This Amended and Restated Pricing Supplement
No. 2021-USNCH9244 is being filed to revise the total underwriting fees and proceeds to issuer.
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Citigroup Global Markets Holdings Inc.
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October
18, 2021
Medium-Term
Senior Notes, Series N
Amended
and Restated Pricing Supplement No. 2021–USNCH9244
Filed
Pursuant to Rule 424(b)(3)
Registration
Statement Nos. 333-255302 and 333-255302-03
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Callable
Fixed to Floating Rate Leveraged CMS Spread Notes Due October 20, 2031
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§
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The
notes offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed
by Citigroup Inc. The notes will bear interest at a fixed rate for one year and, thereafter, will bear interest at a floating rate based
on the CMS spread, subject to the maximum interest rate specified below. The CMS spread is the 30-year constant maturity swap rate (“CMS30”)
minus the 5-year constant maturity swap rate (“CMS5”) and will be reset quarterly. The notes offer an above-market
fixed interest rate in the first year. Thereafter, however, interest payments on the notes will vary based on fluctuations in the CMS
spread and may be as low as 1% per annum.
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§
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We may call the notes for mandatory redemption on any interest payment date
beginning one year after issuance.
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§
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Investors in the notes 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 notes if we and Citigroup Inc. default on our
obligations. All payments on the notes 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 notes are fully and unconditionally guaranteed by Citigroup Inc.
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Aggregate
stated principal amount:
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$625,000
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Stated
principal amount:
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$1,000 per note
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Pricing
date:
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October 18, 2021
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Issue
date:
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October 20, 2021
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Maturity
date:
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Unless earlier called by us, October 20, 2031
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Payment
at maturity:
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At maturity, unless we have earlier called the notes, you will receive for each note you then hold an amount in cash equal to $1,000 plus any accrued and unpaid interest
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Interest:
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§ During
each interest period from and including the issue date to but excluding October 20, 2022, the notes will bear interest at a fixed rate
of 4.00% per annum
§ During
each interest period commencing on or after October 20, 2022, the notes will bear interest at a floating rate equal to (i) 3.5 times
(ii) the CMS spread, as determined on the interest determination date for that interest period, subject to a maximum interest rate
of 8.00% per annum and a minimum interest rate of 1.00% per annum
After the first year of the term of the notes, interest payments
will vary based on fluctuations in the CMS spread. After the first year, the notes may pay a below-market rate for an extended period
of time, or even throughout the entire remaining term.
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CMS
spread:
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On any interest determination date, CMS30 minus CMS5, each as determined on that interest determination date
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Interest
determination date:
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For any interest period commencing on or after October 20, 2022, the second U.S. government securities business day prior to the first day of that interest period
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Interest
period:
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Each three-month period from and including an interest payment date (or the issue date, in the case of the first interest period) to but excluding the next interest payment date
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Interest
payment dates:
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The 20th day of each January, April, July and October, beginning on January 20, 2022 and ending on the maturity date or, if applicable, the date when the notes are redeemed
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Call
right:
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We may call the notes, in whole and not in part, for mandatory redemption on any interest payment date beginning on October 20, 2022, upon not less than five business days’ notice. Following an exercise of our call right, you will receive for each note you then hold an amount in cash equal to $1,000 plus any accrued and unpaid interest.
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Listing:
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The notes will not be listed on any securities exchange
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CUSIP
/ ISIN:
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17329QXR6 / US17329QXR63
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting
fee and issue price:
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Issue price(1)(2)
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Underwriting fee(3)
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Proceeds to issuer(3)
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Per
note:
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$1,000.00
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$15.00
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$985.00
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Total:
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$625,000.00
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$9,375.00
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$615,625.00
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(1) On the date of this pricing supplement,
the estimated value of the notes is $955.60 per note, which is less than the issue price. The estimated value of the notes 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 notes from you
at any time after issuance. See “Valuation of the Notes” in this pricing supplement.
(2) The issue price for eligible institutional
investors and investors purchasing the notes in fee-based advisory accounts will vary based on then-current market conditions and the
negotiated price determined at the time of each sale; provided, however, that the issue price for such investors will not be less than
$985.00 per note and will not be more than $1,000 per note. The issue price for such investors reflects a forgone selling concession
or underwriting fee with respect to such sales as described in footnote (3) below. See “Supplemental Plan of Distribution”
in this pricing supplement.
(3) CGMI will receive an underwriting
fee of up to $15.00 per note, and from such underwriting fee will allow selected dealers a selling concession of up to $15.00 per note
depending on market conditions that are relevant to the value of the notes at the time an order to purchase the notes is submitted to
CGMI. Dealers who purchase the notes for sales to eligible institutional investors and/or to investors purchasing the notes in fee-based
advisory accounts may forgo some or all selling concessions, and CGMI may forgo some or all of the underwriting fee for sales it makes
to eligible institutional investors and/or to investors purchasing the notes in fee-based advisory accounts. The per note underwriting
fee in the table above represents the maximum underwriting fee payable per note. The total underwriting fee and proceeds to issuer in
the table above give effect to the actual total proceeds to issuer. You should refer to “Supplemental Plan of Distribution”
in this pricing supplement for more information. 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 notes declines. See “Use of Proceeds and Hedging” in the accompanying
prospectus.
Investing in the notes involves risks
not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-3.
Neither the Securities
and Exchange Commission nor any state securities commission has approved or disapproved of the notes or determined that this pricing
supplement and the accompanying product supplement, prospectus supplement and prospectus is truthful or complete. Any representation
to the contrary is a criminal offense.
You
should read this pricing supplement together with the accompanying product supplement, prospectus
supplement and prospectus, which can be accessed via the following hyperlinks:
Product Supplement No. IE-07-06 dated May 11, 2021 Prospectus Supplement and Prospectus each dated May 11, 2021
The
notes 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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Callable Fixed to Floating Rate Leveraged CMS Spread Notes Due October 20, 2031
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Additional Information
General. The terms of the notes 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, for
complete information about the manner in which interest payments on the notes will be calculated and paid, you should read the section
“Description of the Notes” in the accompanying product supplement together with the information in this pricing supplement.
It is important that you read the accompanying product supplement, prospectus supplement and prospectus together with this pricing supplement
in connection with your investment in the notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying
product supplement.
No Survivor’s Option. For the avoidance of doubt, the notes
offered hereby are not survivor’s option notes and the provisions related to survivor’s option notes in the accompanying product
supplement are not applicable.
Business Day Convention. Notwithstanding what is otherwise provided
in the accompanying product supplement, if an interest payment date falls on a day that is not a business day (as defined in the accompanying
product supplement), the interest payment to be made on that interest payment date will be made on the next succeeding business day. Such
payment will have the same force and effect as if made on that interest payment date, and no interest will accrue as a result of delayed
payment.
Hypothetical Examples
The table below presents examples of hypothetical quarterly interest
payments after the first year of the term of the notes based on various hypothetical CMS spread values.
As illustrated below, if the CMS spread is greater than approximately
2.286% (given that the CMS spread will be multiplied by 3.5 on the applicable interest determination date), the floating rate of
interest for the related interest period will be limited to the maximum interest rate of 8.00% per annum and you will not receive any
interest in excess of that maximum per annum rate.
The examples are for purposes of illustration only and have been rounded
for ease of analysis. The actual interest payments after the first year of the term of the notes will depend on the actual value of the
CMS spread on each interest determination date. The applicable interest rate for each interest period will be determined on a per annum
basis but will apply only to that interest period.
Hypothetical CMS Spread(1)
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Hypothetical Interest Rate per Annum(2)
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Hypothetical Quarterly Interest Payment per Note(3)
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-1.0000%
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1.00%
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$2.50
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-0.8000%
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1.00%
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$2.50
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-0.6000%
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1.00%
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$2.50
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-0.4000%
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1.00%
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$2.50
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-0.2000%
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1.00%
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$2.50
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0.0000%
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1.00%
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$2.50
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0.2000%
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1.00%
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$2.50
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0.4000%
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1.40%
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$3.50
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0.6000%
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2.10%
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$5.25
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0.8000%
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2.80%
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$7.00
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1.0000%
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3.50%
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$8.75
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1.2000%
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4.20%
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$10.50
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1.4000%
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4.90%
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$12.25
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1.6000%
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5.60%
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$14.00
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1.8000%
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6.30%
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$15.75
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2.0000%
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7.00%
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$17.50
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2.2000%
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7.70%
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$19.25
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2.4000%
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8.00%
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$20.00
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2.6000%
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8.00%
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$20.00
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2.8000%
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8.00%
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$20.00
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3.0000%
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8.00%
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$20.00
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_______________________________
(1) Hypothetical CMS spread = (CMS30 –
CMS5), where CMS30 and CMS5 are each determined on the second U.S. government securities business day prior to the beginning of
the applicable interest period.
(2) Hypothetical interest rate per annum
for the interest period = 3.5 × (the CMS spread), subject to the maximum interest rate and the minimum interest rate.
(3) Hypothetical quarterly interest payment
per note = (i) the stated principal amount of $1,000 multiplied by the applicable interest rate per annum divided by (ii)
4.
Citigroup Global Markets Holdings Inc.
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Callable Fixed to Floating Rate Leveraged CMS Spread Notes Due October 20, 2031
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Summary Risk Factors
An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes 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 notes, and are
also subject to risks associated with fluctuations in the CMS spread. Accordingly, the notes are suitable only for investors who are capable
of understanding the complexities and risks of the notes. You should consult your own financial, tax and legal advisors as to the risks
of an investment in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the notes
contained in the section “Risk Factors Relating to the Notes” beginning on page IE-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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§
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After the first year, the notes will pay interest at a floating rate that
may be as low as 1% per annum on one or more interest payment dates. The floating interest payments on the notes will vary based
on fluctuations in the CMS spread. If the CMS spread narrows, interest payments on the notes will be reduced. The CMS spread is influenced
by many complex economic factors and is impossible to predict. After the first year, it is possible that the notes will pay a below-market
rate for an extended period of time, or even throughout the entire remaining term of the notes. Although the notes provide for the repayment
of the stated principal amount at maturity, you may nevertheless suffer a loss on your investment in the notes, in real value terms, if
you receive below-market interest payments after the first year of the term of the notes.
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§
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The notes may pay below-market interest 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 notes 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 floating rate payable on the
notes may decline significantly. 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. See “About Constant Maturity Swap Rates” in the accompanying product supplement.
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§
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The floating interest rate on the notes may be lower than other market
interest rates. The floating interest rate on the notes 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, as described in the preceding risk factor.
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 floating rate payable on the notes. Accordingly, the notes are not appropriate for investors who seek floating interest
payments based on general market interest rates.
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§
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The interest rate on the notes is subject to a cap. As a result, the
notes may pay interest at a lower rate than an alternative instrument that is not so capped.
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§
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The notes may be called for mandatory redemption at our option beginning
one year after issuance, which will limit your potential to benefit from favorable CMS spread performance. If we call the notes, we
will do so at a time that is advantageous to us and without regard to your interests. We are more likely to call the notes at a time when
the CMS spread is performing favorably from your perspective and we expect it to continue to do so. Accordingly, our call right may limit
your potential to receive above-market interest payments. Conversely, when the CMS spread is performing unfavorably from your perspective
or when we expect it to do so in the future, we are less likely to call the notes, so that you may continue to hold notes paying below-market
interest for an extended period of time. If we call the notes, you may have to reinvest the proceeds in a lower interest rate environment.
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§
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The notes are subject to the credit risk of Citigroup Global Markets Holdings
Inc. and Citigroup Inc. If we default on our obligations under the notes and Citigroup Inc. defaults on its guarantee obligations,
you may not receive anything owed to you under the notes.
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§
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Secondary market sales of the notes may result in a loss of principal.
You will be entitled to receive at least the full stated principal amount of your notes, subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc., only if you hold the notes to maturity or until the date when the notes are redeemed. The value
of the notes may fluctuate, and if you sell your notes in the secondary market prior to maturity or the date when the notes are redeemed,
you may receive less than your initial investment.
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The notes are riskier than notes with a shorter term. The notes are
relatively long-dated, subject to our call right. Because the notes are relatively long-dated, many of the risks of the notes are heightened
as compared to notes with a shorter term, because you will be subject to those risks for a longer period of time. In addition, the value
of a longer-dated note is typically less than the value of an otherwise comparable note with a shorter term.
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Citigroup Global Markets Holdings Inc.
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Callable Fixed to Floating Rate Leveraged CMS Spread Notes Due October 20, 2031
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§
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The notes will not be listed on any securities exchange and you may not
be able to sell them prior to maturity. The notes will not be listed on any securities exchange. Therefore, there may be little or
no secondary market for the notes. CGMI currently intends to make a secondary market in relation to the notes and to provide an indicative
bid price for the notes on a daily basis. Any indicative bid price for the notes 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 notes 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
notes because it is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly,
an investor must be prepared to hold the notes until maturity.
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§
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The difference between CMS30 and CMS5 may not be as great as the difference
between CMS30 and a CMS rate with a shorter maturity. The floating interest payments on the notes may be less than they would be if
the notes were linked to the spread between CMS30 and a CMS rate with a shorter maturity than 5 years.
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§
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The estimated value of the notes 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 notes that are included in the issue price. These costs include (i) the selling
concessions paid in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection
with the offering of the notes 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 notes. These costs adversely affect the economic terms of the notes because, if they
were lower, the economic terms of the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely
affected by the use of our internal funding rate, rather than our secondary market rate, to price the notes. See “The estimated
value of the notes would be lower if it were calculated based on our secondary market rate” below.
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§
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The estimated value of the notes 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 CMS spread and interest rates. CGMI’s views on these inputs and assumptions 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 notes. Moreover, the estimated value of the notes set forth
on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the notes for other
purposes, including for accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead,
you should be willing to hold the notes to maturity irrespective of the initial estimated value.
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§
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The estimated value of the notes would be lower if it were calculated based
on our secondary market rate. The estimated value of the notes 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 notes. 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 notes for purposes
of any purchases of the notes 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 notes, 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 interest that is payable on the
notes.
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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
notes, 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 notes prior to maturity. Our internal funding
rate is not an interest rate that we will pay to investors in the notes.
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§
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The estimated value of the notes is not an indication of the price, if
any, at which CGMI or any other person may be willing to buy the notes from you in the secondary market. Any such secondary market
price will fluctuate over the term of the notes 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 notes 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 notes than if our internal funding rate
were used. In addition, any secondary market price for the notes will be reduced by a bid-ask spread, which may vary depending on the
aggregate stated principal amount of the notes 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 notes will be less than the issue price.
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§
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The value of the notes prior to maturity will fluctuate based on many unpredictable
factors. The value of your notes prior to maturity will fluctuate based on the level and volatility of the CMS spread and a number
of other factors, including expectations of future levels of CMS30 and CMS5, the level of general market interest rates, the time remaining
to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. You should understand that
the value of your notes at any time prior to maturity may be significantly less than the issue price.
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§
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Immediately following issuance, any secondary market bid price provided
by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary
upward adjustment. The
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Citigroup Global Markets Holdings Inc.
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Callable Fixed to Floating Rate Leveraged CMS Spread Notes Due October 20, 2031
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amount of this temporary upward adjustment
will steadily decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing supplement.
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§
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Our offering of the notes does not constitute a recommendation to invest
in an instrument linked to the CMS spread. You should not take our offering of the notes as an expression of our views about how the
CMS spread will perform in the future or as a recommendation to invest in any instrument linked to the CMS spread, including the notes.
As we are part of a global financial institution, our affiliates may, and often do, have positions (including short positions), and may
publish research or express opinions, that in each case conflict with an investment in the notes. You should undertake an independent
determination of whether an investment in the notes is suitable for you in light of your specific investment objectives, risk tolerance
and financial resources.
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§
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The manner in which CMS rates are calculated may change in the future.
The method by which CMS30 and CMS5 are calculated may change in the future, as a result of governmental actions, actions by the publisher
of CMS30 and CMS5 or otherwise. We cannot predict whether the method by which CMS30 or CMS5 is calculated will change or what the impact
of any such change might be. Any such change could affect the level of the CMS spread in a way that has a significant adverse effect on
the notes.
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§
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Hedging and other trading activities by our affiliates may affect the determinations
of CMS30 and CMS5. CMS rates are determined based on tradable quotes for U.S. dollar fixed-for-floating interest rate swaps of the
relevant maturities sourced from electronic trading venues. Our affiliates may engage in trading activities on these electronic trading
venues, in order to hedge our obligations under the notes, as part of their general business activities or otherwise. These trading activities
could affect the levels of CMS30 and CMS5 in a way that has a negative effect on the interest rate payable under the notes. They could
also result in substantial returns for our affiliates while the value of the notes declines. In engaging in these trading activities,
our affiliates will have no obligation to consider your interests as an investor in the notes.
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§
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Since August 2019, CMS30 and CMS5 have not been published on a significant
number of scheduled publication days. If CMS30 or CMS5 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 CMS5 on a significant number of scheduled publication days. For example, in March and April 2020, CMS30 and CMS5 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 interest determination date during the term of the notes, CMS30 or CMS5 is not published
and at least three reference bank quotations are not provided as further described in the accompanying product 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 CMS5 for one or more interest 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 notes.”
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§
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Uncertainty about the future of LIBOR may affect CMS30 and CMS5 in a way
that adversely affects the return on and the value of the notes. 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, CMS30 and CMS5 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 CMS30 and CMS5. 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 CMS30 and CMS5, 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 CMS30 and CMS5, and any uncertainty
at what these changes may be, may affect CMS30 and CMS5 in a way that adversely affects your return on and value of the securities.
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§
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The calculation agent, which is our affiliate, will make important determinations
with respect to the notes. If certain events occur, Citibank, N.A., as calculation agent, will be required to make certain discretionary
judgments that could significantly affect one or more payments owed to you under the notes. Such judgments could include, among other
things, determining the level of CMS30 or CMS5 if it is not otherwise available on an interest determination date and selecting a successor
rate if either CMS30 or CMS5 is discontinued. Any of these determinations made by Citibank, N.A. in its capacity as calculation agent
may adversely affect any floating interest payment owed to you under the notes.
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Citigroup Global Markets Holdings Inc.
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Callable Fixed to Floating Rate Leveraged CMS Spread Notes Due October 20, 2031
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Information About the CMS Spread
The notes are CMS spread notes, which means that they pay interest (after
the first year) based on the difference, or spread, between two constant maturity swap (“CMS”) rates of different maturities—CMS30
and CMS5. A CMS rate of a given maturity is, at any time, 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 that maturity, as more fully described in the section “About Constant Maturity
Swap Rates” in the accompanying product supplement. The relationship between CMS rates of different maturities may be depicted by
a curve on a graph that plots maturities on the x-axis and the applicable CMS rate on the y-axis. See “About Constant Maturity Swap
Rates” in the accompanying product supplement for examples of CMS rate curves. Interest payments on the notes will depend on changes
in the steepness of this CMS rate curve. If the CMS rate curve steepens, such that the difference between CMS30 and CMS5 becomes greater,
the floating interest payments on the notes will generally increase, subject to the maximum interest rate on the notes. Conversely, if
the CMS rate curve flattens or becomes inverted, such that the difference between CMS30 and CMS5 becomes smaller or negative, the floating
interest payments on the notes will generally decrease.
Many complex economic factors may influence CMS rates and the spread
between CMS rates of different maturities. Accordingly, it is not possible to predict the future performance of any CMS rate or the spread
between CMS rates of different maturities. You should not purchase the notes unless you understand and are willing to accept the significant
risks associated with exposure to future changes in the CMS spread.
For information about how CMS30 and CMS5 will be determined on each
interest determination date, see “Description of the Notes—Terms Related to the Specified CMS Rate(s)—Determining a
Specified CMS Rate” in the accompanying product supplement. CMS30 and CMS5 are calculated by ICE Benchmark Administration Limited
based on tradable quotes for U.S. dollar fixed-for-floating interest rate swaps of the relevant maturity that are sourced from electronic
trading venues.
Historical Information
The graph below shows the daily values of the CMS spread from January
4, 2010 through October 18, 2021 using historical data obtained from Bloomberg. For days on which CMS30 or CMS5 was not published by Reuters,
the graph repeats the CMS spread from the last scheduled publication date on which both CMS30 and CMS5 were published by Reuters. Since
August 2019, CMS30 and CMS5 have not been published on a significant number of scheduled publication days. The historical values of the
CMS spread should not be taken as an indication of the future values of the CMS spread during the term of the notes.
The CMS spread at 11:00 a.m. (New York time) on October 18, 2021 was
0.576%.
Historical CMS Spread (%)
January 4, 2010 through October 18, 2021
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Citigroup Global Markets Holdings Inc.
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Callable Fixed to Floating Rate Leveraged CMS Spread Notes Due October 20, 2031
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Supplemental Plan of Distribution
The issue price is $1,000 per note; provided that the issue price for
an eligible institutional investor or an investor purchasing the notes in a fee-based advisory account will vary based on then-current
market conditions and the negotiated price determined at the time of each sale. The issue price for such investors will not be less than
$985.00 per note and will not be more than $1,000 per note. The issue price for such investors reflects a forgone selling concession with
respect to such sales as described in the next paragraph.
CGMI, an affiliate of Citigroup Global Markets Holdings Inc., is the
underwriter of the sale of the notes and is acting as principal. CGMI may resell the notes to other securities dealers at the issue price
of $1,000 per note less a selling concession not in excess of the underwriting fee. CGMI will receive an underwriting fee of up to $15.00
per note, and from such underwriting fee will allow selected dealers a selling concession of up to $15.00 per note depending on market
conditions that are relevant to the value of the notes at the time an order to purchase the notes is submitted to CGMI. Dealers who purchase
the notes for sales to eligible institutional investors and/or to investors purchasing the notes in fee-based advisory accounts may forgo
some or all selling concessions, and CGMI may forgo some or all of the underwriting fee for sales it makes to eligible institutional investors
and/or to investors purchasing the notes in fee-based advisory accounts. For the avoidance of doubt, any fees or selling concessions described
in this pricing supplement will not be rebated if the notes 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 notes, 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 notes will be used
to hedge our obligations under the notes. We have hedged our obligations under the notes 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 notes declines. For additional information
on the ways in which our counterparties may hedge our obligations under the notes, see “Use of Proceeds and Hedging” in the
accompanying prospectus.
Valuation of the Notes
CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the notes,
which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying the economic
terms of the notes (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 notes prior to maturity will fluctuate based on many unpredictable
factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable
or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately six months following issuance of the notes,
the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated for the notes
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 notes.
The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the six-month temporary adjustment period.
However, CGMI is not obligated to buy the notes from investors at any time. See “Summary Risk Factors—The notes will
not be listed on a securities exchange and you may not be able to sell them prior to maturity.”
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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