Markets Holdings Inc.
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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 (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with each underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
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§
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You may lose a significant portion or all of your investment. Unlike conventional debt securities, the securities do not provide
for the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed prior
to maturity, your payment at maturity will depend on the final underlying value of the worst performing underlying on the valuation date.
If the final underlying value of the worst performing underlying on the valuation date is less than its final barrier value, you will
not receive the stated principal amount of your securities at maturity and, instead, will receive underlying shares of the worst performing
underlying on the valuation date (or, in our sole discretion, cash based on its final underlying value) that will be worth significantly
less than the stated principal amount and possibly nothing. There is no minimum payment at maturity on the securities (excluding the final
coupon payment), and you may lose up to all of your investment.
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We may elect, in our sole discretion, to pay you cash at maturity
in lieu of delivering any underlying shares of the worst performing underlying. If we elect to pay you cash at maturity in lieu of delivering
any underlying shares of the worst performing underlying, the amount of that cash may be less than the market value of the underlying
shares on the maturity date because the market value will likely fluctuate between the valuation date and the maturity date. Conversely,
if we do not exercise our cash election right and instead deliver underlying shares of the worst performing underlying to you on the maturity
date, the market value of such underlying shares may be less than the cash amount you would have received if we had exercised our cash
election right. We will have no obligation to take your interests into account when deciding whether to exercise our cash election right.
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§
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Higher coupon rates are associated with greater risk. The securities offer coupon payments at an annualized rate that is generally
higher than the yield on our conventional debt securities of the same maturity. This higher potential yield is associated with greater
levels of expected risk as of the pricing date for the securities, including the risk that the value of what you receive at maturity may
be significantly less than the stated principal amount of your securities and may be zero. The volatility of, and correlation between,
the closing values of the underlyings are important factors affecting these risks. Greater expected volatility of, and lower expected
correlation between, the closing values of the underlyings as of the pricing date may result in a higher coupon rate, but would also represent
a greater expected likelihood as of the pricing date that the final underlying value of the worst performing underlying on the valuation
date will be less than its final barrier value, such that you will not be repaid the stated principal amount of your securities at maturity.
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§
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The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky than similar
investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying
will perform poorly, adversely affecting your return on the securities.
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§
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The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs
poorly. You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively
affected. The securities are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would
be better than the performance of the worst performing underlying alone. Instead, you are subject to the full risks of whichever of the
underlyings is the worst performing underlying.
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§
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You will not benefit in any way from the performance of any better performing underlying. The return on the securities depends
solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying.
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§
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You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective for
the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this relationship.
The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the underlyings to perform poorly. It is impossible to predict
what the relationship between the underlyings will be over the term of the securities. The underlyings differ in significant ways and,
therefore, may not be correlated with each other.
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§
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The securities may be automatically redeemed prior to maturity, limiting your opportunity to receive coupon payments. On any
potential autocall date, the securities will be automatically called for redemption if the closing value of the worst performing underlying
on that potential autocall date is greater than or equal to its initial underlying value. As a result, if the worst performing underlying
performs in a way that would otherwise be favorable, the securities are likely to be automatically redeemed, cutting short your opportunity
to receive coupon payments. If the securities are automatically redeemed prior to maturity, you may not be able to reinvest your funds
in another investment that provides a similar yield with a similar level of risk.
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Citigroup Global Markets Holdings Inc.
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§
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The securities offer downside exposure to the worst performing underlying, but no upside exposure to any underlying. You will
not participate in any appreciation in the value of any underlying over the term of the securities. Consequently, your return on the securities
will be limited to the coupon payments you receive and may be significantly less than the return on any underlying over the term of the
securities. In addition, as an investor in the securities, you will not receive any dividends or other distributions or have any other
rights with respect to any of the underlyings.
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§
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The performance of the securities will depend on the closing value of the worst performing
underlying solely on the potential autocall dates and the valuation date, which makes the securities particularly sensitive to volatility
of the worst performing underlying. If the securities are not automatically redeemed prior to maturity, the amount you receive at
maturity will depend solely on the closing value of the worst performing underlying on the valuation date. Whether your securities will
be automatically redeemed prior to maturity depends solely on the closing value of the worst performing underlying on each potential autocall
date. As a result, the performance of the securities will be sensitive to the volatility of the worst performing underlying. You should
understand that each of the underlyings have historically been highly volatile.
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§
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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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§
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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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§
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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) any selling concessions or other fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
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§
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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, and correlation between, the closing values of
the underlyings, dividend yields on the underlyings and interest rates. CGMI’s views on these inputs may differ from your or others’
views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models
may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities
set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities
for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
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§
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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 is payable on the securities.
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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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§
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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
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Citigroup Global Markets Holdings Inc.
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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 closing values of the underlyings, the volatility of, and correlation between, the closing
values of the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk Factors Relating
to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based
on many unpredictable factors” in the accompanying product supplement. Changes in the closing values of the underlyings may not
result in a comparable change in the value of your securities. You should understand that the value of your securities at any time prior
to maturity may be significantly less than the issue price.
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§
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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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§
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Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities does
not mean that we believe that investing in an instrument linked to the underlyings is likely to achieve favorable returns. In fact, as
we are part of a global financial institution, our affiliates may have positions (including short positions) in the underlyings or in
instruments related to the underlyings, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlyings. These and other activities of our affiliates may affect the closing values of the underlyings in a way that
negatively affects the value of and your return on the securities.
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The closing value of an underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the underlyings
or in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates
also take positions in the underlyings or in financial instruments related to the underlyings on a regular basis (taking long or short
positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers.
These activities could affect the closing values of the underlyings in a way that negatively affects the value of and your return on the
securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines.
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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 engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates may acquire
non-public information, which will not be disclosed to you.
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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 during the term of the securities, such as market disruption events and other events with respect to an underlying,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities.
In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder
of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product
supplement.
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Even if an underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the
securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general, an adjustment
will not be made under the terms of the securities for any cash dividend paid by an underlying unless the amount of the dividend per share,
together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an amount
equal to at least 10% of the closing value of that underlying on the date of declaration of the dividend. Any dividend will reduce the
closing value of the underlying by the amount of the dividend per share. If an underlying pays any dividend for which an adjustment is
not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” in the accompanying product supplement.
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The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the closing
value of an underlying. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not
meet the criteria described above, partial tender offers or additional underlying share issuances. Moreover, the adjustments we do make
may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by
such an event in a circumstance in which a direct holder of the underlying shares of an underlying would not.
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The securities may become linked to an underlying other than an original underlying upon the occurrence of a reorganization event
or upon the delisting of the underlying shares of that original underlying. For example, if an underlying enters into a merger agreement
that provides for holders of its underlying shares to receive shares of another entity and such shares are marketable securities, the
closing value of that underlying following consummation of the merger will be based on the value of such other shares. Additionally, if
the underlying shares of an underlying are delisted, the calculation agent may select a successor underlying. See “Description of
the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying
product supplement.
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If the underlying shares of an underlying are delisted, we may call the securities prior to maturity for an amount that may be
less than the stated principal amount. If we exercise this call right, you will receive the amount described under “Description
of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting of
an Underlying Company” in the accompanying product supplement. This amount may be less, and possibly significantly less, than the
stated principal amount of the securities.
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The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority as to
the proper U.S. federal tax treatment of the securities, and we do not intend to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment described herein. If the IRS were successful in asserting an alternative treatment, the tax consequences
of ownership and disposition of the securities might be materially and adversely affected. As described below under “United States
Federal Tax Considerations,” the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S.
federal income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such
transactions may be the subject of future regulations or other guidance. In addition, members of Congress have proposed legislative changes
to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect.
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As described below under “United States
Federal Tax Considerations,” in connection with any information reporting requirements we may have in respect of the securities
under applicable law, we intend to treat a portion of each coupon payment as attributable to interest and the remainder to option premium.
However, in light of the uncertain treatment of the securities, it is possible that other persons having withholding or information reporting
responsibility in respect of the securities may treat a security differently, for instance, by treating the entire coupon payment as ordinary
income at the time received or accrued by a holder and/or treating some or all of each coupon payment made to a non-U.S. investor on a
security as subject to withholding tax at a rate of 30%. Moreover, it is possible that in the future we may determine that we should withhold
at a rate of 30% on coupon payments made to a non-U.S. investor on the securities. If withholding applies to the securities, we will not
be required to pay any additional amounts with respect to amounts so withheld.
Non-U.S. Holders should also review the
section entitled “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Withholding
Under Section 871(m) of the Code” regarding the risk of withholding in respect of “dividend equivalents” on the securities.
You should review carefully the section
of this pricing supplement entitled “United States Federal Tax Considerations.” You should also consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any state,
local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Information About Appian Corporation
Appian Corporation develops enterprise software solutions. The company
offers business process and cash management software. Appian Corporation serves customers worldwide. The underlying shares of Appian Corporation
are registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed
with the SEC by Appian Corporation pursuant to the Exchange Act can be located by reference to the SEC file number 001-38098 through the
SEC’s website at http://www.sec.gov. In addition, information regarding Appian Corporation may be obtained from other sources including,
but not limited to, press releases, newspaper articles and other publicly disseminated documents. The underlying shares of Appian Corporation
trade on the Nasdaq Global Market under the ticker symbol “APPN.”
We have derived all information regarding Appian Corporation from publicly
available information and have not independently verified any information regarding Appian Corporation. This pricing supplement relates
only to the securities and not to Appian Corporation. We make no representation as to the performance of Appian Corporation over the term
of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. Appian Corporation is not involved in any way in this offering and has no obligation relating
to the securities or to holders of the securities.
Historical Information
The closing value of Appian Corporation on April 16, 2021 was $135.23.
The graph below shows the closing value of Appian Corporation for each
day such value was available from May 25, 2017 to April 16, 2021. We obtained the closing values from Bloomberg L.P., without independent
verification. If certain corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs
or mergers, then the closing values shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg
L.P. as if any such transaction had occurred prior to the first day in the period shown below. You should not take historical closing
values as an indication of future performance.
Appian Corporation – Historical Closing Values
May 25, 2017 to April 16, 2021
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Citigroup Global Markets Holdings Inc.
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Information About Enphase Energy, Inc.
Enphase Energy, Inc. manufactures solar power solutions. Enphase Energy,
Inc. offers solutions to increase productivity and reliability of solar modules. The underlying shares of Enphase Energy, Inc. are registered
under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC
by Enphase Energy, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 001-35480 through the SEC’s
website at http://www.sec.gov. In addition, information regarding Enphase Energy, Inc. may be obtained from other sources including, but
not limited to, press releases, newspaper articles and other publicly disseminated documents. The underlying shares of Enphase Energy,
Inc. trade on the Nasdaq Global Market under the ticker symbol “ENPH.”
We have derived all information regarding Enphase Energy, Inc. from
publicly available information and have not independently verified any information regarding Enphase Energy, Inc. This pricing supplement
relates only to the securities and not to Enphase Energy, Inc. We make no representation as to the performance of Enphase Energy, Inc.
over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. Enphase Energy, Inc. is not involved in any way in this offering and has no obligation relating
to the securities or to holders of the securities.
Historical Information
The closing value of Enphase Energy, Inc. on April 16, 2021 was $150.01.
The graph below shows the closing value of Enphase Energy, Inc. for
each day such value was available from March 30, 2012 to April 16, 2021. We obtained the closing values from Bloomberg L.P., without independent
verification. If certain corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs
or mergers, then the closing values shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg
L.P. as if any such transaction had occurred prior to the first day in the period shown below. You should not take historical closing
values as an indication of future performance.
Enphase Energy, Inc. – Historical Closing Values
March 30, 2012 to April 16, 2021
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Citigroup Global Markets Holdings Inc.
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Information About The Mosaic Company
The Mosaic Company is a producer and marketer of concentrated phosphate
and potash crop nutrients. The underlying shares of The Mosaic Company are registered under the Securities Exchange Act of 1934, as amended
(the “Exchange Act”). Information provided to or filed with the SEC by The Mosaic Company pursuant to the Exchange Act can
be located by reference to the SEC file number 001-32327 through the SEC’s website at http://www.sec.gov. In addition, information
regarding The Mosaic Company may be obtained from other sources including, but not limited to, press releases, newspaper articles and
other publicly disseminated documents. The underlying shares of The Mosaic Company trade on the New York Stock Exchange under the ticker
symbol “MOS.”
We have derived all information regarding The Mosaic Company from publicly
available information and have not independently verified any information regarding The Mosaic Company. This pricing supplement relates
only to the securities and not to The Mosaic Company. We make no representation as to the performance of The Mosaic Company over the term
of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The Mosaic Company is not involved in any way in this offering and has no obligation relating
to the securities or to holders of the securities.
Historical Information
The closing value of The Mosaic Company on April 16, 2021 was $33.46.
The graph below shows the closing value of The Mosaic Company for each
day such value was available from January 3, 2011 to April 16, 2021. We obtained the closing values from Bloomberg L.P., without independent
verification. If certain corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs
or mergers, then the closing values shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg
L.P. as if any such transaction had occurred prior to the first day in the period shown below. You should not take historical closing
values as an indication of future performance.
The Mosaic Company – Historical Closing Values
January 3, 2011 to April 16, 2021
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Citigroup Global Markets Holdings Inc.
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United States Federal Tax Considerations
You should note that, other than the discussion under “United
States Federal Tax Considerations—Tax Consequences to U.S. Holders—Possible Taxable Event” regarding the possible assumption
of the securities by Citigroup Inc., the discussion under the section called “United States Federal Tax Considerations” in
the accompanying product supplement generally does not apply to the securities issued under this pricing supplement and is superseded
by the following discussion.
The following is a discussion of the material U.S. federal income and
certain estate tax consequences of the ownership and disposition of the securities. It applies to you only if you are an initial holder
of a security that purchases the security for cash at its stated principal amount, and holds the security as a capital asset within the
meaning of Section 1221 of the Code.
This discussion does not address all of the tax consequences that may
be relevant to you in light of your particular circumstances or if you are a holder subject to special rules, such as:
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a financial institution;
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a dealer or trader subject to a mark-to-market method of tax
accounting with respect to the securities;
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a person holding the securities as part of a “straddle”
or conversion transaction or one who enters into a “constructive sale” with respect to a security;
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a U.S. Holder (as defined below) whose functional currency
is not the U.S. dollar;
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an entity classified as a partnership for U.S. federal income
tax purposes;
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a regulated investment company;
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a tax-exempt entity, including an “individual retirement
account” or “Roth IRA”; or
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an investor subject to special tax accounting rules under
Section 451(b) of the Code.
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If an entity that is classified as a partnership for U.S. federal income
tax purposes holds the securities, the U.S. federal income tax treatment of a partner will generally depend on the status of the partner
and the activities of the partnership. If you are a partnership holding the securities or a partner in such a partnership, you should
consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing of the securities to you.
Except to the limited extent discussed herein, this discussion does
not address the U.S. federal tax consequences of the ownership or disposition of the Underlying Shares that you may receive at maturity.
You should consult your tax adviser regarding the potential U.S. federal tax consequences of the ownership and disposition of the Underlying
Shares.
This discussion is based on the Code, administrative pronouncements,
judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this pricing supplement, changes to any
of which may affect the tax consequences described herein, possibly with retroactive effect. This discussion does not address the effects
of any applicable state, local or non-U.S. tax laws, or the potential application of the Medicare contribution tax. You should consult
your tax adviser about the application of U.S. federal tax laws to your particular situation (including the possibility of alternative
treatments of the securities), as well as any tax consequences arising under the laws of any state, local or non-U.S. jurisdiction.
Tax Treatment of the Securities
Due to the absence of statutory, judicial or administrative authorities
that directly address the U.S. federal tax treatment of the securities or similar instruments, there is substantial uncertainty regarding
the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting requirements we may
have in respect of the securities under applicable law, we intend (in the absence of an administrative determination or judicial ruling
to the contrary) to treat each security for U.S. federal income tax purposes as a unit comprising (i) an option written by you that, if
exercised, requires you to purchase the Underlying Shares from us at maturity for an amount equal to the Deposit (as defined below) (the
“Put Option”) and (ii) a deposit with us of a fixed amount of cash equal to the stated principal amount of the security to
secure your potential obligation under the Put Option (the “Deposit”). In the opinion of our counsel, Davis Polk &
Wardwell LLP, which is based on current market conditions, this treatment of the securities is reasonable under current law; however,
our counsel has advised us that due to the lack of any controlling legal authority it is unable to conclude affirmatively that this treatment
is more likely than not to be upheld, and that alternative treatments are possible. Under this treatment:
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a portion of each coupon payment made with respect to a security
will be attributable to interest on the Deposit; and
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the remainder will represent option premium attributable to
your grant of the Put Option (with respect to each coupon payment received and, collectively, all coupon payments received, “Put
Premium”).
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We will treat 1.29% of each coupon payment as interest on the Deposit
and 98.71% as Put Premium for each security.
Citigroup Global Markets Holdings Inc.
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We do not plan to request a ruling from the IRS, and the IRS or a
court might not agree with this treatment. Accordingly, you should consult your tax adviser regarding the U.S. federal tax consequences
of an investment in the securities. Unless otherwise stated, the following discussion is based on the treatment of each security as a
Put Option and a Deposit.
Tax Consequences to U.S. Holders
This section applies only to U.S. Holders. You are a “U.S. Holder”
if for U.S. federal income tax purposes you are a beneficial owner of a security that is:
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a citizen or individual resident of the United States;
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a corporation, or other entity taxable as a corporation, created
or organized in or under the laws of the United States, any state thereof or the District of Columbia; or
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an estate or trust the income of which is subject to U.S.
federal income taxation regardless of its source.
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Coupon Payments. We intend to treat interest paid with respect
to the Deposit as ordinary interest income that is taxable to you at the time it accrues or is received, in accordance with your method
of tax accounting. The Put Premium should not be taken into account until retirement (which for purposes of this discussion includes an
automatic call feature) or earlier sale or exchange of the security.
Sale or Exchange Prior to Retirement.
Upon a sale or exchange of a security prior to retirement, you should apportion the amount realized between the Deposit and
the Put Option based on their respective values on the date of sale or exchange. If the value of the Put Option is negative, you should
be treated as having made a payment of such negative value to the purchaser in exchange for the purchaser’s assumption of the Put
Option, in which case a corresponding amount should be added to the amount realized in respect of the Deposit.
You should recognize gain or loss with respect to the Deposit in an
amount equal to the difference between (i) the amount realized that is apportioned to the Deposit and (ii) your basis in the Deposit (i.e.,
the price you paid to acquire the security plus any amounts previously accrued into income but not yet paid). Any loss should be treated
as short-term capital loss. Any gain should be treated as ordinary interest income to the extent of the amount of any accrued but unpaid
discount on the Deposit not yet taken into income and any remaining gain should be treated as short-term capital gain.
You should recognize gain or loss in respect of the Put Option in an
amount equal to the total Put Premium you previously received, decreased by the amount deemed to be paid by you, or increased by the amount
deemed to be paid to you, in exchange for the purchaser’s assumption of the Put Option. This gain or loss should be short-term capital
gain or loss.
Tax Treatment at Retirement. The coupon payment received upon
retirement will be treated as described above under “Coupon Payments.”
If a security is retired for its stated principal amount (without taking
into account any coupon payment), the Put Option should be deemed to have expired unexercised, in which case you should recognize short-term
capital gain in an amount equal to the sum of all payments of Put Premium received, including the Put Premium received upon retirement.
At maturity, if you receive an amount of cash, not counting the final
coupon payment, that is different from the stated principal amount, the Put Option should be deemed to have been exercised and you should
be deemed to have applied the Deposit toward the cash settlement of the Put Option. In that case, you should recognise short-term capital
gain or loss with respect to the Put Option in an amount equal to the difference between (i) the sum of the total Put Premium received
(including the Put Premium received at maturity) and the cash you receive at maturity, excluding the final coupon payment, and (ii) the
Deposit.
Receipt of the Underlying Shares at Maturity. If you receive
the Underlying Shares (and cash in lieu of any fractional share) at maturity, the Put Option will be deemed to have been exercised, and
you should be deemed to have applied the Deposit toward the physical settlement of the Put Option. You should not recognize any income
or gain in respect of the total Put Premium received (including the Put Premium received at maturity) and should not recognize any gain
or loss with respect to the Deposit or the Underlying Shares received. Assuming this treatment, you should have an aggregate tax basis
in the Share Delivery Amount of the Underlying Shares equal to the Deposit less the total Put Premium received over the term of the securities.
Your holding period for any Underlying Shares received should start on the day after receipt. With respect to any cash received in lieu
of a fractional share, you should recognize short-term capital gain or loss in an amount equal to the difference between the amount of
cash received in lieu of the fractional share and the pro rata portion of your aggregate tax basis that is allocable to the fractional
share.
Possible Taxable Event. In the event of a designation of
a successor underlying, it is possible that the securities could be treated, in whole or part, as terminated and reissued for U.S. federal
income tax purposes. In such a case, you might be required to recognize gain or loss (subject to the possible application of the
wash sale rules) with respect to the securities.
Possible Alternative Tax Treatments of an Investment in the Securities
Alternative U.S. federal income tax treatments of the securities are
possible that, if applied, could materially and adversely affect the timing and/or character of income, gain or loss with respect to the
securities. A security could be treated as a debt instrument issued by us, in which case the timing and character of taxable income with
respect to coupon payments on the securities would differ from that described herein and all or a portion of any gain you realize would
generally be treated as ordinary income. In addition, you could be subject to special reporting requirements if
Citigroup Global Markets Holdings Inc.
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any loss exceeded certain thresholds. Under other possible treatments,
the entire coupon on the securities might either be (i) treated as income to you at the time received or accrued or (ii) not accounted
for separately as giving rise to income to you until the sale, exchange or retirement of the securities. You should consult your tax adviser
regarding these issues.
Other possible U.S. federal income tax treatments of the securities
are possible that could also affect the timing and character of income or loss with respect to the securities. In addition, the U.S. Treasury
Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward
contracts” and similar financial instruments and have indicated that such transactions may be the subject of future regulations
or other guidance. In addition, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any
legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the securities.
Tax Consequences to Non-U.S. Holders
This section applies only to Non-U.S. Holders. You are a “Non-U.S.
Holder” if you are a beneficial owner of a security that is, for U.S. federal income tax purposes:
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an individual who is classified as a nonresident alien;
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a foreign corporation; or
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a foreign trust or estate.
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You are not a Non-U.S. Holder for the purposes of this discussion if
you are (i) an individual who is present in the United States for 183 days or more in the taxable year of disposition or (ii) a former
citizen or resident of the United States. If you are or may become such a person during the period in which you hold a security, you should
consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities to you.
Subject to the discussions below regarding Section 871(m) and “FATCA,”
under current law, you generally should not be subject to U.S. federal withholding or income tax in respect of payments on the securities
or amounts 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 provide to the applicable withholding
agent an appropriate IRS Form W-8 certifying under penalties of perjury that you are not a U.S. person.
If you are engaged in a U.S. trade or business, and if income from the
securities is effectively connected with the conduct of that trade or business, you generally will be subject to regular U.S. federal
income tax with respect to that income in the same manner as if you were a U.S. Holder, unless an applicable income tax treaty provides
otherwise. If you are a Non-U.S. Holder to which this paragraph may apply, you should consult your tax adviser regarding other U.S. tax
consequences of the ownership and disposition of the securities. If you are a corporation, you should also consider the potential application
of a 30% (or lower treaty rate) branch profits tax.
As described above under “—Tax Consequences to U.S. Holders—Possible
Alternative Tax Treatments of an Investment in the Securities” alternative tax treatments could apply to the securities, in which
case the tax consequences to you could be materially and adversely affected. In addition, potential legislative or regulatory changes
to the tax treatment of the securities could adversely impact your consequences of an investment in the securities.
Possible Withholding Under Section 871(m) of the Code.
Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose
a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities. Section 871(m) generally applies
to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities, as determined based on tests
set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments
issued prior to January 1, 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.
While we currently do not intend to withhold on payments on the securities
to Non-U.S. Holders (subject to the certification requirement described above, the discussion above regarding Section 871(m) and the discussion
below regarding “FATCA”), in light of the uncertain treatment of the securities other persons having withholding or information
reporting responsibility in respect of the securities may treat some or all of each coupon payment on a security as subject to withholding
tax at a rate of 30%. Moreover, it is possible that in the future we may determine that we should withhold at a rate of 30% on coupon
payments on the securities. We will not be required to pay any additional amounts with respect to amounts withheld.
Citigroup Global Markets Holdings Inc.
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U.S. Federal Estate Tax
If you are an individual Non-U.S. Holder, or an entity the property
of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example, a trust
funded by such an individual and with respect to which the individual has retained certain interests or powers), you should note that,
absent an applicable treaty exemption, a security may be treated as U.S.-situs property subject to U.S. federal estate tax. If you are
such an individual or entity, you should consult your tax adviser regarding the U.S. federal estate tax consequences of an investment
in the securities.
Information Reporting and Backup Withholding
Amounts paid on the securities, and payment of the proceeds of a sale,
exchange or other taxable disposition of the securities, may be subject to information reporting and, if you fail to provide certain identifying
information (such as an accurate taxpayer identification number if you are a U.S. Holder) or meet certain other conditions, may also be
subject to backup withholding at the rate specified in the Code. If you are a Non-U.S. Holder that provides the applicable withholding
agent with an appropriate IRS Form W-8, you will generally establish an exemption from backup withholding. Amounts withheld under the
backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided
the relevant information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as “FATCA” generally imposes
a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect to certain financial
instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An intergovernmental agreement
between the United States and the non-U.S. entity’s jurisdiction may modify these requirements. This legislation generally applies
to certain financial instruments that are treated as paying U.S.-source interest, dividend equivalents or other U.S.-source “fixed
or determinable annual or periodical” income (“FDAP income”). Withholding (if applicable) applies to payments of U.S.-source
FDAP income. While existing Treasury regulations would also require withholding on payments of gross proceeds of the disposition (including
upon retirement) of certain financial instruments treated as providing for U.S.-source interest or dividends, the U.S. Treasury Department
has indicated in subsequent proposed regulations its intent to eliminate this requirement. The U.S. Treasury Department has indicated
that taxpayers may rely on these proposed regulations pending their finalization. Although the application of the FATCA rules to the securities
is not entirely clear because the U.S. federal income tax treatment of the securities is unclear, it would be prudent to assume that a
withholding agent will treat the securities as subject to the withholding rules under FATCA. If withholding applies to the securities,
we will not be required to pay any additional amounts with respect to amounts withheld. You should consult your tax adviser regarding
the potential application of FATCA to the securities.
The preceding discussion, when read in conjunction
with “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Possible Taxable Event” in the
accompanying product supplement, 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 consult your tax adviser regarding
all aspects of the U.S. federal income and estate tax consequences of an investment in the securities, and any tax consequences arising
under the laws of any state, local or foreign 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 $28.75 for each security sold
in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $28.75
for each security they sell. For the avoidance of doubt, any fees or selling concessions described in this pricing supplement will not
be rebated if the securities are automatically redeemed prior to maturity.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately three 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
Citigroup Global Markets Holdings Inc.
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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 three-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.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying product
supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority in the Hong Kong Special Administrative
Region of the People’s Republic of China (“Hong Kong”). Investors are advised to exercise caution in relation to the
offer. If investors are in any doubt about any of the contents of this pricing supplement and the accompanying product supplement, prospectus
supplement and prospectus, they should obtain independent professional advice.
The securities have not been offered or sold and will not be offered
or sold in Hong Kong by means of any document, other than
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to the securities
which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except if permitted to do
so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to be disposed of only to persons
outside Hong Kong or only to “professional investors” as defined in the Securities and Futures Ordinance and any rules made
under that Ordinance.
Non-insured Product: These securities are not insured by any governmental
agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement, prospectus
supplement and prospectus have not been registered as a prospectus with the Monetary Authority of Singapore, and the securities will be
offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore (the “Securities and Futures Act”).
Accordingly, the securities may not be offered or sold or made the subject of an invitation for subscription or purchase nor may this
pricing supplement or any other document or material in connection with the offer or sale or invitation for subscription or purchase of
any securities be circulated or distributed, whether directly or indirectly, to any person in Singapore other than (a) to an institutional
investor pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person under Section 275(1) of the Securities and
Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures Act and in accordance with the conditions specified
in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable
provision of the Securities and Futures Act. Where the securities are subscribed or purchased under Section 275 of the Securities and
Futures Act by a relevant person which is:
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(a)
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a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is an individual
who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that corporation or the
beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for 6 months after that corporation
or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the Securities and Futures Act except:
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any person
arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005 of Singapore.
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Any securities referred to herein may not be registered with any regulator,
regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined in the
Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority of Singapore
on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Citigroup Global Markets Holdings Inc.
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Non-insured Product: These securities are not insured by any governmental
agency. These securities are not bank deposits. These securities are not insured products subject to the provisions of the Deposit Insurance
and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance coverage under the Deposit
Insurance Scheme.
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.
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.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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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