Citigroup Global Markets Holdings Inc.
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October 15, 2021
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2021—USNCH9313
Filed Pursuant to Rule
424(b)(2)
Registration Statement
Nos. 333-255302 and 333-255302-03
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Callable Fixed to Float
CMS Spread Range Accrual Securities Contingent on the Worst Performing of the Nasdaq-100 Index®, the EURO STOXX®
Banks Index and the S&P 500® Index Due October 21, 2041
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§
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Variable
coupon. The securities will pay interest at a fixed rate specified below for two years following issuance. After
the second year, contingent interest will accrue on the securities during each accrual period at a rate based on the CMS spread described
below, but only for each elapsed day during that accrual period on which the accrual condition is satisfied. The accrual
condition will be satisfied on an elapsed day only if the closing level of each underlying index on that day is greater
than or equal to its accrual barrier level. Accordingly, contingent interest during each accrual period, if any, will depend
on the CMS spread and the level of each underlying index. The amount of interest payable on the securities may be adversely
affected by adverse movements in any one of these variables, regardless of the performance of the others. The securities
may pay low or no interest for extended periods of time or even throughout the entire term after the second year.
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§
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Call
right. We have the right to call the securities for mandatory redemption on any coupon payment date beginning approximately
one year after the issue date.
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§
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Contingent
repayment of principal at maturity. If we do not redeem the securities prior to maturity, your payment at maturity will
depend on the closing level of the worst performing underlying index on the final valuation date. If the closing level
of the worst performing underlying index on the final valuation date is greater than or equal to its final barrier level, you will be
repaid the stated principal amount of your securities at maturity. However, if the closing level of the worst performing underlying
index on the final valuation date is less than its final barrier level, you will lose 1% of the stated principal amount of your securities
for every 1% by which the worst performing underlying index has depreciated from its initial index level. There is no minimum
payment at maturity.
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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. 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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Stated principal amount:
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$1,000 per security
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Underlying indices:
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Underlying indices
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Initial index level*
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Accrual barrier level**
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Final barrier level**
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Nasdaq-100 Index®
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15,146.92
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9,088.152
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9,088.152
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EURO STOXX® Banks Index
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103.45
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62.070
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62.070
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S&P 500® Index
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4,471.37
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2,682.822
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2,682.822
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* For each underlying index, its closing level on the pricing date
** For each underlying index, 60% of its initial index level
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CMS spread:
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On any CMS spread determination date, the 30-year constant maturity swap rate (“CMS30”) minus the 2-year constant maturity swap rate (“CMS2”) on that day. See “Information About the CMS Spread” in this pricing supplement.
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CMS spread determination date:
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For any accrual period commencing on or after October 20, 2023, the second U.S. government securities business day prior to the first day of that accrual period
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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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Final valuation date:
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October 16, 2041, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Maturity date:
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Unless earlier redeemed, October 21, 2041
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Payment at maturity:
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Unless earlier redeemed, at maturity you will receive, for each security
you then hold (in addition to the final coupon payment, if any):
· If
the final index level of the worst performing underlying index is greater than or equal to its final barrier level: $1,000
· If
the final index level of the worst performing underlying index is less than its final barrier level:
$1,000 + ($1,000 × the index return of the worst performing
underlying index)
If the final index level of the worst performing underlying index
is less than its final barrier level, you will have full downside exposure to the negative index return of the worst performing underlying
index and will receive significantly less than the stated principal amount of your securities at maturity. You may lose a significant
portion, and up to all, of your investment.
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Coupon payments:
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On each coupon payment date occurring during the first two years
following issuance of the securities, the securities will pay a fixed coupon of 10.00% per annum, regardless of the CMS spread or the
levels of the underlying indices.
On each coupon payment date after the second year (beginning
in January 2024), you will receive a coupon payment at an annual rate equal to the variable coupon rate for that coupon payment date. The
variable coupon rate for any coupon payment date after the second year will be determined as follows:
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relevant contingent rate per annum ×
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number of accrual
days during the related accrual period
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number of elapsed days during the related accrual period
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Each coupon payment per security will be equal to (i) $1,000 multiplied
by the applicable coupon rate per annum divided by (ii) 4.
If the number of accrual days in a given accrual period is less than
the number of elapsed days in that accrual period, the variable coupon rate for the related coupon payment date will be less than the
full relevant contingent rate, and if there are no accrual days in a given accrual period, the variable coupon rate for the related coupon
payment date will be 0%.
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Relevant contingent rate:
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The relevant contingent rate for any coupon payment date after the second
year following issuance of the securities means:
25.00 × the CMS spread (as of the CMS spread determination date
for the related accrual period), subject to a minimum relevant contingent rate of 0.00% per annum and a maximum relevant contingent rate
of 10.00% per annum.
If the CMS spread for any CMS spread determination date is less than
or equal to 0.00%, the relevant contingent rate for that accrual period will be 0.00% and you will not receive any coupon payment on the
related coupon payment date. The relevant contingent rate will in no event exceed the maximum relevant contingent rate.
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Listing:
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The securities will not be listed on any securities exchange
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee(2)
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Proceeds to issuer(3)
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Per security:
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$1,000
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$50
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$950
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Total:
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$3,078,000
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$153,900
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$2,924,100
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(Key Terms continued on next page)
(1) On the date of this pricing
supplement, the estimated value of the securities is $869.30 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 will receive an underwriting
fee of up to $50 for each security sold in this offering. The total underwriting fee 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.
(3) The per security proceeds
to issuer indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting
fee. As noted above, the underwriting fee is variable.
Investing in the securities involves
risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-7.
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, which can be accessed via the following hyperlinks:
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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KEY TERMS (CONTINUED)
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Coupon payment dates:
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The 21st day of each January, April, July, and October beginning on January 21, 2022, except that the final coupon payment date will be the maturity date (or the earlier date on which we redeem the securities, if applicable)
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Accrual period:
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For each coupon payment date after the second year following issuance of the securities, the period from and including the immediately preceding coupon payment date to but excluding such coupon payment date
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Accrual day:
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An elapsed day on which the accrual condition is satisfied
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Elapsed day:
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Calendar day
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Accrual condition:
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The accrual condition will be satisfied on an elapsed day if, and only if, the closing level of each underlying index is greater than or equal to its accrual barrier level on that elapsed day. For purposes of determining whether the accrual condition is satisfied on any elapsed day, if the closing level of any underlying index is not available for any reason on that day (including weekends and holidays), the closing level of such underlying index will be assumed to be the same as on the immediately preceding elapsed day (subject to the discussion in the section “Description of the Securities—Terms Related to the Underlying Index—Discontinuance or Material Modification of the Underlying Index” in the accompanying product supplement). In addition, for all elapsed days from and including the fourth-to-last day that is a scheduled trading day for each underlying index in an accrual period to and including the last elapsed day of that accrual period, the closing levels of the underlying indices will not be observed and will be assumed to be the same as on the elapsed day immediately preceding such unobserved days.
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Worst performing underlying index:
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The underlying index with the lowest index return
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Final index level:
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For each underlying index, its closing level on the final valuation date
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Index return:
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For each underlying index, (i) its final index level minus its initial index level, divided by (ii) its initial index level
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Early redemption:
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We have the right to redeem the securities, in whole and not in part, on any coupon payment date on or after October 21, 2022 upon not less than five business days’ notice for an amount in cash equal to 100% of the stated principal amount of your securities plus the coupon payment due on the date of redemption, if any.
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CUSIP / ISIN:
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17329U3D1 / US17329U3D13
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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 the amount of any variable coupon payment you receive and your payment at maturity. These events and
their consequences are described in the accompanying product supplement in the sections “Description of the Securities—Terms
Related to the Underlying Index—Discontinuance or Material Modification of the Underlying Index” and “Description of
the Securities—Terms Related to the Underlying Index—Consequences of a Market Disruption Event; Postponement of the Final
Valuation Date,” and not in this pricing supplement. In addition, the accompanying underlying supplement contains important
disclosures regarding the underlying indices 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.
Although the accompanying product supplement contemplates only a single
underlying index, the securities are linked to three underlying indices. Each of the provisions in the accompanying product
supplement referring to the underlying index shall apply separately to each of the underlying indices to which the securities are linked.
Postponement of the final valuation date. If the scheduled
final valuation date is not a scheduled trading day for any underlying index or if a market disruption event occurs with respect to any
underlying index on the scheduled final valuation date, the final valuation date will be subject to postponement as described in the accompanying
product supplement in the section “Description of the Securities—Terms Related to the Underlying Index—Consequences
of a Market Disruption Event; Postponement of the Final Valuation Date.” If the scheduled final valuation date is postponed,
the closing level of each underlying index in respect of the final valuation date will be determined based on (i) for any underlying index
for which the originally scheduled final valuation date is a scheduled trading day and as to which a market disruption event does not
occur on the originally scheduled final valuation date, the closing level of such underlying index on the originally scheduled final valuation
date and (ii) for any other underlying index, the closing level of such underlying index on the final valuation date as postponed (or,
if earlier, the first scheduled trading day for such underlying index following the originally scheduled final valuation date on which
a market disruption event did not occur with respect to such underlying index).
Citigroup Global Markets Holdings Inc.
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Hypothetical Examples
Variable Coupon
Payments
The sections below provide examples
of how the variable coupon payments on the securities will be determined. The first section, “—Determining the Hypothetical
Relevant Contingent Rate,” provides a limited number of hypothetical examples of how the relevant contingent rate for any accrual
period will be determined based on hypothetical CMS spread values, as determined on the second U.S. government securities business day
prior to the beginning of the applicable accrual period. The second section, “—Determining the Hypothetical Variable Coupon
Rates and Variable Coupon Payments,” provides a limited number of hypothetical examples of how the coupon payments on the securities
will be determined based on a limited number of hypothetical relevant contingent interest rates and a limited number of hypothetical accrual
days during a hypothetical accrual period. The figures below have been rounded for ease of analysis.
Determining
the Hypothetical Relevant Contingent Rate
The table below presents examples
of hypothetical relevant contingent rates based on various hypothetical CMS spread values.
Example
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Hypothetical CMS Spread*
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Hypothetical Relevant Contingent Rate per Annum**
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1
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-1.00%
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0.00%
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2
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-0.80%
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0.00%
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3
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-0.60%
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0.00%
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4
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-0.40%
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0.00%
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5
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-0.20%
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0.00%
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6
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0.00%
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0.00%
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7
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0.10%
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2.50%
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8
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0.20%
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5.00%
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9
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0.30%
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7.50%
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10
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0.40%
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10.00%
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11
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0.50%
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10.00%
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12
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0.60%
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10.00%
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13
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0.80%
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10.00%
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14
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1.00%
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10.00%
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15
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1.20%
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10.00%
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16
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1.40%
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10.00%
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17
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1.60%
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10.00%
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18
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1.80%
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10.00%
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19
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2.00%
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10.00%
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20
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2.20%
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10.00%
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21
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2.40%
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10.00%
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22
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2.60%
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10.00%
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_______________________________
* Hypothetical
CMS spread = (CMS30 – CMS2), where CMS30 and CMS2 are determined on the second U.S. government securities business day prior to
the beginning of the applicable accrual period.
** Hypothetical
relevant contingent rate per annum for the accrual period = 25.00 × hypothetical CMS spread, subject to a minimum of 0.00% and a
maximum of 10.00% per annum.
Determining the Hypothetical
Variable Coupon Rates and Variable Coupon Payments
The
tables below present examples of the hypothetical variable coupon rate and hypothetical variable coupon payments after the second year
following issuance of the securities based on the number of accrual days in a particular accrual period and different assumptions about
the CMS spread. For illustrative purposes only, the tables assume an accrual period that contains 90 elapsed days and that
the securities have not previously been redeemed. The actual coupon payment for any coupon payment date after the second year
will depend on the actual number of accrual days and elapsed days during the related accrual period and the actual CMS spread on the CMS
spread determination date for that accrual period. The variable coupon rate for each accrual period will apply only to that
accrual period.
Citigroup Global Markets Holdings Inc.
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Assuming
the CMS spread is 0.10% on the applicable CMS spread determination date:
Hypothetical Number of Accrual Days in Accrual Period*
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Hypothetical Relevant Contingent Rate per Annum**
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Hypothetical Variable Coupon Rate per Annum***
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Hypothetical Variable Coupon Payment per Security****
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0
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2.50%
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0.000%
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$0.00
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15
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2.50%
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0.417%
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$1.04
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30
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2.50%
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0.833%
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$2.08
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45
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2.50%
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1.250%
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$3.13
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60
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2.50%
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1.667%
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$4.17
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75
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2.50%
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2.083%
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$5.21
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90
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2.50%
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2.500%
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$6.25
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Assuming
the CMS spread is 2.00% on the applicable CMS spread determination date:
Hypothetical Number of Accrual Days in Accrual Period*
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Hypothetical Relevant Contingent Rate per Annum**
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Hypothetical Variable Coupon Rate per Annum***
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Hypothetical Variable Coupon Payment per Security****
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0
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10.00%
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0.000%
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$0.00
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15
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10.00%
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1.667%
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$4.17
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30
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10.00%
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3.333%
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$8.33
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45
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10.00%
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5.000%
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$12.50
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60
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10.00%
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6.667%
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$16.67
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75
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10.00%
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8.333%
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$20.83
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90
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10.00%
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10.000%
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$25.00
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Assuming
the CMS spread is 0.00% on the applicable CMS spread determination date:
Hypothetical Number of Accrual Days in Accrual Period*
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Hypothetical Relevant Contingent Rate per Annum**
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Hypothetical Variable Coupon Rate per Annum***
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Hypothetical Variable Coupon Payment per Security****
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0
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0.00%
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0.000%
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$0.00
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15
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0.00%
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0.000%
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$0.00
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30
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0.00%
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0.000%
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$0.00
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45
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0.00%
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0.000%
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$0.00
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60
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0.00%
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0.000%
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$0.00
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75
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0.00%
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0.000%
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$0.00
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90
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0.00%
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0.000%
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$0.00
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_______________________________
*
An accrual day is an elapsed day on which the accrual condition is satisfied (i.e., on which the closing level of each underlying index
is greater than or equal to its accrual barrier level)
**
The hypothetical relevant contingent rate is equal to 25.00 × CMS spread (as of the CMS spread determination date for the related
accrual period), subject to a minimum of 0.00% and a maximum of 10.00% per annum
***
The hypothetical variable coupon rate per annum is equal to (i) the hypothetical relevant contingent rate per annum multiplied by
(ii) (a) the hypothetical number of accrual days in the related accrual period, divided by (b) 90
****
The hypothetical variable coupon payment per security is equal to (i) $1,000 multiplied by the hypothetical variable coupon rate
per annum, divided by (ii) 4
Citigroup Global Markets Holdings Inc.
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Payment at Maturity
The diagram below illustrates your payment at maturity for a range of
hypothetical index returns of the worst performing underlying index (excluding the final coupon payment, if any, and assuming we do not
redeem the securities prior to maturity).
Callable Fixed to Float Range
Accrual Securities
Payment at Maturity Diagram
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Your actual payment at maturity per security, excluding the final coupon
payment, if any, will depend on the actual initial index level, the actual final barrier level and the actual final index level of the
worst performing underlying index. The examples below are intended to illustrate how your payment at maturity will depend on
whether the final index level of the worst performing underlying index is greater than or less than its final barrier level and, if less,
how much less. The examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction
of what the actual payment at maturity on the securities will be.
The examples below are based on hypothetical initial index levels of
100 and hypothetical final barrier levels of 60 and do not reflect the actual initial index levels or final barrier levels. For
the actual initial index levels and final barrier levels, see the cover page of this pricing supplement. We have used these
hypothetical levels, rather than the actual levels, 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 levels
and final barrier levels, and not these hypothetical levels.
Example 1—Par Scenario A.
Underlying Index
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Hypothetical Initial Index Level
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Hypothetical Final Barrier Level
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Hypothetical Final Index Level
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Hypothetical Index Return
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Nasdaq-100 Index®
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100
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60
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150
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50%
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EURO STOXX® Banks Index
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100
|
60
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110
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10%
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S&P 500® Index
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100
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60
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120
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20%
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In this example, the EURO STOXX® Banks Index is the worst
performing underlying index. Its hypothetical final index level is 110 (a 10% increase from its hypothetical initial index level), which
is greater than its hypothetical final barrier level.
Citigroup Global Markets Holdings Inc.
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Payment at maturity per security = $1,000 (excluding the final coupon
payment, if any)
Because the final index level of the worst performing underlying index
is greater than its final barrier level, you would be repaid the stated principal amount of your securities in this example. Even
though each of the underlying indices have appreciated from their respective initial index levels in this example, you would not participate
in the appreciation of any underlying index.
Example 2—Par Scenario B.
Underlying Index
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Hypothetical Initial Index Level
|
Hypothetical Final Barrier Level
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Hypothetical Final Index Level
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Hypothetical Index Return
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Nasdaq-100 Index®
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100
|
60
|
90
|
-10%
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EURO STOXX® Banks Index
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100
|
60
|
120
|
20%
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S&P 500® Index
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100
|
60
|
80
|
-20%
|
In this example, the S&P 500® Index is the worst
performing underlying index. Its hypothetical final index level is 80 (a 20% decrease from its hypothetical initial index level), which
is greater than its hypothetical final barrier level.
Payment at maturity per security = $1,000 (excluding the final coupon
payment, if any)
Because the worst performing underlying index did not depreciate from
its hypothetical initial index level to its hypothetical final index level by more than 40% (that is, it did not depreciate below its
hypothetical final barrier level), your payment at maturity in this scenario would be equal to the $1,000 stated principal amount per
security (excluding the final coupon payment, if any).
Example 3—Downside Scenario.
Underlying Index
|
Hypothetical Initial Index Level
|
Hypothetical Final Barrier Level
|
Hypothetical Final Index Level
|
Hypothetical Index Return
|
Nasdaq-100 Index®
|
100
|
60
|
30
|
-70%
|
EURO STOXX® Banks Index
|
100
|
60
|
80
|
-20%
|
S&P 500® Index
|
100
|
60
|
90
|
-10%
|
In this example, the Nasdaq-100 Index® is the worst performing
underlying index. Its hypothetical final index level is 30 (a 70% decrease from its hypothetical initial index level), which is less than
its hypothetical final barrier level. As a result, your payment at maturity (excluding the final coupon payment, if any) would be calculated
as follows:
Payment at maturity per security = $1,000 + ($1,000 × the index
return of the worst performing underlying index)
= $1,000 + ($1,000 × -70%)
= $1,000 + -$700
= $300
Because the worst performing underlying index depreciated from its hypothetical
initial index level to its hypothetical final index level by more than 40% (that is, it depreciated below its hypothetical final barrier
level), your payment at maturity in this scenario would reflect 1-to-1 exposure to the negative performance of the worst performing underlying
index from its initial index level to its final index level.
Citigroup Global Markets Holdings Inc.
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Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional
debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the
securities, and are also subject to risks associated with CMS30, CMS2 and each of the underlying indices. Accordingly, the
securities are suitable only for investors who are capable of understanding the complexities and risks of the securities. You
should consult your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the
securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the accompanying
product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and
in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report
on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
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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 worst performing underlying index. If we do not redeem the securities prior to maturity, you may receive significantly
less than the stated principal amount of the securities at maturity, but in no circumstance will you receive more than the stated principal
amount of the securities (excluding the final coupon payment, if any). If the final index level of the worst performing underlying index
is less than its final barrier level, you will lose 1% of the stated principal amount of the securities for every 1% by which the final
index level of the worst performing underlying index is less than its initial index level. There is no minimum payment at maturity on
the securities, and you may lose up to all of your investment.
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|
§
|
The barrier feature of the securities exposes you to particular risks.
If the final index level of the worst performing underlying index is less than its final barrier level, you will not be repaid the stated
principal amount of your securities at maturity and instead will lose 1% of the stated principal amount of the securities for every 1%
by which the final index level of the worst performing underlying index is less than its initial index level. Therefore, the securities
offer no protection at all if the worst performing underlying index depreciates by more than 40% from its initial index level to its final
index level. As a result, you may lose your entire investment in the securities.
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The securities offer a variable coupon rate after the second year following
issuance, and you may not receive any coupon payment on one or more coupon payment dates. Any variable coupon payment you
receive will be paid at a per annum rate equal to the relevant contingent rate for the applicable coupon payment date only if the
accrual condition is satisfied on each elapsed day during the related accrual period. The accrual condition will be
satisfied on any elapsed day only if the closing level of each underlying index on that elapsed day is greater than or equal
to its respective accrual barrier level. If, on any elapsed day during an accrual period, the accrual condition is not satisfied,
the applicable variable coupon payment will be paid at a rate that is less, and possibly significantly less, than the relevant contingent
rate. If, on each elapsed day during an accrual period, the accrual condition is not satisfied, no variable coupon payment
will be made on the related coupon payment date. Accordingly, there can be no assurance that you will receive a variable coupon
payment on any coupon payment date or that any variable coupon payment you do receive will be calculated at the full relevant contingent
rate. Furthermore, because the relevant contingent rate is a floating rate determined by reference to the CMS spread, the securities
are subject to a contingency associated with the CMS spread. The relevant contingent rate will vary based on fluctuations in
the CMS spread. If the CMS spread narrows, the relevant contingent rate will be reduced. The relevant contingent
rate may be as low as zero for any coupon payment date. If the relevant contingent rate is zero for any coupon payment date,
you will not receive any variable coupon payment on that coupon payment date even if the accrual condition is satisfied on each elapsed
day in the related accrual period. Thus, the securities are not a suitable investment for investors who require regular fixed
income payments.
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The relevant contingent rate may decline, possibly
to 0.00%, if short-term interest rates rise. Although there is no single factor that determines CMS spreads, CMS spreads
have historically tended to fall when short-term interest rates rise. Short-term interest rates have historically been highly
sensitive to the monetary policy of the Federal Reserve Board. Accordingly, one significant risk assumed by investors in the
securities is that the Federal Reserve Board may pursue a policy of raising short-term interest rates, which, if historical patterns hold,
would lead to a decrease in the CMS spread. In that event, the relevant contingent rate would be reduced, and may be 0.00%,
and the floating rate payable on the securities would also decline significantly, possibly to 0.00%. It is important to understand,
however, that short-term interest rates are affected by many factors and may increase even in the absence of a Federal Reserve Board policy
to increase short-term interest rates. Furthermore, it is important to understand that the CMS spread may decrease even in
the absence of an increase in short-term interest rates because it, too, is influenced by many complex factors.
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The relevant contingent rate on the securities
may be lower than other market interest rates. The relevant contingent rate on the securities will not necessarily move
in line with general U.S. market interest rates or even CMS rates and, in fact, may move inversely with general U.S. market interest rates.
For example, if there is a general increase in CMS rates but shorter-term rates rise more than longer-term rates, the CMS spread will
decrease, as will the relevant contingent rate. Accordingly, the securities are not appropriate for investors who seek floating
interest payments based on general market interest rates.
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The relevant contingent rate on the securities
is subject to a cap. As a result, the securities may pay interest at a lower rate than an alternative instrument that is
not so capped.
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The higher potential yield offered by the securities is associated with
greater risk than conventional debt securities. The securities offer coupon payments with the potential to result in a
higher yield than the yield on our conventional debt securities of the
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same maturity. You should understand that, in
exchange for this potentially higher yield, you will be exposed to significantly greater risks than investors in our conventional debt
securities (guaranteed by Citigroup Inc.). These risks include the risk that the variable coupon payments you receive, if any,
will result in a yield on the securities that is lower, and perhaps significantly lower, than the yield on our conventional debt securities
of the same maturity that are guaranteed by Citigroup Inc., and the risk that you will incur a significant loss on the securities at maturity. The
volatility of the CMS spread and each of the underlying indices, and the correlation between the underlying indices and between the CMS
spread and each underlying index, are important factors affecting this risk. Greater expected volatility and/or lower expected
correlation as of the pricing date may contribute to the higher yield potential, but would also represent a greater expected likelihood
as of the pricing date that, after the second year, you will receive low or no coupon payments on the securities and that you would incur
a significant loss on the securities at maturity.
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The securities are subject to risks associated with the CMS spread and
each of the underlying indices and may be negatively affected by adverse movements in any one of these variables, regardless
of the performance of the others. The amount of any variable coupon payments you receive will depend on the performance
of the CMS spread and each of the underlying indices. If the CMS spread is low or zero,
causing the relevant contingent rate to be low or zero, the securities will pay a low or no coupon even if the closing levels of
the underlying indices are consistently greater than their respective accrual barrier levels. Conversely, even if the CMS spread
is high, causing the relevant contingent rate to be high, the securities will pay no coupon if the closing level of any of the underlying
indices is consistently less than its respective accrual barrier level. Moreover, if the closing level of any one of the underlying
indices is less than its respective accrual barrier level, the accrual condition will not be satisfied, and no interest will accrue on
the securities, even if the closing levels of the other underlying indices are significantly greater than their accrual barrier levels. Accordingly,
you will be subject to risks associated with the CMS spread and each of the underlying indices, and your return on the securities will
depend significantly on the relationship between such risks over the term of the securities. If any one performs sufficiently
poorly, you may receive low or no variable coupon payments for an extended period of time, or even throughout the entire period following
the second year of the term of the securities, even if the others perform favorably. Furthermore, if the final index level
of one underlying index is less than its final barrier level, you will incur a significant loss at maturity, even if the final index levels
of the other underlying indices are greater than their respective final barrier levels.
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The variable coupon payments and the payment at maturity depend on multiple
variables, and you are therefore exposed to greater risks of receiving no variable coupon payments after the second year, and to a greater
risk of loss at maturity, than if the securities were linked to just one variable. The risk that you will receive no variable
coupon payment on one or more coupon payment dates after the second year, and the risk that you will incur a significant loss at maturity,
is greater if you invest in the securities as opposed to substantially similar securities that are linked to the performance of just one
variable. With multiple variables, it is more likely that the securities will accrue low or no interest during an accrual period,
or that you will not be repaid the stated principal amount of your securities at maturity, than if payments on the securities were contingent
on only one variable.
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The securities will be subject to risks associated with the CMS spread. The
relevant contingent rate for any coupon payment date after the second year following issuance of the securities will depend on the CMS
spread as of the CMS spread determination date for the related accrual period.
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The relevant contingent rate will not depend on the absolute
level of either CMS30 or CMS2, but rather on the relationship between CMS30 and CMS2—specifically, whether CMS30 is greater than
CMS2. Many factors affect CMS30 and CMS2, such that future values of CMS30 and CMS2 and their relationship are impossible to
predict. If the CMS spread for any CMS spread determination date is less than or equal to 0.00%, the relevant contingent rate
for that accrual period will be 0.00% and you will not receive any coupon payment on the related coupon payment date.
Although there is no single factor that determines the CMS
spread, the CMS spread has historically tended to fall when short-term interest rates rise. As with CMS rates, short-term interest rates
are influenced by many complex factors, and it is impossible to predict their future performance. However, historically short-term interest
rates have been highly sensitive to the monetary policy of the Federal Reserve Board. Accordingly, one significant risk assumed by investors
in the securities is that the Federal Reserve Board may pursue a policy of raising short-term interest rates, which, if historical patterns
hold, would lead to a decrease in the CMS spread, possibly to a level that is below 0.00%. It is important to understand that, although
the policies of the Federal Reserve Board have historically had a significant influence on short-term interest rates, short-term interest
rates are affected by many factors and may increase even in the absence of a Federal Reserve Board policy to increase short-term interest
rates. For example, short-term interest rates tend to rise when there is a worsening of the perceived creditworthiness of the banks that
participate in the interest rate swap and London interbank markets and when there is a worsening of general economic and credit conditions.
Furthermore, it is important to understand that the CMS spread may decrease even in the absence of an increase in short-term interest
rates because it, too, is influenced by many complex factors. Another circumstance when the CMS spread has historically tended
to fall and become negative is when the market expects an economic recession. Accordingly, another significant risk assumed
by investors in the securities is that the market may anticipate a recession or that there may be a recession.
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The securities may be called for mandatory redemption
at our option after the first year of their term, which limits your ability to receive coupon payments if the CMS spread and the underlying
indices perform favorably. In determining whether to redeem the securities, we will consider various factors, including then current
market interest rates and our expectations about payments we will be required to make on the securities in the future. If we call the
securities for mandatory redemption, we will do so at a time that is advantageous to us and without regard to your interests. We are more
likely to redeem the securities at a time when the CMS spread and underlying indices are performing favorably from your perspective and
when we expect them to continue to do so. Therefore, although the securities offer coupon payments with the potential to result in a higher
yield than the yield on our conventional debt securities of the same maturity, if the securities are paying that higher yield and we expect
them to continue to do so, it is more likely that we would redeem the securities. Accordingly, the redemption feature of the securities
is likely to limit the benefits you receive from
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Citigroup Global Markets Holdings Inc.
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the coupon payments.
If we exercise our redemption right prior to maturity, you may not be able to reinvest your funds in another investment that provides
a similar yield with a similar level of risk. Alternatively, if the CMS spread and/or an underlying index is performing unfavorably from
your perspective or when we expect it to do so in the future, we are less likely to call the securities, so that you may continue to hold
securities paying below-market or no interest for an extended period of time.
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The closing levels of the underlying indices will not be observed on certain
days and will be assumed to be the same as on earlier days, which will cause certain days to have a greater weight in determining the
variable coupon rate. With respect to an elapsed day on which the closing level of an underlying index is not available,
the closing level of such underlying index for that day will be deemed to be the same as on the immediately preceding elapsed day on which
the level is available. In addition, for purposes of determining whether the accrual condition is satisfied, for all elapsed
days from and including the fourth-to-last day that is a scheduled trading day for each underlying index in an accrual period to and including
the last elapsed day of that accrual period, the closing levels of the underlying indices will not be observed and will be assumed to
be the same as on the elapsed day immediately preceding such unobserved days. The relative weighting of the applicable preceding
elapsed day will be magnified for purposes of determining whether such elapsed day qualifies as an accrual day. Under these circumstances,
if the applicable preceding elapsed day is not an accrual day, each successive day on which the closing level of that underlying index
is not observed will also not qualify as an accrual day. As a result, to the extent that such preceding elapsed day is not an accrual
day, such preceding elapsed day will have a greater weight in determining the number of accrual days during an accrual period. This could
adversely affect the amount of any variable coupon payment.
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The return on the securities will be limited. The return
on the securities will be limited to the sum of your coupon payments, even if the closing level of an underlying index greatly exceeds
its initial index level at one or more times during the term of the securities. The maximum possible return on the securities
after the second year is the maximum relevant contingent rate indicated on the cover of this pricing supplement, which would be achieved
only if (i) the relevant contingent rate is the maximum relevant contingent rate for each accrual period, (ii) the closing level of each
underlying index is greater than or equal to its accrual barrier level on each elapsed day during the term of the securities after the
second year and (iii) the final index level of the worst performing underlying index is greater than or equal to its final barrier level.
Although you will bear the downside risk relating to the worst performing underlying index if the worst performing underlying index depreciates
below its final barrier level on the final valuation date, you will not receive the dividend yield on, or share in any appreciation of,
any underlying index over the term of the securities.
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You may not be adequately compensated for assuming the downside risks of
the underlying indices. The fixed coupon payments during the first two years following issuance of the securities and the variable
coupon payments you receive on the securities, if any, after the second year are the compensation you receive for assuming the downside
risks of the underlying indices, as well as all the other risks of the securities. That compensation is effectively “at risk”
and may, therefore, be less than you currently anticipate. First, the actual yield you realize on the securities could be lower than you
anticipate because the coupon payments after the second year are variable and you may not receive any variable coupon payment after the
second year. Second, the fixed coupon payments during the first two years following issuance of the securities and the variable coupon
payments, if any, after the second year are the compensation you receive not only for assuming the downside risk of the underlying indices,
but also for all of the other risks of the securities, including interest rate risk, the risk that we may call the securities and our
and Citigroup Inc.’s credit risk. If those other risks increase or are otherwise greater than you currently anticipate,
the coupon payments may turn out to be inadequate to compensate you for all the risks of the securities, including the downside risk of
the underlying indices.
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Your payment at maturity depends on the closing level of the worst performing
underlying index on a single day. Because your payment at maturity (assuming we do not redeem the securities prior to maturity) depends
on the closing level of the worst performing underlying index solely on the final valuation date, you are subject to the risk that the
closing level of the worst performing 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 worst performing 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 worst performing underlying index, you might have achieved better returns.
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The securities are subject to the credit risk of Citigroup Global Markets
Holdings Inc. and Citigroup Inc. If we default on our obligations under the securities and Citigroup Inc. defaults on its guarantee
obligations, you may not receive anything owed to you under the securities.
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The securities will not be listed on any securities exchange and you may
not be able to sell them prior to maturity. The securities will not be listed on any securities exchange. Therefore, there may be
little or no secondary market for the securities. CGMI currently intends to make a secondary market in relation to the securities and
to provide an indicative bid price for the securities on a daily basis. Any indicative bid price for the securities provided by CGMI will
be determined in CGMI’s sole discretion, taking into account prevailing market conditions and other relevant factors, and will not
be a representation by CGMI that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and
providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there
may be no secondary market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to
buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
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The securities may be riskier than securities with a shorter term. The
securities have a relatively long term to maturity, subject to our right to call the securities for mandatory redemption prior to maturity. By
purchasing securities with a longer term, you are more exposed to fluctuations in market interest rates and equity markets than if you
purchased securities with a shorter term. Specifically, you will be negatively affected if the CMS spread decreases or if the
closing levels of the underlying indices fall below their respective accrual barrier levels. If either (i) the CMS spread decreases to
a value that is equal to or less than 0.00% per annum or (ii) the closing
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level of any of the underlying indices is less than its accrual
barrier level on each day during an entire accrual period, you will be holding a long-dated security that does not pay any coupon.
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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 paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates
in connection with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI
or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the economic
terms of the securities because, if they were lower, the economic terms of the securities would be more favorable to you. The economic
terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market
rate, to price the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary
market rate” below.
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The estimated value of the securities was determined for us by our affiliate
using proprietary pricing models. CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its
proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such as the
volatility of the underlying indices and the CMS spread, the correlation among the underlying indices and the CMS spread, dividend yields
on the stocks that constitute the underlying indices and interest rates. CGMI’s views on these inputs may differ from
your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the
models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our
affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest in
the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective
of the initial estimated value.
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The estimated value of the securities would be lower if it were calculated
based on our secondary market rate. The estimated value of the securities included in this pricing supplement is calculated based
on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the securities. Our internal
funding rate is generally lower than our secondary market rate, which is the rate that CGMI will use in determining the value of the securities
for purposes of any purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement
were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with conventional
debt securities, and our liquidity needs and preferences. Our internal funding rate is not the same as the coupon that is payable on the
securities.
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Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject
to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure
of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted
for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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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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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
indices and the CMS spread and a number of other factors, including the dividend yields on the stocks that constitute the underlying indices,
expectations of future values of the CMS spread, interest rates generally, the positive or negative correlation among the CMS spread and
the underlying indices, the time remaining to maturity of the securities and our and Citigroup Inc.’s creditworthiness, as reflected
in our secondary market rate. Changes in the levels of the CMS spread and/or the underlying indices may not result in a comparable change
in the value of your securities. You should understand that the value of your securities at any time prior to maturity may be significantly
less than the issue price.
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Immediately following issuance, any secondary market bid price provided
by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary
upward adjustment. The amount of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period.
See “Valuation of the Securities” in this pricing supplement.
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The relationship between CMS30 and CMS2 may be different than the relationship
between CMS rates of different maturities. The relevant contingent rate may be lower than it would be if it were based
on a CMS rate with a longer maturity than 30 years or a shorter maturity than 2 years.
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CMS30 and CMS2 will be affected by a number of factors and may be highly
volatile. CMS30 and CMS2 are influenced by many factors, including:
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the monetary policies of the Federal Reserve Board;
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current market expectations about future interest rates;
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current market expectations about inflation;
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the volatility of the foreign exchange markets;
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the availability of relevant hedging instruments;
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the perceived general creditworthiness of the banks that participate in the
interest rate swap market and the London interbank loan market; and
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general credit and economic conditions in global markets, and particularly
in the United States.
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As a result of these factors, CMS30 and CMS2 may be highly
volatile. Because CMS30 and CMS2 are market rates and are influenced by many factors, it is impossible to predict the future values of
CMS30 and CMS2.
The CMS spread will be influenced by a number of complex
economic factors, including those that affect CMS rates generally. However, the CMS spread depends not on how the relevant economic factors
affect any one CMS rate or even CMS rates generally, but rather on how those factors affect CMS rates of different maturities (i.e., CMS30
and CMS2) differently.
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The manner in which CMS rates are calculated may change in the future. The
method by which CMS rates are calculated may change in the future, as a result of governmental actions, actions by the publisher of CMS
rates or otherwise. We cannot predict whether the method by which CMS rates are calculated will change or what the impact of
any such change might be. Any such change could affect CMS rates in a way that has a significant adverse effect on the securities.
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The EURO STOXX® Banks Index is
subject to risks associated with non-U.S. markets. Investments linked to the value of non-U.S. stocks involve risks associated with
the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets
and cross-shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies
in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC. Further, non-U.S.
companies are generally subject to accounting, auditing and financial reporting standards and requirements and securities trading rules
that are different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws. Moreover, the economies in such countries may differ favorably or unfavorably from the economy of the United
States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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The performance of the EURO STOXX®
Banks Index will not be adjusted for changes in the exchange rate between the euro and the U.S. dollar. The closing level of the EURO
STOXX® Banks Index is calculated in euro, the value of which may be subject to a high degree of fluctuation relative to
the U.S. dollar. However, the performance of the EURO STOXX® Banks Index and the value of your securities will not be adjusted
for exchange rate fluctuations. If the euro appreciates relative to the U.S. dollar over the term of the securities, the performance of
the EURO STOXX® Banks Index as measured for purposes of the securities will be less than it would have been if it offered
exposure to that appreciation in addition to the change in the prices of the stocks included in the EURO STOXX® Banks Index.
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The EURO STOXX® Banks Index is
subject to concentrated risks associated with the banking industry. All or substantially all of the equity securities included in
the EURO STOXX® Banks Index are issued by companies whose primary line of business is directly associated with the banking
industry. As a result, 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 this industry than a different investment linked to securities of a more broadly diversified
group of issues. The performance of bank stocks may be affected by extensive governmental regulation, which may limit both the amounts
and types of loans and other financial commitments they can make, the interest rates and fees they can charge and the amount of capital
they must maintain. Profitability is largely dependent on the availability and cost of capital funds and can fluctuate significantly when
interest rates change. Credit losses resulting from financial difficulties of borrowers can negatively impact banking companies. Banks
may also be subject to severe price competition. Competition among banking companies is high and failure to maintain or increase market
share may result in lost market share. The factors could affect the banking industry and could affect the value of the equity securities
included in the EURO STOXX® Banks Index during the term of the securities, which may adversely affect the value of your
securities.
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Our offering of the securities is not a recommendation of the CMS spread
or the underlying indices. The fact that we are offering the securities does not mean that we believe that investing in
an instrument linked to the CMS spread and the underlying indices 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 indices or in instruments related to the CMS spread or the underlying indices or such stocks, and may publish research or express
opinions, that in each case are inconsistent with an investment linked to the CMS spread and the underlying indices. These
and other activities of our affiliates may affect the CMS spread or the levels of the underlying indices in a way that has a negative
impact on your interests as a holder of the securities.
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Investing in the securities is not equivalent to investing in any of the
underlying indices or the stocks that constitute any of the underlying indices. You will not have voting rights, rights to receive
dividends or other distributions or any other rights with
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respect to the stocks that constitute any of the underlying
indices. You will not participate in any appreciation of any of the underlying indices over the term of the securities.
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Adjustments to any underlying index may affect the value of your securities. The
sponsors of the underlying indices may add, delete or substitute the stocks that constitute the underlying indices or make other methodological
changes that could affect the levels of the underlying indices. The sponsors of the underlying indices may discontinue or suspend calculation
or publication of the underlying indices at any time without regard to your interests as a holder of the securities.
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Since August 2019, CMS30 and CMS2 have not been published on a significant
number of scheduled publication days. If CMS30 or CMS2 is not published and at least three reference bank quotations are not
provided, the relevant CMS rate will be determined by the calculation agent. Since August 2019, ICE Benchmark Administration
Limited has not published CMS30 and CMS2 on a significant number of scheduled publication days. For example, in March and April
2020, CMS30 and CMS2 were not published on any of the scheduled publication days. It is possible that such non-publication
may continue and that the frequency of non-publication may increase. If, with respect to any CMS spread determination date
during the term of the securities, CMS30 or CMS2 is not published and at least three reference bank quotations are not provided as further
described under “Information About the CMS Spread” in this pricing supplement, the relevant CMS rate will be determined by
the calculation agent in good faith and in a commercially reasonable manner. As a result, any such increase in the frequency
of non-publication may increase the likelihood that CMS30 or CMS2 for one or more CMS spread determination dates will be so determined
by the calculation agent. See also “—The calculation agent, which is an affiliate of ours, will make important
determinations with respect to the securities.”
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Uncertainty about the future of LIBOR may affect CMS rates in a way that
adversely affects the return on and the value of the securities. A CMS rate is a market rate for the fixed leg of a fixed-for-floating
interest rate swap, where the floating leg is based on 3-month U.S. dollar LIBOR. As a result, CMS rates are significantly
influenced by 3-month U.S. dollar LIBOR and expectations about future levels of 3-month U.S. dollar LIBOR. On March 5, 2021,
the U.K. Financial Conduct Authority (the “FCA”), which regulates LIBOR, announced that 3-month U.S. dollar LIBOR will either
cease to be provided by any administrator or no longer be representative after June 30, 2023. It is impossible to predict whether and
to what extent banks will continue to provide LIBOR submissions to the administrator of LIBOR, whether LIBOR rates will cease to be published
or supported before or after June 30, 2023 or whether any additional reforms to LIBOR may be enacted in the United Kingdom or elsewhere. It
is also impossible to predict the impact of any LIBOR-related developments on the method of calculation or the values of CMS rates. At
this time, no consensus exists as to what rate or rates may become accepted alternatives to LIBOR, including for purposes of the interest
rate swaps underlying CMS rates, and it is impossible to predict the effect of any such alternatives on the value of securities, such
as the securities, that are linked to CMS rates. Any changes to 3-month U.S. dollar LIBOR or the calculation of CMS rates,
and any uncertainty at what these changes may be, may affect CMS rates in a way that adversely affects your return on and value of the
securities.
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CMS rates and the levels of the underlying indices 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 interest rate swaps that are used to determine CMS rates and/or
in stocks that constitute the underlying indices and other financial instruments related to such interest rate swaps, the underlying indices
or such stocks and may adjust such positions during the term of the securities. Our affiliates also trade the interest rate
swaps that are used to determine CMS rates and the stocks that constitute the underlying indices and other financial instruments related
to such interest rate swaps, the underlying indices 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 CMS rates and/or the levels of the underlying indices 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 indices, including extending loans to, making equity investments in or providing
advisory services to such issuers. In the course of this business, we or our affiliates may acquire non-public information
about such issuers, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of any such
issuer, they may exercise any remedies against such issuer that are available to them without regard to your interests.
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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 an underlying index or a CMS rate, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly
affect your return on the securities. Any of these determinations made by Citibank, N.A. in its capacity as calculation agent
may adversely affect any variable interest payment owed to you under the securities or the amount paid to you at maturity.
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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 described in
“United States Federal Tax Considerations” below. 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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Non-U.S. investors should note that persons having withholding
responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally at a rate of 30%. To
the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
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.
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Information About the CMS Spread
The “CMS spread” on any day is equal to the 30-year constant
maturity swap rate (“CMS30”) minus the 2-year constant maturity swap rate (“CMS2”) on that day. We
refer to each of CMS30 and CMS2 as a “CMS rate”.
At any time, each CMS rate is a market rate for the fixed leg of a conventional
fixed-for-floating U.S. dollar interest rate swap entered into at that time with the relevant maturity (30 years for CMS30 and 2 years
for CMS2). A conventional fixed-for-floating U.S. dollar interest rate swap is an agreement between two parties to exchange
payment streams in U.S. dollars over a given period of time, where one party pays a fixed rate (the “fixed leg”) and the other
party pays a floating rate that is reset periodically based on 3-month U.S. dollar LIBOR (the “floating leg”). For example,
CMS30 at any given time is a market rate for the fixed leg of a fixed-for-floating U.S. dollar interest rate swap with a maturity of 30
years and a floating rate reset periodically based on 3-month U.S. dollar LIBOR. 3-month U.S. dollar LIBOR is a measure of the rate at
which banks lend U.S. dollars to each other for a period of 3 months in the London interbank market.
The relevant contingent rate is based on the CMS spread, on not on the
absolute level of either CMS30 or CMS2. The relevant contingent rate for any coupon payment date after the second year following
issuance of the securities will depend on the CMS spread as of the CMS spread determination date for the related accrual period. If the
CMS spread for any CMS spread determination date is less than or equal to 0.00%, the relevant contingent rate for that accrual period
will be 0.00% and you will not receive any coupon payment on the related coupon payment date.
The CMS spread is a measure of the difference, or spread, between two
CMS rates of different maturities. The spread between two CMS rates of different maturities may be affected by numerous complex
economic factors. It is not possible to predict whether the spread will be positive or negative at any time in the future. Investors
in the securities are taking the risk that the spread between CMS30 and CMS2 will be zero or negative, meaning that CMS30 is equal to
or less than CMS2.
Although there is no single factor that determines CMS spreads, CMS
spreads have historically tended to fall when short-term interest rates rise. As with CMS rates, short-term interest rates are influenced
by many complex factors, and it is impossible to predict their future performance. However, historically short-term interest rates have
been highly sensitive to the monetary policy of the Federal Reserve Board. Accordingly, one significant risk assumed by investors in the
securities is that the Federal Reserve Board may pursue a policy of raising short-term interest rates, which, if historical patterns hold,
would lead to a decrease in the CMS spread, possibly to a level that is below 0.00%. It is important to understand that, although the
policies of the Federal Reserve Board have historically had a significant influence on short-term interest rates, short-term interest
rates are affected by many factors and may increase even in the absence of a Federal Reserve Board policy to increase short-term interest
rates. For example, short-term interest rates tend to rise when there is a worsening of the perceived creditworthiness of the banks that
participate in the interest rate swap and London interbank markets and when there is a worsening of general economic and credit conditions.
Furthermore, it is important to understand that the CMS spread may decrease even in the absence of an increase in short-term interest
rates because it, too, is influenced by many complex factors. Another circumstance when the CMS spread has historically tended
to fall and become negative is when the market expects an economic recession. Accordingly, another significant risk assumed
by investors in the securities is that the market may anticipate a recession or that there may be a recession.
Determination of a CMS Rate
A CMS rate of a given maturity on any date of determination is the rate
for U.S. dollar interest rate swaps with that maturity (i.e., 30 years in the case of CMS30 and 2 years in the case of CMS2) appearing
on Reuters page “ICESWAP1” (or any successor page as determined by the calculation agent) as of 11:00 a.m. (New York City
time) on that date of determination.
If, however, the applicable CMS rate is not published on Reuters page
“ICESWAP1” (or any successor page as determined by the calculation agent) on any U.S. government securities business day on
which such CMS rate is required, then the calculation agent will request mid-market semi-annual swap rate quotations from the principal
New York City office of five leading swap dealers in the New York City interbank market (the “reference banks”) at approximately
11:00 a.m., New York City time, on that day. For this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered
rates for the semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. dollar interest rate swap transaction
with the applicable maturity, commencing on that day and in a representative amount with an acknowledged dealer of good credit in the
swap market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to U.S. dollar LIBOR with a designated
maturity of three months. If at least three quotations are provided, the applicable CMS rate for that day will be the arithmetic mean
of the quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or,
in the event of equality, one of the lowest). If fewer than three quotations are provided as requested, the applicable CMS
rate will be determined by the calculation agent in good faith and using its reasonable judgment.
A “U.S. government securities business day” means any day
that is not a Saturday, a Sunday or a day on which The Securities Industry and Financial Markets Association’s U.S. holiday schedule
recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities.
CMS rates are calculated by ICE Benchmark Administration Limited based
on tradable quotes for U.S. dollar fixed-for-floating interest rate swaps with the applicable maturity that are sourced from electronic
trading venues.
Discontinuance of a CMS Rate
If the calculation and publication of a CMS rate is permanently canceled,
then the calculation agent may identify an alternative rate that it determines, in its sole discretion, represents the same or a substantially
similar measure or benchmark as the applicable CMS rate, and the calculation agent may deem that rate (the “successor CMS rate”)
to be the applicable CMS rate. Upon the selection of any successor CMS rate by the calculation agent pursuant to this paragraph,
references in this pricing supplement to the original CMS rate will no longer be deemed to refer to the original CMS rate and will be
deemed instead to refer to that successor CMS rate for all purposes. In such event,
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the calculation agent will make such adjustments, if any, to any value
of the applicable CMS rate that is used for purposes of the securities as it determines are appropriate in the circumstances. Upon
any selection by the calculation agent of a successor CMS rate, the calculation agent will cause notice to be furnished to us and the
trustee.
If the calculation and publication of a CMS rate is permanently canceled
and no successor CMS rate is chosen as described above, then the calculation agent will calculate the value of the applicable CMS rate
on each subsequent date of determination in good faith and using its reasonable judgment. Such value, as calculated by the
calculation agent, will be the relevant CMS rate for all purposes.
Notwithstanding these alternative arrangements, the cancellation of
a CMS rate may adversely affect coupon payments on, and the value of, the securities.
Historical Information
The rate for CMS30 at 11:00 a.m. (New York time) on October 14, 2021
was 1.792%. The rate for CMS2 at 11:00 a.m. (New York time) on October 14, 2021 was 0.494%. As a result, the CMS
spread on October 14, 2021 was 1.298%.
The graph below shows the daily value of the CMS spread from January
3, 2011 to October 14, 2021. For days on which CMS30 or CMS2 was not published
by Reuters, the graph repeats the CMS spread from the last scheduled publication date on which both CMS30 and CMS2 were published by Reuters.
Since August 2019, CMS30 and CMS2 have not been published on a significant number of scheduled publication days. We obtained
the values below from Bloomberg L.P., without independent verification. You should not take the historical values of the CMS
spread as an indication of the future values of the CMS spread during the term of the securities.
Historical CMS Spread (%)
January 3, 2011 to October 14, 2021
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Information About the Nasdaq-100
Index®
The Nasdaq-100 Index® is a modified market capitalization-weighted
index of stocks of the 100 largest non-financial companies listed on the Nasdaq Stock Market. All stocks included in the Nasdaq-100 Index®
are traded on a major U.S. exchange. The Nasdaq-100 Index® was developed by the Nasdaq Stock Market, Inc. and is calculated,
maintained and published by Nasdaq, Inc.
Please refer to the section “Equity Index Descriptions—
The NASDAQ-100 Index®” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Nasdaq-100 Index®
from publicly available information and have not independently verified any information regarding the Nasdaq-100 Index®.
This pricing supplement relates only to the securities and not to the Nasdaq-100 Index®. We make no representation as to
the performance of the Nasdaq-100 Index® 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 Nasdaq-100 Index® is not involved in any way in this offering
and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing level of the Nasdaq-100 Index® on October
15, 2021 was 15,146.92.
The graph below shows the closing level of the Nasdaq-100 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 closing levels of the Nasdaq-100 Index® as an indication of
future performance.
Nasdaq-100 Index® — Historical Closing Levels
January 3, 2011 to October 15, 2021
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Information About the EURO STOXX® Banks
Index
The EURO STOXX®
Banks Index includes companies in the banks supersector within the STOXX® Europe 600 Index, which tracks companies providing
a broad range of financial services, including retail banking, loans and money transmissions. The STOXX Europe 600® Supersector
indices contain the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX® Banks Index
is calculated and maintained by STOXX Limited.
Please refer to the section “Equity
Index Descriptions—The STOXX Benchmark Indices—The STOXX® Europe 600 Supersector Indices and the EURO STOXX®
Supersector Indices” in the accompanying underlying supplement for additional information.
We have derived all information
regarding the EURO STOXX® Banks Index from publicly available information and have not independently verified any information
regarding the EURO STOXX® Banks Index. This pricing supplement relates only to the securities and not to the EURO STOXX®
Banks Index. We make no representation as to the performance of the EURO STOXX® Banks Index 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 EURO STOXX® Banks Index
is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing level of the EURO
STOXX® Banks Index on October 15, 2021 was 103.45.
The graph below shows the closing
level of the EURO STOXX® Banks 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 closing levels of
the EURO STOXX® Banks Index as an indication of future performance.
EURO STOXX® Banks Index — Historical Closing Levels
January 3, 2011 to October 15, 2021
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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.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the S&P 500®
Index from publicly available information and have not independently verified any information regarding the S&P 500®
Index. This pricing supplement relates only to the securities and not to the S&P 500® Index. We make no representation
as to the performance of the S&P 500® Index 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 S&P 500® Index is not involved in any way in this offering
and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing level of the S&P 500® Index on October
15, 2021 was 4,471.37.
The graph below shows the closing level of the S&P 500®
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 closing levels of the S&P 500® 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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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.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information
reporting requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions,
this treatment of the securities is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively
that this treatment is more likely than not to be upheld, and that alternative treatments are possible.
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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Any coupon payments on the securities should be taxable as ordinary income
to you at the time received or accrued in accordance with your regular method of accounting for U.S. federal income tax purposes.
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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. For
this purpose, the amount realized does not include any coupon paid on retirement and may not include sale proceeds attributable to an
accrued coupon, which may be treated as a coupon payment. 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.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold
on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a rate of 30%. To the
extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities, we intend to so withhold. In
order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to establish
that you are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should consult
your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any amounts withheld
and the certification requirement described above.
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.
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.
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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 up to $50 for each security sold in this offering. The actual underwriting fee will be equal to the selling concession provided
to selected dealers, as described in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI
a variable selling concession of up to $50 for each security they sell. For the avoidance of doubt, the fees and selling concessions described
in this pricing supplement will not be rebated if the securities are redeemed prior to maturity.
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 CMS30 or CMS2 or the closing levels of the underlying indices 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 twelve 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 twelve-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 & 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
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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.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
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