Citigroup Global Markets Holdings Inc.
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July 27, 2021
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2021-USNCH8184
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos.
333-255302 and 333-255302-03
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Buffered Digital Notes Based on Shares of the Energy
Select Sector SPDR® Fund Due January 31, 2023
Overview
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The securities offered by this pricing supplement are unsecured
senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt
securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities
offer a payment at maturity that may be greater than or less than the stated principal amount, depending on the performance of the shares
of the Energy Select Sector SPDR® Fund (the “underlying shares”) from the initial share price to the final
share price.
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The securities offer a fixed return at maturity so long as the
final share price is greater than or equal to the final buffer price as described below. In exchange for this feature, investors in the
securities must be willing to forgo (i) any appreciation of the underlying shares beyond the fixed return amount, (ii) any dividends
that may be paid on the underlying shares and (iii) interest on the securities. In addition, investors in the securities must be willing
to accept leveraged downside exposure to the underlying shares if the final share price is less than the final buffer price. If the
underlying shares depreciate by more than the buffer percentage from the initial share price to the final share price, you will lose
more than 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer percentage.
Accordingly, the lower the final share price, the less benefit you will receive from the buffer. There is no minimum payment at maturity.
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In order to obtain the modified exposure to the underlying shares
that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the
risk of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations. All payments on the
securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying shares:
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Shares of the Energy Select Sector SPDR® Fund (NYSE Arca symbol: “XLE”) (the “underlying share issuer” or “ETF”)
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Aggregate stated principal amount:
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$6,760,000
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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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July 27, 2021
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Issue date:
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July 30, 2021
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Final valuation dates:
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Expected to be January 20, 23, 24, 25 and 26, 2023, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Maturity date:
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January 31, 2023, subject to postponement as described under “Additional Information” below
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Payment at maturity:
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For each $1,000 stated principal amount security you hold at maturity,
you will receive the following amount in U.S. dollars:
▪
If the final
share price is greater than or equal to the final buffer price: $1,000 + the fixed return amount
▪
If the final
share price is less than the final buffer price:
$1,000 +
[$1,000 × the buffer rate × (the share return + the buffer percentage)]
If the final share price is less than the final buffer price, your
payment at maturity will be less, and possibly significantly less, than the $1,000 stated principal amount per security. You should not
invest in the securities unless you are willing and able to bear the risk of losing a significant portion, or all, of your investment.
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Initial share price:
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$49.26, the closing price of the underlying shares on the pricing date
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Final share price:
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The arithmetic average of the closing price of the underlying shares on each of the final valuation dates
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Share return:
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(i) The final share price minus the initial share price, divided by (ii) the initial share price
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Fixed return amount:
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$112.50 per security (11.25% of the stated principal amount). You will receive the fixed return amount only if the final share price is greater than or equal to the final buffer price.
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Final buffer price:
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$41.871, 85.00% of the initial share price
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Buffer percentage:
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15%
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Buffer rate:
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The initial share price divided by the final buffer price, which is approximately 117.647%
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17329Q5Z9 / US17329Q5Z96
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)(2)
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Underwriting fee(3)
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Proceeds to issuer(3)
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Per security:
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$1,000.00
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$12.50
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$987.50
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Total:
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$6,760,000.00
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$84,500.00
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$6,675,500.00
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(1) On the date of this pricing supplement, the estimated value of the
securities is $963.10 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) The issue price for investors purchasing the securities in fiduciary
accounts is $987.50 per security.
(3) CGMI will receive an underwriting fee of up to $12.50 for each security
sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities and, from
the underwriting fee to CGMI, will receive a placement fee of $12.50 for each security they sell in this offering to accounts other than
fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary accounts.
The total underwriting fees and proceeds to issuer in the table above give effect to the actual total underwriting fee. For more information
on the distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition
to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities
declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation
to the contrary is a criminal offense.
You should read this pricing supplement together
with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks
below:
Prospectus Supplement and Prospectus each dated May 11, 2021
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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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain
events may occur that could affect your payment at maturity, such as market disruption events and other events affecting the underlying
shares. These events and their consequences are described in the accompanying product supplement in the sections “Description of
the Securities— Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF— Definitions
of Market Disruption Event and Scheduled Trading Day and Related Definitions”, “Description of the Securities— Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF —Dilution and Reorganization Adjustments”
and “Description of the Securities— Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying
ETF —Delisting, Liquidation or Termination of an Underlying ETF,” and not in this pricing supplement (except as set forth
in the next two paragraphs). The accompanying underlying supplement contains important disclosures regarding the underlying shares that
are not repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus together with this pricing supplement in connection with your investment in the securities. Certain
terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Dilution and Reorganization Adjustments. The initial share price
and the final buffer price are each a “Relevant Value” for purposes of the section “Description of the Securities—Certain
Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” in the accompanying
product supplement. Accordingly, the initial share price and the final buffer price are each subject to adjustment upon the occurrence
of any of the events described in that section.
Postponement of a Final Valuation Date; Postponement of the Maturity
Date. If any scheduled final valuation date is not a scheduled trading day, that final valuation date will be postponed to the next
succeeding scheduled trading day. In addition, if a market disruption event occurs on any scheduled final valuation date, the calculation
agent may, but is not required to, postpone that final valuation date to the next succeeding scheduled trading day on which a market disruption
event does not occur. If any final valuation date is postponed so that it coincides with a subsequent scheduled final valuation date,
each such subsequent final valuation date will be postponed to the next succeeding scheduled trading day (subject to further postponement
as provided above if a market disruption event occurs on such succeeding scheduled trading day). However, in no event will any scheduled
final valuation date be postponed more than five scheduled trading days after that originally scheduled final valuation date as a result
of a market disruption event occurring on that scheduled final valuation date or on an earlier scheduled final valuation date (in each
case, as any such scheduled final valuation date may be postponed). If the last final valuation date is postponed so that it falls less
than three business days prior to the scheduled maturity date, the maturity date will be postponed to the third business day after the
last final valuation date as postponed. The provisions in this paragraph supersede the related provisions in the accompanying product
supplement to the extent the provisions in this paragraph are inconsistent with those provisions. The terms “scheduled trading day”
and “market disruption event” are defined in the accompanying product supplement.
Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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Hypothetical Examples
The diagram below illustrates your payment at maturity for a range of
hypothetical share returns.
Investors in the securities will not receive any dividends on the
underlying shares. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities. See
“Summary Risk Factors—You will not have voting rights, rights to receive any dividends or other distributions or any other
rights with respect to the ETF” below.
Buffered Digital Notes
Payment at Maturity Diagram
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n The Securities
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n The Underlying Shares
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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The table and examples below illustrate various hypothetical payments
at maturity assuming a hypothetical initial share price of $55.00 and various hypothetical final share prices. Your actual payment at
maturity per security will depend on the actual initial share price and final share price and may differ substantially from the examples
shown. It is impossible to predict whether you will realize a gain or loss on your investment in the securities. Figures in the table
and examples below have been rounded for ease of analysis. The table and examples below are intended to illustrate how your payment at
maturity will depend on whether the final share price is greater than or less than the initial share price and by how much.
Hypothetical Final Share Price
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Hypothetical Share Return
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Hypothetical Payment at Maturity per Security
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Hypothetical Total Return on Securities at Maturity(1)
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$110.00
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100.00%
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$1,112.50
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11.25%
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$104.50
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90.00%
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$1,112.50
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11.25%
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$99.00
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80.00%
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$1,112.50
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11.25%
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$93.50
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70.00%
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$1,112.50
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11.25%
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$88.00
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60.00%
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$1,112.50
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11.25%
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$82.50
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50.00%
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$1,112.50
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11.25%
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$77.00
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40.00%
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$1,112.50
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11.25%
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$71.50
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30.00%
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$1,112.50
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11.25%
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$66.00
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20.00%
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$1,112.50
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11.25%
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$60.50
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10.00%
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$1,112.50
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11.25%
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$57.75
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5.00%
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$1,112.50
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11.25%
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$55.55
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1.00%
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$1,112.50
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11.25%
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$55.00
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0.00%
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$1,112.50
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11.25%
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$52.25
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-5.00%
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$1,112.50
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11.25%
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$49.50
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-10.00%
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$1,112.50
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11.25%
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$46.75
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-15.00%
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$1,112.50
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11.25%
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$46.74
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-15.01%
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$999.88
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-0.01%
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$44.00
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-20.00%
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$941.18
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-5.88%
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$38.50
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-30.00%
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$823.53
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-17.65%
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$33.00
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-40.00%
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$705.88
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-29.41%
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$27.50
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-50.00%
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$588.24
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-41.18%
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$22.00
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-60.00%
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$470.59
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-52.94%
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$16.50
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-70.00%
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$352.94
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-64.71%
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$11.00
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-80.00%
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$235.29
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-76.47%
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$5.50
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-90.00%
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$117.65
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-88.24%
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$0.00
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-100.00%
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$0.00
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-100.00%
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(1) Hypothetical total return on securities at maturity =
hypothetical payment at maturity per security minus $1,000 stated principal amount per security, divided by $1,000 stated
principal amount per security
Example 1—Upside Scenario A. The hypothetical final share
price is $57.75 (a 5.00% increase from the hypothetical initial share price), which is greater than the hypothetical final buffer
price.
Payment at maturity per security = $1,000 + the fixed return amount
= $1,000 + $112.50
= $1,112.50
Because the underlying shares appreciated from the hypothetical initial
share price to the hypothetical final share price, your payment at maturity in this scenario would be equal to the $1,000 stated principal
amount per security plus the fixed return amount, or $1,112.50 per security.
Example 2—Upside Scenario B. The hypothetical final share
price is $82.50 (a 50.00% increase from the hypothetical initial share price), which is greater than the hypothetical final buffer
price.
Payment at maturity per security = $1,000 + the fixed return amount
= $1,000 + $112.50
= $1,112.50
Because the underlying shares appreciated from the hypothetical initial
share price to the hypothetical final share price, your payment at maturity in this scenario would be equal to the $1,000 stated principal
amount per security plus the fixed return amount, or $1,112.50 per security. In this scenario, the fixed return percentage is less than
the appreciation of the underlying shares, and as a result an investment in the securities would underperform a direct investment in the
underlying shares.
Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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Example 3—Upside Scenario C. The hypothetical final share
price is $52.25 (a 5.00% decrease from the hypothetical initial share price), which is greater than the hypothetical final buffer
price.
Payment at maturity per security = $1,000 + the fixed return amount
= $1,000 + $112.50
= $1,112.50
Because the underlying shares depreciated from the hypothetical initial
share price to the hypothetical final share price by less than the 15.00% buffer percentage, your payment at maturity in this scenario
would be equal to the $1,000 stated principal amount per security plus the fixed return amount, or $1,112.50 per security.
Example 4—Downside Scenario A. The hypothetical final share
price is $38.50 (a 30.00% decrease from the hypothetical initial share price), which is less than the hypothetical final buffer
price.
Payment at maturity per security = $1,000 + [$1,000 × the buffer
rate × (the share return + the buffer percentage)]
= $1,000 + [$1,000 × 1.17647 × (-30.00% + 15.00%)]
= $1,000 + -$176.47
= $823.53
Because the underlying shares depreciated from the hypothetical initial
share price to the hypothetical final share price by more than the 15.00% buffer percentage, you would lose more than 1% of the stated
principal amount of your securities for every 1% the underlying shares declined beyond the 15.00% buffer percentage. In this scenario,
the underlying shares depreciated by 30.00% and you would lose approximately 17.65% of the stated principal amount at maturity; therefore,
the securities would provide an effective buffer (which is the difference between the depreciation of the underlying shares and the loss
on the securities) of approximately 12.35%.
Example 5—Downside Scenario B. The hypothetical final share
price is $16.50 (a 70.00% decrease from the hypothetical initial share price), which is less than the hypothetical final buffer
price.
Payment at maturity per security = $1,000 + [$1,000 × the buffer
rate × (the share return + the buffer percentage)]
= $1,000 + [$1,000 × 1.17647 × (-70.00% + 15.00%)]
= $1,000 + -$647.06
= $352.94
Because the underlying shares depreciated from the hypothetical initial
share price to the hypothetical final share price by more than the 15.00% buffer percentage, you would lose more than 1% of the stated
principal amount of your securities for every 1% the underlying shares declined beyond the 15.00% buffer percentage. In this scenario,
the underlying shares depreciated by 70.00% and you would lose approximately 64.71% of the stated principal amount at maturity; therefore,
the securities would provide an effective buffer (which is the difference between the depreciation of the underlying shares and the loss
on the securities) of approximately 5.29%. A comparison of this example with the previous example illustrates the diminishing benefit
of the buffer the greater the depreciation of the underlying shares.
Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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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 the underlying shares. 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 advisers 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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You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount
of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying shares. If the final share
price is less than the final buffer price, you will lose more than 1% of the stated principal amount of your securities for every 1% by
which the underlying shares have depreciated by more than the buffer percentage. You should understand that any decline in the final share
price in excess of the buffer percentage will result in a magnified loss to your investment by the buffer rate, which will progressively
offset any protection that the buffer percentage would offer. The lower the final share price, the less benefit you will receive from
the buffer. There is no minimum payment at maturity, and you may lose up to all of your investment.
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Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited to
the fixed return at maturity of 11.25%. If the underlying shares appreciate by more than the fixed return at maturity, the securities
will underperform a direct investment in the underlying shares. Your return on the securities could underperform a direct investment in
the underlying shares even if the underlying shares appreciate by less than the fixed return at maturity because, unlike a direct investment
in the underlying shares, investors in the securities will not receive any dividends paid on the underlying shares over the term of the
securities.
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The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other amounts
prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
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You will not receive dividends or have any other rights with respect to the underlying shares. You will not receive any dividends
with respect to the underlying shares. This lost dividend yield may be significant over the term of the securities. The payment scenarios
described in this pricing supplement do not show any effect of such lost dividend yield over the term of the securities. In addition,
you will not have voting rights or any other rights with respect to the underlying or the shares of the underlying.
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The payment at maturity on the securities is based on the arithmetic average of the closing price of the underlying shares on the
five final valuation dates. As a result, you are subject to the risk that the closing price of the underlying shares on those five
final valuation dates will result in a less favorable return than you would have received had the final share price been based on the
closing price on other days during the term of the securities. If you had invested in another instrument linked to the underlying shares
that you could sell for full value at a time selected by you, you might have achieved better returns. In addition, because the final share
price is based on the average over the five final valuation dates, your return on the securities may be less favorable than it would have
been if it were based on the closing price of the underlying shares on only one of those five final valuation dates.
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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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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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Citigroup Global Markets Holdings Inc.
|
Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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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) the placement 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 the underlying shares, dividend yields on the underlying
shares and the securities held by the underlying share issuer 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 we will pay to investors in the securities, which do not
bear interest.
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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 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 price and volatility of the underlying shares and a number of other factors, including the
price and volatility of the securities held by the underlying share issuer, the dividend yields on the underlying shares and the securities
held by the underlying share issuer, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness,
as reflected in our secondary market rate. Changes in the price of the underlying shares may not result in a comparable change in the
value of your securities. You should understand that the value of your securities at any time prior to maturity may be significantly less
than the issue price.
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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Our offering of the securities does not constitute a recommendation of the underlying shares by CGMI or its affiliates or by the
placement agents or their affiliates. The fact that we are offering the securities does not mean that we believe, or that the placement
agents or their affiliates believe, that investing in an instrument linked to the underlying shares is likely to achieve favorable returns.
In fact, as we and the placement agents are part of global financial institutions, our affiliates and the placement agents and their affiliates
may have positions (including short positions) in the underlying shares or the securities held by the underlying share issuer or in instruments
related to the underlying shares or such securities, and may publish research or express opinions, that in each case are inconsistent
with an investment linked to the underlying shares. These and other activities of our affiliates or the placement agents or their affiliates
may affect the price of the underlying shares in a way that has a negative impact on your interests as a holder of the securities.
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▪
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The Energy Select Sector SPDR® Fund is subject to concentrated risks associated with the energy sector. The
stocks included in the index underlying the Energy Select Sector SPDR® Fund and that are generally tracked by the Energy
Select Sector SPDR® Fund are stocks of companies whose primary business is directly associated with the energy sector,
including the following two sub-sectors: (i) oil, gas and consumable fuels and (ii) energy equipment and services. Because the securities
are linked to the performance of the Energy Select Sector SPDR® Fund, an investment in the securities exposes investors
to concentrated risks associated with investments in the energy sector.
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Energy companies develop and produce crude oil and natural
gas and/or provide drilling and other energy resources production and distribution related services. Stock prices for these types of companies
are mainly affected by the business, financial and operating conditions of the particular company, as well as changes in prices for oil,
gas and other types of fuels, which in turn largely depend on supply and demand for various energy products and services. Some of the
factors that may influence supply and demand for energy products and services include: general economic conditions and growth rates; weather
conditions; the cost of exploring for, producing and delivering oil and gas; technological advances affecting energy efficiency and energy
consumption; the ability of the Organization of Petroleum Exporting Countries (OPEC) to set and maintain production levels of oil; currency
fluctuations; inflation; natural disasters; civil unrest, acts of sabotage or terrorism; and other regional or global events. The profitability
of energy companies may also be adversely affected by existing and future laws, regulations, government actions and other legal requirements
relating to protection of the environment, health and safety matters and others that may increase the costs of conducting their business
or may reduce or delay available business opportunities. Increased supply or weak demand for energy products and services, as well as
various developments leading to higher costs of doing business or missed business opportunities, would adversely impact the performance
of companies in the energy sector. The value of the securities may be subject to greater volatility and be more adversely affected by
a single economic, political or regulatory occurrence affecting the energy sector or one of the sub-sectors of the energy sector than
a different investment linked to securities of a more broadly diversified group of issuers.
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▪
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The price and performance of the underlying share issuer may not completely track the performance of its underlying index or its
net asset value per share. The underlying share issuer does not fully replicate the underlying index that it seeks to track and may
hold securities different from those included in the ETF underlying index. In addition, the performance of the underlying share issuer
reflect additional transaction costs and fees that are not included in the calculation of its ETF underlying index. All of these factors
may lead to a lack of correlation between the performance of the underlying share issuer and its ETF underlying index. In addition, corporate
actions with respect to the equity securities constituting the underlying share issuer’s ETF underlying index or held by the underlying
share issuer (such as mergers and spin-offs) may impact the variance between the performance of the underlying share issuer and its ETF
underlying index. Finally, because the underlying shares are traded on the NYSE Arca and are subject to market supply and investor demand,
the market value of the underlying share issuer may differ from its net asset value per share.
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During periods of market volatility, securities
underlying the underlying share issuer may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the underlying share issuer and the liquidity of the underlying share issuer may be adversely affected.
This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the underlying share
issuer. Further, market volatility may adversely affect, sometimes materially, the price at which market participants are willing to buy
and sell the underlying share issuer. As a result, under these circumstances, the market value of the underlying share issuer may vary
substantially from its net asset value per share. For all of the foregoing reasons, the performance of the underlying share issuer might
not correlate with the performance of its ETF underlying index and/or its net asset value per share, which could materially and adversely
affect the value of the securities in the secondary market and/or reduce your return on the securities.
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▪
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The price of the underlying shares may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly in
the underlying shares and other financial instruments related to the underlying shares and may adjust such positions over the term of
the securities. Our affiliates and the placement agents and their affiliates also trade the underlying shares and other financial instruments
related to the underlying shares 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 price of the underlying shares
in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates or
the placement agents or their affiliates while the value of the securities declines.
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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▪
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We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours as a result
of our affiliates’ or their business activities. Our affiliates or the placement agents or their affiliates may currently or
from time to time engage in business with the underlying share issuer, including extending loans to, making equity investments in or providing
advisory services to the underlying share issuer. In the course of this business, we or our affiliates or the placement agents or their
affiliates may acquire non-public information about the underlying share issuer, which we and they will not disclose to you. Moreover,
if any of our affiliates or the placement agents or their affiliates is or becomes a creditor of the underlying share issuer, they may
exercise any remedies against the underlying share issuer that are available to them without regard to your interests.
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Even if the underlying share issuer 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 on the underlying shares unless the amount
of the dividend per underlying share, together with any other dividends paid in the same fiscal quarter, exceeds the dividend paid per
underlying share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price of the underlying shares on
the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying shares by the amount of the dividend
per underlying share. If the underlying share issuer 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 could affect the price of the underlying shares. For example, we will
not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above. 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 would not.
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The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence of
a reorganization event or upon the delisting of the underlying shares. For example, if the underlying share issuer enters into a merger
agreement that provides for holders of the underlying shares to receive shares of another entity, the shares of such other entity will
become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally, if the underlying shares
are delisted and or the underlying share issuer is otherwise terminated, the calculation agent may, in its sole discretion, select shares
of another ETF to be the underlying shares. See “Description of the Securities—Certain Additional Terms for Securities Linked
to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments” and “—Delisting, Liquidation
or Termination of an Underlying ETF” in the accompanying product supplement.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur, such as market disruption events, events with respect to the underlying share issuer that may require a dilution
adjustment or the delisting of the underlying shares, 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.
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Changes made by the investment adviser to the underlying share issuer or by the sponsor of the ETF underlying index may adversely
affect the underlying shares. We are not affiliated with the investment adviser to the underlying share issuer or with the sponsor
of the ETF underlying index. Accordingly, we have no control over any changes such investment adviser or sponsor may make to the underlying
share issuer or the ETF underlying index. Such changes could be made at any time and could adversely affect the performance of the underlying
shares.
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The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment
of the securities, the tax consequences of the ownership and disposition of the securities might be materially and adversely affected.
Even if the treatment of the securities as prepaid forward contracts is respected, a security may be treated as a “constructive
ownership transaction,” with potentially adverse consequences described below under “United States Federal Tax Considerations.”
Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities,
possibly retroactively.
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If you are a non-U.S. investor, you should
review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement.
Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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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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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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Information
About the Underlying Shares
The Energy Select Sector SPDR® Fund is an exchange-traded
fund that seeks to provide investment results that, before expenses, correspond generally to the performance of publicly traded equity
securities of companies in the S&P Energy Select Sector Index. The S&P Energy Select Sector Index is intended to provide an indication
of the pattern of common stock price movements of companies that are components of the S&P 500® Index and are involved
in the development or production of energy. The S&P Energy Select Sector Index includes companies in the following two industries:
(i) oil, gas and consumable fuels and (ii) energy equipment and services. The Energy Select Sector SPDR® Fund is managed
by the Select Sector SPDR® Trust, a registered investment company. The Select Sector SPDR® Trust consists
of numerous separate investment portfolios, including the Energy Select Sector SPDR® Fund.
Information provided to or filed with the SEC by the Select Sector SPDR®
Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference
to SEC file numbers 333-57791 and 811-08837, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
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 Energy Select Sector SPDR® Fund trade on the NYSE Arca under the ticker symbol “XLE.”
Please refer to the section “Fund Descriptions— The Select
Sector SPDR® Funds” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Energy Select Sector SPDR®
Fund from publicly available information and have not independently verified any information regarding the Energy Select Sector SPDR®
Fund. This pricing supplement relates only to the securities and not to the Energy Select Sector SPDR® Fund. We make no
representation as to the performance of the Energy Select Sector SPDR® Fund over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Energy Select Sector SPDR® Fund 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 graph below shows the closing prices of the underlying shares for
each day such price was available from January 3, 2011 to July 27, 2021. The table that follows shows the high and low closing prices
of the shares of the Energy Select Sector SPDR® Fund for each quarter in that same period. We obtained the closing prices
from Bloomberg L.P., without independent verification. The closing prices and other information below may be adjusted by Bloomberg, L.P.
for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. You should
not take the historical prices of the shares of the Energy Select Sector SPDR® Fund as an indication of future performance.
Energy Select Sector SPDR® Fund – Historical Closing Prices
January 3, 2011 to July 27, 2021
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Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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Energy Select Sector SPDR® Fund
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High
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Low
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2011
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First Quarter
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$80.01
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$67.78
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Second Quarter
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$80.44
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$70.99
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Third Quarter
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$79.79
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$58.59
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Fourth Quarter
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$73.04
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$56.55
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2012
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First Quarter
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$76.29
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$69.46
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Second Quarter
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$72.42
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$62.00
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Third Quarter
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$76.57
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$64.96
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Fourth Quarter
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$74.94
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$68.59
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2013
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First Quarter
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$79.99
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$72.86
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Second Quarter
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$83.28
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$74.09
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Third Quarter
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$85.30
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$78.83
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Fourth Quarter
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$88.51
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$81.87
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2014
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First Quarter
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$89.06
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$81.89
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Second Quarter
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$101.29
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$88.45
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Third Quarter
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$100.58
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$90.62
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Fourth Quarter
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$88.77
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$73.36
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2015
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First Quarter
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$82.29
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$72.86
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Second Quarter
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$82.94
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$74.64
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Third Quarter
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$74.54
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$59.22
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Fourth Quarter
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$71.40
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$58.78
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2016
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First Quarter
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$63.75
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$51.80
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Second Quarter
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$69.50
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$60.18
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Third Quarter
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$71.80
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$65.27
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Fourth Quarter
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$77.83
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$67.77
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2017
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First Quarter
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$76.17
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$68.24
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Second Quarter
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$70.90
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$63.95
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Third Quarter
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$68.49
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$62.00
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Fourth Quarter
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$72.60
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$67.08
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2018
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First Quarter
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$78.03
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$66.02
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Second Quarter
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$78.91
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$66.06
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Third Quarter
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$77.37
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$71.91
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Fourth Quarter
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$77.79
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$53.84
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2019
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|
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First Quarter
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$67.29
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$57.90
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Second Quarter
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$68.61
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$58.77
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Third Quarter
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$64.44
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$55.85
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Fourth Quarter
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$61.99
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$55.90
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2020
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|
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First Quarter
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$60.87
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$23.57
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Second Quarter
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$46.86
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$27.62
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Third Quarter
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$38.58
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$29.95
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Fourth Quarter
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$41.60
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$27.71
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2021
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|
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First Quarter
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$53.57
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$37.96
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Second Quarter
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$56.19
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$47.07
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Third Quarter (through July 27, 2021)
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$54.81
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$46.96
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The closing price of the underlying shares on July 27, 2021 was $49.26.
Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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United States Federal
Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, which
is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income tax purposes.
By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment.
There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
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·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.
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·
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application of
the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange or retirement
of a security should be long-term capital gain or loss if you held the security for more than one year.
|
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within the
meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain you would otherwise recognize in respect
of your securities would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying long-term capital
gain.” Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated as accruing at a constant
rate over the period you held your securities, and you would be subject to an interest charge in respect of the deemed tax liability on
the income treated as accruing in prior tax years. Due to the lack of governing authority under Section 1260, our counsel is not able
to opine as to whether or how Section 1260 applies to the securities. You should read the section entitled “United States Federal
Tax Considerations—Tax Consequences to U.S. Holders—Potential Application of Section 1260 of the Code” in the accompanying
product supplement for additional information and consult your tax adviser regarding the potential application of the “constructive
ownership” rule.
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta” of one.
Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities should not
be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying
Equity and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend
on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application
of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be required
to pay any additional amounts with respect to amounts withheld.
Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan
of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $12.50 for each security
sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities
and, from the underwriting fee to CGMI, will receive a placement fee of $12.50 for each security they sell in this offering to accounts
other than fiduciary accounts. The amount of the underwriting fee to CGMI will be equal to the placement fee paid to the placement
agents. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary accounts. In
addition to the underwriting fee, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if
the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
CGMI is an affiliate of ours. Accordingly, this offering will conform
with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule 5121 of the
Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment discretion will
not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of the client.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
A portion of the net proceeds from the sale of the securities will be
used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or other of our affiliates.
CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities declines. This hedging
activity could affect the closing price of the underlying shares and, therefore, the value of and your return on the securities. For additional
information on the ways in which our counterparties may hedge our obligations under the securities, see “Use of Proceeds and Hedging”
in the accompanying prospectus.
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 six months following issuance of the securities,
the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated for the securities
on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one or more financial
information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary
upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the term of the securities.
The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the six-month temporary adjustment period.
However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk Factors—The securities
will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and issued
by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor,
such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings
Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this
Citigroup Global Markets Holdings Inc.
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Buffered Digital Notes Based on Shares of the Energy Select Sector SPDR® Fund Due January 31, 2023
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pricing supplement and is limited to the laws of the State of New York,
except that such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed the
legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets
Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc. In addition, this opinion is subject
to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021, which has been filed as an exhibit to
a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been duly authorized, executed and delivered
by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the securities nor the issuance and
delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc.
with the terms of the securities and the related guarantee respectively, will result in a violation of any provision of any instrument
or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by
any court or governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has
duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup Global
Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been duly
authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture and
of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global
Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation
or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws
of the State of New York.
Alexia Breuvart, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all documents submitted to her or such persons
as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the
guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly
existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered
by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination,
she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers
of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents
of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
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