Citigroup Global Markets Holdings Inc.
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October 15, 2021
Medium-Term Senior Notes,
Series N
Pricing Supplement No. 2021-USNCH9267
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos.
333-255302 and 333-255302-03
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551,650 Dual Directional
Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
Overview
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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. 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, equal to or less than the stated
principal amount, depending on the performance of the S&P 500® Index (the “underlying index”) from the
initial index level to the final index level.
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▪
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The securities offer exposure to a limited range of potential appreciation of the underlying index, subject to the maximum upside
return specified below. In addition, if the underlying index depreciates within a limited range (not more than 10.00%), the securities
provide for an unleveraged positive return at maturity based on the absolute value of that depreciation. In exchange for these features,
investors in the securities must be willing to forgo (i) any appreciation of the underlying index in excess of the maximum upside return
specified below, (ii) positive participation in the absolute value of any depreciation in excess of 10.00% and (iii) any dividends that
may be paid on the stocks that constitute the underlying index. In addition, investors in the securities must be willing to accept full
downside exposure to the underlying index if the underlying index depreciates by more than 10.00%. If the underlying index depreciates
by more than 10.00% from the pricing date to the valuation date, you will lose 1% of the stated principal amount of your securities for
every 1% by which the final index level is less than the initial index level. There is no minimum payment at maturity.
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In order to obtain the modified exposure to the underlying index that the securities provide, investors must be willing to accept
(i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities if we and
Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Global Markets
Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying index:
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The S&P 500® Index (ticker symbol: “SPX”)
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Aggregate stated principal amount:
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$5,516,500
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Stated principal amount:
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$10 per security
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Pricing date:
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October 15, 2021
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Issue date:
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October 20, 2021
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Valuation date:
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January 31, 2023, 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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February 3, 2023
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Payment at maturity:
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For each $10 stated principal amount security you hold at maturity:
§ If
the final index level is greater than the initial index level:
$10 + ($10 × the index return),
subject to the maximum upside return
§ If
the final index level is less than or equal to the initial index level but greater than or equal to the trigger level:
$10 + ($10 × the absolute index
return)
§ If
the final index level is less than the trigger level:
$10 + ($10 × the index return)
If the final index level is less than the trigger level, your payment
at maturity will be less, and possibly significantly less, than $9.00 per security. You should not invest in the securities unless you
are willing and able to bear the risk of losing a significant portion of your investment.
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Initial index level:
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4,471.37, the closing level of the underlying index on the pricing date
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Final index level:
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The closing level of the underlying index on the valuation date
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Maximum upside return:
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The maximum upside return will be $1.20 per security (12.00% of the stated principal amount). If the underlying index appreciates, the payment at maturity per security will not exceed $10.00 plus the maximum upside return.
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Absolute index return:
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The absolute value of the index return
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Index return:
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(i) The final index level minus the initial index level, divided by (ii) the initial index level
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Trigger level:
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4,024.233, 90.00% of the initial index level
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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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17329T807 / US17329T8071
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)(2)
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Underwriting fee
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Proceeds to issuer
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Per security:
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$10.00
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$0.175(2)
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$9.775
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$0.05(3)
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Total:
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$5,516,500.00
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$124,121.25
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$5,392,378.75
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(1) On the date of this pricing supplement,
the estimated value of the securities is $9.71 per security, which is less than the issue price. The estimated value of the securities
is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or
other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities
from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and
the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.225 for each $10.00 security
sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management, and their financial advisors will collectively
receive from CGMI a fixed selling concession of $0.175 for each $10.00 security they sell. Additionally, it is possible that CGMI and
its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. See “Use
of Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management
by CGMI of $0.05 for each security.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission
(the “SEC”) 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, each of 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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551,650 Dual Directional Trigger Participation Securities
Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain
events may occur that could affect your payment at maturity. These events and their consequences are described in the accompanying product
supplement in the sections “Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation
Date” and “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance
or Material Modification of an Underlying Index,” and not in this pricing supplement. The accompanying underlying supplement contains
important disclosures regarding the underlying index that are not repeated in this pricing supplement. It is important that you read the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement in
connection with your investment in the securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying
product supplement.
Citigroup Global Markets Holdings Inc.
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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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Investment Summary
The securities can be used:
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§
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As an alternative to direct exposure to the underlying index that provides positive returns,
subject to the maximum upside return, for a limited range of potential appreciation of the underlying index;
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To obtain a positive return for a limited range of negative performance of the underlying index; and
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To potentially outperform the underlying index in a moderately bearish scenario, without taking into
account lost dividend yield.
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If the final index level is less than the trigger
level, the securities are exposed on a 1-to-1 basis to the percentage decline of the final index level from the initial index level. Accordingly,
investors may lose their entire initial investment in the securities.
Maturity:
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Approximately 15 months
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Maximum upside return:
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$1.20 per security (12.00% of the stated principal amount)
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Trigger level:
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90% of the initial index level
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Minimum payment at maturity:
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None. Investors may lose their entire initial investment in the securities.
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Interest:
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None
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Key Investment Rationale
The securities offer the potential
for (i) exposure to the performance of the underlying index if the underlying index appreciates, subject to the maximum upside return,
which will be $1.20 per security, and (ii) if the underlying index depreciates, an unleveraged positive return at maturity equal to the
absolute value of the depreciation of the underlying index, but only so long as the underlying index does not depreciate by more than
10.00%. At maturity, if the underlying index has appreciated from the initial index level to
the final index level, investors will receive the stated principal amount of their investment
plus the upside performance of the underlying index, subject to the maximum upside return. If the underlying index has depreciated,
but not by more than 10.00%, investors will receive the stated principal amount of their investment plus a positive return equal
to the absolute value of the percentage decline, which will effectively be limited to a positive return of 10.00%. However, if
the underlying index has depreciated by more than 10.00% from the initial index level to
the final index level, investors will be negatively exposed to the full amount of the percentage decline in the underlying index
from the initial index level to the final index level and will lose 1% of the stated principal amount for every 1% of that decline. Investors
may lose their entire initial investment in the securities. All payments on the securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
Upside Participation:
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The securities offer 1-to-1 upside exposure to any appreciation of the underlying index within a limited range of positive performance.
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Absolute Return Feature:
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The securities offer the potential for an unleveraged positive return at maturity if the underlying index depreciates, but not by more than 10.00%, so that the final index level is greater than or equal to the trigger level (90.00% of the initial index level)
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Upside Scenario if the Underlying Index Appreciates:
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If the final index level is greater than the initial index level, the payment at maturity for each security will be equal to the $10.00 stated principal amount plus the product of (i) the stated principal amount and (ii) the index return, subject to the maximum upside return of $1.20 per security (12.00% of the stated principal amount).
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Absolute Return Scenario:
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If the final index level is less than or equal to the initial index level but greater than or equal to the trigger level, which means that the underlying index has depreciated by no more than 10.00% from the initial index level, you will receive a 1.00% positive return on the securities for each 1.00% negative return on the underlying index. For example, if the final index level is 5.00% less than the initial index level, the securities will provide a positive return of 5.00% at maturity. The maximum return you may receive in this scenario is a positive 10.00% return at maturity.
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Downside Scenario:
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If the final index level is less than the trigger level, which means that the underlying index has depreciated by more than 10.00% from the initial index level, you will lose 1.00% for every 1.00% decline in the value of the underlying index from the initial index level (e.g., a 50.00% depreciation in the underlying index will result in a payment at maturity of $5.00 per security). There is no minimum payment at maturity on the securities, and investors may lose their entire initial investment.
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Citigroup Global Markets Holdings Inc.
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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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Hypothetical Examples
The diagram below illustrates your payment at maturity for a range of
hypothetical index returns.
Investors in the securities will not receive any dividends on the
stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield over the term
of the securities. See “Summary Risk Factors—Investing in the securities is not equivalent to investing in the underlying
index or the stocks that constitute the underlying index” below.
Dual Directional Trigger Participation
Securities
Payment at Maturity Diagram
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n The Securities
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n The Underlying Index
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The examples below are based on the hypothetical initial index level
of 100.000 and a hypothetical trigger level of 90.000 and do not reflect the actual initial index level. For the actual initial index
level, see the cover page of this pricing supplement. We have used this hypothetical value, rather than the actual value, to simplify
the calculations and aid understanding of how the securities work. However, you should understand that the actual payment at maturity
on the securities will be calculated based on the actual initial index level and not the hypothetical value indicated below. For ease
of analysis, figures below may have been rounded.
Example 1—Upside Scenario A. The hypothetical final index
level is 105.00 (a 5.00% increase from the hypothetical initial index level), which is greater than the hypothetical initial index
level.
Citigroup Global Markets Holdings Inc.
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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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Payment at maturity per security = $10 + ($10
× the index return), subject to the maximum upside return of $1.20 per security
= $10 + ($10 × 5.00%), subject
to the maximum upside return of $1.20 per security
= $10 + $0.50, subject to the
maximum upside return of $1.20 per security
= $10.50
Because the underlying index appreciated
from the hypothetical initial index level to the hypothetical final index level and
the index return is less than the maximum upside return of 12.00%, your payment at maturity in this scenario would be equal to the $10
stated principal amount per security plus the product of (i) the stated principal amount and (ii) the index return, or $10.50 per
security.
Example 2—Upside Scenario B. The hypothetical final index
level is 150.00 (a 50.00% increase from the hypothetical initial index level), which is greater than the hypothetical initial index
level.
Payment at maturity per security = $10 + ($10
× the index return), subject to the maximum upside return of $1.20 per security
= $10 + ($10
× 50.00%), subject to the maximum upside return of $1.20 per security
= $10 + $5.00, subject to the
maximum upside return of $1.20 per security
= $11.20
Because the underlying index appreciated
from the hypothetical initial index level to the hypothetical final index level and the index return is greater than the maximum upside
return of 12.00%, your payment at maturity in this scenario would equal the hypothetical maximum payment at maturity of $11.20 per security.
In this scenario, an investment in the securities would underperform a direct investment in the underlying index.
Example 3—Upside Scenario C. The hypothetical final index
level is 95.00 (a 5.00% decrease from the hypothetical initial index level), which is less than the hypothetical initial index
level but greater than the hypothetical trigger level.
Payment at maturity per security = $10 + ($10 × the absolute index
return)
= $10 + ($10 × |-5.00%|)
=$10 + $0.50
= $10.50
Because the hypothetical final index level is less than the hypothetical
initial index level, but not by more than 10.00%, your payment at maturity in this scenario would reflect 1-to-1 positive exposure to
the absolute value of the negative performance of the underlying index.
Example 4—Downside Scenario. The hypothetical final index
level is 30.00 (a 70.00% decrease from the hypothetical initial index level), which is less than the hypothetical trigger level.
Payment at maturity per security = $10 + ($10 × the index return)
= $10 + ($10 × -70.00%)
= $10 + -$7.00
= $3.00
Because the underlying index depreciated from the hypothetical initial
index level to the hypothetical final index level by more than 10.00%, your payment at maturity in this scenario would reflect 1-to-1
downside exposure to the negative performance of the underlying index.
Citigroup Global Markets Holdings Inc.
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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities that are guaranteed by Citigroup Inc., including the risk that we and Citigroup Inc. may default on our obligations under the
securities, and are also subject to risks associated with the underlying index. Accordingly, the securities are appropriate only for investors
who are capable of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors
as to the risks of an investment in the securities and the appropriateness of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
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§
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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 index. If the final index
level is less than the trigger level, the absolute return feature will not apply and the payout at maturity will be at least 10% less
than the stated principal amount of the securities, and you will lose 1% of the stated principal amount of the securities for every 1%
by which the final index level is less than the initial index level. There is no minimum payment at maturity on the securities, and you
could lose your entire investment.
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§
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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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§
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Your potential return on the securities is limited. If the final index level is greater
than the initial index level, your potential total return on the securities at maturity is limited to the maximum upside return set forth
on the cover page of this pricing supplement. The return on the underlying index from the initial index level to the final index level
may significantly exceed the maximum upside return. Therefore, your return on the securities may be significantly less than the return
you could have achieved on an alternative investment providing 1-to-1 exposure to the appreciation of the underlying index without a maximum
upside return. In addition, your potential for positive participation in the absolute value of any depreciation of the underlying index
is limited. Because the trigger level is equal to 90.00% of the initial index level, the return potential of the securities in the event
that the underlying index depreciates is limited to 10.00%. Any depreciation of the underlying index in excess of 10.00% will result in
a loss, rather than a positive return, on the securities.
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§
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Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the
stocks that constitute the underlying index. As of October 15, 2021, the average dividend
yield of the underlying index was approximately 1.331% per year. While it is impossible to know the future dividend yield of the underlying
index, if this average dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield
of approximately 1.71% (assuming no reinvestment of dividends) by investing in the securities
instead of investing directly in the stocks that constitute the underlying index or in another investment linked to the underlying index
that provides for a pass-through of dividends. The payment scenarios described in this pricing supplement do not show any effect of lost
dividend yield over the term of the securities.
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§
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Your payment at maturity depends on the closing level of the underlying index on a single day. Because your payment at maturity
depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that the closing level
of the underlying index on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of
the securities. If you had invested in another instrument linked to the underlying index that you could sell for full value at a time
selected by you, or if the payment at maturity were based on an average of closing levels of the underlying index, you might have achieved
better returns.
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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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Citigroup Global Markets Holdings Inc.
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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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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 selling concessions and structuring fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
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§
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of the underlying index, dividend yields on the stocks
that constitute the underlying index and interest rates. CGMI’s views on these inputs may differ from your or others’ views,
and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may
prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities
set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities
for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
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§
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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 level and volatility of the underlying index and a number of other factors, including the
price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute the underlying
index, interest rates generally, the time remaining to maturity and our and/or Citigroup Inc.’s creditworthiness, as reflected in
our secondary market rate. Changes in the level of the underlying index may not result in a comparable change in the value of your securities.
You should understand that the value of your securities at any time prior to maturity may be significantly less than the issue price.
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§
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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 does not constitute a recommendation of the underlying index. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying index is likely to achieve favorable
returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the
stocks that constitute the underlying index or in instruments related to the underlying index or such stocks, and may publish
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Citigroup Global Markets Holdings Inc.
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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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research or express opinions, that in each
case are inconsistent with an investment linked to the underlying index. These and other activities of our affiliates may affect the level
of the underlying index in a way that has a negative impact on your interests as a holder of the securities.
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§
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Governmental regulatory actions, such as sanctions, could adversely affect your investment in the securities. Governmental
regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise
restrict persons from holding the securities or underlying shares, or engaging in transactions in them, and any such action could adversely
affect the value of underlying shares. These regulatory actions could result in restrictions on the securities and could result in the
loss of a significant portion or all of your initial investment in the securities, including if you are forced to divest the securities
due to the government mandates, especially if such divestment must be made at a time when the value of the securities has declined.
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§
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The level of the underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly in the
stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks and may adjust
such positions during the term of the securities. Our affiliates also trade the stocks that constitute the underlying index and other
financial instruments related to the underlying index or such stocks on a regular basis (taking long or short positions or both), for
their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These activities could
affect the level of the underlying index in a way that negatively affects the value of the securities. They could also result in substantial
returns for us or our affiliates while the value of the securities declines.
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates may currently or from time to time engage in business with the issuers of the stocks that constitute the underlying
index, including extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this
business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose to you. Moreover, if
any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against any such issuer that are available
to them without regard to your interests.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur, such as market disruption events or the discontinuance of the underlying index, CGMI, as calculation agent, will
be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments, the calculation
agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
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Adjustments to the underlying index may affect the value of your securities. S&P Dow Jones Indices LLC (the “underlying
index publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes
that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time without regard to your interests as holders of the securities.
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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. 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. 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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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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Information About
the S&P 500® Index
The S&P 500® Index consists of the common stocks
of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index is reported by Bloomberg L.P. under the ticker
symbol “SPX.”
“Standard & Poor’s,” “S&P” and
“S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC and have been licensed
for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The S&P U.S. Indices—License
Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for important disclosures
regarding the S&P 500® Index.
Historical Information
The closing level of the underlying index on October 15, 2021 was 4,471.37.
The graph below shows
the closing level of the underlying index for each day such level was available from January 3, 2011 to October 15, 2021. We obtained
the closing levels from Bloomberg L.P., without independent verification. You should not take the historical levels of the underlying
index as an indication of future performance.
S&P 500® Index – Historical Closing Levels
January 3, 2011 to October 15, 2021
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*The red line indicates the trigger level of 4,024.233, equal to 90.00%
of the closing level on October 15, 2021.
Citigroup Global Markets Holdings Inc.
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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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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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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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Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to the difference
between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain or loss if you held
the security for more than one year.
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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.
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.
Citigroup Global Markets Holdings Inc.
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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.225 for each $10.00 security
sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including Morgan Stanley Wealth
Management, and their financial advisors collectively a fixed selling concession of $0.175 for
each $10.00 security they sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security
they sell.
The costs included in the original issue price of the securities will
include a fee paid by CGMI to LFT Securities, LLC, an entity in which an affiliate of Morgan Stanley Wealth Management has an ownership
interest, for providing certain electronic platform services with respect to this offering.
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 level of the underlying index and, therefore, the value of and your return on the securities. For additional
information on the ways in which our counterparties may hedge our obligations under the securities, see “Use of Proceeds and Hedging”
in the accompanying prospectus.
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 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.”
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, 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 &
Citigroup Global Markets Holdings Inc.
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551,650 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due February 3, 2023
Principal at Risk Securities
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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.
© 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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