Citigroup Global Markets Holdings Inc.
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February 26, 2021
Medium-Term Senior Notes,
Series N
Pricing Supplement No.
2021-USNCH6573
Filed Pursuant to Rule
424(b)(2)
Registration Statement
Nos. 333-224495 and 333-224495-03
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2,035,810 Autocallable Dual Directional Trigger
PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable
Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Overview
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The securities offered by this pricing supplement are
unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike
conventional debt securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead,
the securities offer a payment at maturity that may be greater than, equal to or less than the stated principal amount, depending
on the performance of the S&P 500® Index (the “underlying index”) from the initial index level
to the final index level.
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▪
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The securities offer the opportunity for automatic early
redemption at a premium if the closing level of the underlying index on the interim valuation date is greater than or equal to
the initial index level. If the closing level of the underlying index on the interim valuation date is less than the
initial index level, the securities will not be automatically redeemed at a premium and, instead, the securities offer a payment
at maturity reflecting leveraged exposure to the potential appreciation of the underlying index from the initial index level to
the final index level. In addition, if the underlying index depreciates from the initial index level to the final index level
within a limited range (not more than 20.00%), the securities provide for an unleveraged positive return at maturity based on
the absolute value of that depreciation. In exchange for these features, investors in the securities must be willing to forgo
(i) positive participation in the absolute value of any depreciation in excess of 20.00% at maturity and (ii) any dividends that
may be paid on the stocks that constitute the underlying index. In addition, investors in the securities must be willing to accept
full downside exposure to the underlying index if the underlying index depreciates from the initial index level to the final index
level by more than 20.00%. If the underlying index depreciates by more than 20.00% from the pricing date to the final valuation
date, you will lose 1% of the stated principal amount of your securities for every 1% by which the final index level is less than
the initial index level. There is no minimum payment at maturity.
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In order to obtain the modified exposure to the underlying
index that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity
and (ii) the risk of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations. All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying index:
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The S&P 500® Index (ticker symbol: “SPX”)
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Aggregate stated principal amount:
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$20,358,100
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Stated principal amount:
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$10 per security
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Pricing date:
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February 26, 2021
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Issue date:
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March 3, 2021
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Final valuation date:
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February 27, 2023, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Maturity date:
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March 2, 2023
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Interim valuation date:
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March 7, 2022, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur with respect to the underlying index
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Automatic early redemption:
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If the closing level of the underlying index on the interim valuation date is greater than or equal to the initial index level, the securities will be automatically redeemed on the third business day following the interim valuation date for an amount in cash per security equal to $10 plus the premium applicable to the interim valuation date. If the securities are automatically redeemed following the interim valuation date, they will cease to be outstanding and you will not be entitled to receive the payment that otherwise would have been due at maturity.
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Payment at maturity:
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If the securities have not previously been redeemed, you will
receive at maturity, for each $10 stated principal amount security you then hold:
§ If
the final index level is greater than the initial index level:
$10 + the leveraged return amount
§ If
the final index level is less than or equal to the initial index level but greater than or equal to the trigger level:
$10 + ($10 × the absolute
index return)
§ If
the final index level is less than the trigger level:
$10 + ($10 × the index return)
If the final index level is less than the trigger level, your
payment at maturity will be less, and possibly significantly less, than $8.00 per security. You should not invest in the securities
unless you are willing and able to bear the risk of losing a significant portion of your investment.
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Initial index level:
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3,811.15, the closing level of the underlying index on the pricing date
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Leveraged return amount:
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$10 × the index return × the upside leverage factor
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Upside leverage factor:
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120.00%
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Absolute index return:
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The absolute value of the index return
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Trigger level:
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3,048.92, 80.00% of the initial index level
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Listing:
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The securities will not be listed on any securities exchange
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)(2)
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Underwriting fee
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Proceeds to issuer
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Per security:
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$10.00
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$0.20(2)
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$9.75
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$0.05(3)
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Total:
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$20,358,100.00
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$508,952.50
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$19,849,147.50
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(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value
of the securities is $9.473 per security, which is less than the issue price. The estimated value of the securities
is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of actual profit to
CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you at any time after issuance. See “Valuation of the Securities” in this pricing
supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.25 for each
$10.00 security sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management, and their
financial advisors will collectively receive from CGMI a fixed selling concession of $0.20 for each $10.00 security they sell. Additionally,
it is possible that CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the
securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth
Management by CGMI of $0.05 for each security.
Investing in the securities
involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning
on page PS-6.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this
pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful
or complete. Any representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which
can be accessed via the hyperlinks below:
Prospectus Supplement and Prospectus each dated May 14, 2018
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.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
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KEY TERMS (continued)
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Premium:
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The premium applicable to the interim valuation date is the amount
indicated below. The premium may represent a return that is significantly less than the appreciation of the underlying
index from the pricing date to the interim valuation date.
• March 7, 2022: 7.00% of the stated principal amount
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Final index level:
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The closing level of the underlying index on the final valuation date
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Index return:
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(i) The final index level minus the initial index level, divided by (ii) the initial index level
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CUSIP / ISIN:
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17329B400 / US17329B4005
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Additional Information
General. The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Consequences of a Market Disruption
Event; Postponement of a Valuation Date” and “Description of the Securities—Certain Additional Terms for Securities
Linked to an Underlying Index—Discontinuance or Material Modification of an Underlying Index,” and not in this pricing
supplement. The accompanying underlying supplement contains important disclosures regarding the underlying index that are not repeated
in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus together with this pricing supplement in connection with your investment in the securities. Certain terms
used but not defined in this pricing supplement are defined in the accompanying product supplement.
Prospectus. The first sentence of “Description of
Debt Securities— Events of Default and Defaults” in the accompanying prospectus shall be amended to read in its entirety
as follows:
Events of default under the indenture are:
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for 30 days;
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failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a sinking fund, on any debt security of such series for 30 days;
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failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking fund for 30 days on debt securities of such series;
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failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture applicable to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other than such series; and
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certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).
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Citigroup Global Markets Holdings Inc.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
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Key Investment Rationale
The securities offer the
opportunity for automatic early redemption at a premium if the closing level of the underlying index on the interim valuation date
is greater than or equal to the initial index level. If the securities are not redeemed prior to maturity, the securities offer
the potential for, at maturity, (i) a leveraged return if the underlying index appreciates and (ii) if the underlying index depreciates,
an unleveraged positive return equal to the absolute value of the depreciation of the underlying index, but only so long as the
underlying index does not depreciate by more than 20.00%. At maturity (assuming the securities are not automatically redeemed prior
to maturity), if the underlying index has appreciated from the initial index level to
the final index level, investors will receive the stated principal amount of their
investment plus the leveraged upside performance of the underlying index. If the underlying index has depreciated, but
not by more than 20.00%, investors will receive the stated principal amount of their investment plus a positive return equal to
the absolute value of the percentage decline, which will effectively be limited to a positive return of 20.00%. However,
if the underlying index has depreciated by more than 20.00% from the initial index
level to the final index level, investors will be negatively exposed to the full amount
of the percentage decline in the underlying index from the initial index level to the final index level and will lose 1% of the
stated principal amount for every 1% of that decline. Investors may lose their entire initial investment in the securities. All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
Premium:
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The securities offer investors the opportunity for automatic early redemption at a premium following the interim valuation date if the closing level of the underlying index on the interim valuation date is greater than or equal to the initial index level.
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Leveraged Upside Performance:
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If the securities are not automatically redeemed prior to maturity, the securities offer investors an opportunity at maturity to capture enhanced returns relative to a direct investment in the underlying index if the underlying index appreciates.
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Absolute Return Feature:
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If the securities are not automatically redeemed prior to maturity, the securities offer the potential for an unleveraged positive return at maturity if the underlying index depreciates, but not by more than 20.00%, so that the final index level is greater than or equal to the trigger level (80.00% of the initial index level)
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Downside Scenario:
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If the securities are not automatically redeemed prior to maturity and the final index level is less than the trigger level, which means that the underlying index has depreciated by more than 20.00% from the initial index level to the final index level, you will lose 1.00% for every 1.00% decline in the value of the underlying index from the initial index level (e.g., a 50.00% depreciation in the underlying index will result in a payment at maturity of $5.00 per security). There is no minimum payment at maturity on the securities, and investors may lose their entire initial investment.
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Hypothetical Examples
The diagram and examples below illustrate how the payment at
maturity will be calculated if the securities are not automatically redeemed prior to maturity.
Investors in the securities will not receive any dividends
on the stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield
over the term of the securities. See “Summary Risk Factors—Investing in the securities is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index” below.
Citigroup Global Markets Holdings Inc.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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Autocallable Dual Directional
Trigger PLUS
Payment at Maturity Diagram
(Assuming No Automatic Early Redemption)
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n The Securities
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n The Underlying Index
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Your actual payment at maturity per security will depend on the
actual final index level. The examples below are intended to illustrate how your payment at maturity will depend on whether the
final index level is greater than or less than the initial index level and by how much. The examples are based on a
hypothetical initial index level of 3,800.00 and a hypothetical trigger level of 3,040.00.
Citigroup Global Markets Holdings Inc.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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Example 1—Upside Scenario A. The hypothetical final index level is 3,990 (a 5.00% increase from the hypothetical initial
index level), which is greater than the hypothetical initial index level.
Payment at maturity per security = $10 + the leveraged return
amount
= $10 + ($10 × the
index return × the upside leverage factor)
= $10 + ($10 × 5.00%
× 120.00%)
= $10 + $0.6
= $10.60
Because the underlying
index appreciated from the hypothetical initial index level to the hypothetical final
index level, your payment at maturity in this scenario would be equal to the $10 stated
principal amount per security plus the leveraged return amount, or $10.60 per
security.
Example 2—Upside Scenario B. The hypothetical final
index level is 3,420.00 (a 10.00% decrease from the hypothetical initial index level), which is less than the hypothetical
initial index level but greater than the hypothetical trigger level.
Payment at maturity per security = $10 + ($10 × the absolute
index return)
= $10 + ($10 × |-10.00%|)
=$10 + $1.00
= $11.00
Because the hypothetical final index level is less than the hypothetical
initial index level, but not by more than 20.00%, your payment at maturity in this scenario would reflect 1-to-1 positive exposure
to the absolute value of the negative performance of the underlying index.
Example 3—Downside Scenario. The hypothetical final
index level is 1,140.00 (a 70.00% decrease from the hypothetical initial index level), which is less than the hypothetical
trigger level.
Payment at maturity per security = $10 + ($10 × the index
return)
= $10 + ($10 × -70.00%)
= $10 + -$7.00
= $3.00
Because the underlying index depreciated from the hypothetical
initial index level to the hypothetical final index level by more than 20.00%, your payment at maturity in this scenario would
reflect 1-to-1 downside exposure to the negative performance of the underlying index.
Citigroup Global Markets Holdings Inc.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
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Summary Risk Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment
in our conventional debt securities that are guaranteed by Citigroup Inc., including the risk that we and Citigroup Inc. may default
on our obligations under the securities, and are also subject to risks associated with the underlying index. Accordingly,
the securities are appropriate only for investors who are capable of understanding the complexities and risks of the securities. You
should consult your own financial, tax and legal advisors as to the risks of an investment in the securities and the appropriateness
of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an
investment in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7
in the accompanying product supplement. You should also carefully read the risk factors included in the accompanying
prospectus supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s
most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the
business of Citigroup Inc. more generally.
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§
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You may lose some or all of your investment. Unlike conventional
debt securities, the securities do not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend
on the performance of the underlying index. If the securities are not automatically redeemed prior to maturity and the final index
level is less than the trigger level, the absolute return feature will not apply and the payout at maturity will be at least 20%
less than the stated principal amount of the securities, and you will lose 1% of the stated principal amount of the securities
for every 1% by which the final index level is less than the initial index level. There is no minimum payment at maturity on the
securities, and you could lose your entire investment.
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§
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The securities do not pay interest. Unlike conventional
debt securities, the securities do not pay interest or any other amounts prior to maturity. You should not invest in the securities
if you seek current income during the term of the securities.
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§
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Your potential for positive participation
in the absolute value of any depreciation of the underlying index is limited. Because the trigger level is equal to 80.00%
of the initial index level, the return potential of the securities in the event that the underlying index depreciates is limited
to 20.00%. Any depreciation of the underlying index in excess of 20.00% will result in a loss, rather than a positive return, on
the securities.
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Investing in the securities is not equivalent to investing in the
underlying index or the stocks that constitute the underlying index. You will not have voting rights, rights to receive dividends
or other distributions or any other rights with respect to the stocks that constitute the underlying index. As of February 26,
2021, the average dividend yield of the underlying index was approximately 1.53% per year. While it is impossible to know the future
dividend yield of the underlying index, if this average dividend yield were to remain constant for the term of the securities,
you would be forgoing an aggregate yield of approximately 3.06% (assuming no reinvestment of dividends) by investing in the securities
instead of investing directly in the stocks that constitute the underlying index or in another investment linked to the underlying
index that provides for a pass-through of dividends. The payment scenarios described in this pricing supplement do not show any
effect of lost dividend yield over the term of the securities.
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Your return on the securities depends on the closing level of the
underlying index on a limited number of days. Because your payment upon automatic early redemption, if applicable,
or at maturity depends on the closing level of the underlying index solely on one of the valuation dates, you are subject to the
risk that the closing level of the underlying index on those days may be lower, and possibly significantly lower, than on one or
more other dates during the term of the securities. If you had invested in another instrument linked to the underlying index that
you could sell for full value at a time selected by you, or if the return on the securities was based on an average of closing
levels of the underlying index, you might have achieved better returns.
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If the securities are redeemed prior to maturity, the appreciation
potential of the securities is limited by the early redemption payment specified for the interim valuation date. If the closing
level of the index on the interim valuation date is greater than or equal to the initial index level, you will be repaid the stated
principal amount of your securities and will receive the fixed premium applicable to the interim valuation date, regardless of
how significantly the closing level of the index on the interim valuation date may exceed the initial index level. Accordingly,
the premium may result in a return on the securities that is significantly less than the return you could have achieved on a direct
investment the underlying index.
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The term of the securities may be as short as one year. If
the closing level of the index on the interim valuation date, expected to occur approximately one year after the pricing date,
is greater than or equal to the initial index level, the securities will be automatically redeemed. Additionally, if the securities
are redeemed prior to maturity, you may not be able to reinvest at comparable terms or 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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§
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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.
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Citigroup Global Markets Holdings Inc.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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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 estimated value of the securities on the pricing date, based
on CGMI’s proprietary pricing models and our internal funding rate, is less than the issue price. The difference is attributable
to certain costs associated with selling, structuring and hedging the securities that are included in the issue price. These costs
include (i) the selling concessions and structuring fees paid in connection with the offering of the securities, (ii) hedging and
other costs incurred by us and our affiliates in connection with the offering of the securities and (iii) the expected profit (which
may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations under the
securities. These costs adversely affect the economic terms of the securities because, if they were lower, the economic terms of
the securities would be more favorable to you. The economic terms of the securities are also likely to be adversely affected by
the use of our internal funding rate, rather than our secondary market rate, to price the securities. See “The estimated
value of the securities would be lower if it were calculated based on our secondary market rate” below.
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The estimated value of the securities was determined for us by our
affiliate using proprietary pricing models. CGMI derived the estimated value disclosed on the cover page of this pricing supplement
from its proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such
as the volatility of the underlying index, dividend yields on the stocks that constitute the underlying index and interest rates.
CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s
interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate
reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this
pricing supplement may differ from the value that we or our affiliates may determine for the securities for other purposes, including
for accounting purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you
should be willing to hold the securities to maturity irrespective of the initial estimated value.
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The estimated value of the securities would be lower if it were
calculated based on our secondary market rate. The estimated value of the securities included in this pricing supplement is
calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of
the securities. Our internal funding rate is generally lower than our secondary market rate, which is the rate that CGMI will use
in determining the value of the securities for purposes of any purchases of the securities from you in the secondary market. If
the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding
rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the securities,
which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences.
Our internal funding rate is not an interest rate that we will pay to investors in the securities, which do not bear interest.
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Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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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 index and a number of other factors, including the price and volatility of the stocks that constitute the underlying
index, the dividend yields on the stocks that constitute the underlying index, interest rates generally, the time remaining to
maturity and our and/or Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the level
of the underlying index may not result in a comparable change in the value of your securities. You should understand that the value
of your securities at any time prior to maturity may be significantly less than the issue price.
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Citigroup Global Markets Holdings Inc.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
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§
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Immediately following issuance, any secondary market bid price provided
by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect
a temporary upward adjustment. The amount of this temporary upward adjustment will steadily decline to zero over the temporary
adjustment period. See “Valuation of the Securities” in this pricing supplement.
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§
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Our offering of the securities does not constitute a recommendation
of the underlying index. The fact that we are offering the securities does not mean that we believe that investing in an instrument
linked to the underlying index is likely to achieve favorable returns. In fact, as we are part of a global financial institution,
our affiliates may have positions (including short positions) in the stocks that constitute the underlying index or in instruments
related to the underlying index or such stocks, and may publish research or express opinions, that in each case are inconsistent
with an investment linked to the underlying index. These and other activities of our affiliates may affect the level of the underlying
index in a way that has a negative impact on your interests as a holder of the securities.
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The level of the underlying index may be adversely affected by our
or our affiliates’ hedging and other trading activities. We have hedged our obligations under the securities through
CGMI or other of our affiliates, who have taken positions directly in the stocks that constitute the underlying index and other
financial instruments related to the underlying index or such stocks and may adjust such positions during the term of the securities.
Our affiliates also trade the stocks that constitute the underlying index and other financial instruments related to the underlying
index or such stocks on a regular basis (taking long or short positions or both), for their accounts, for other accounts under
their management or to facilitate transactions on behalf of customers. These activities could affect the level of the underlying
index in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our
affiliates while the value of the securities declines.
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We and our affiliates may have economic interests that are adverse
to yours as a result of our affiliates’ business activities. Our affiliates may currently or from time to time engage
in business with the issuers of the stocks that constitute the underlying index, including extending loans to, making equity investments
in or providing advisory services to such issuers. In the course of this business, we or our affiliates may acquire non-public
information about such issuers, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor
of any such issuer, they may exercise any remedies against any such issuer that are available to them without regard to your interests.
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The calculation agent, which is an affiliate of ours, will make
important determinations with respect to the securities. If certain events occur, such as market disruption events
or the discontinuance of the underlying index, CGMI, as calculation agent, will be required to make discretionary judgments that
could significantly affect your payment at maturity. In making these judgments, the calculation agent’s interests
as an affiliate of ours could be adverse to your interests as a holder of the securities.
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Adjustments to the underlying index may affect the value of your
securities. S&P Dow Jones Indices LLC (the “underlying index publisher”) may add, delete or substitute the
stocks that constitute the underlying index or make other methodological changes that could affect the level of the underlying
index. The underlying index publisher may discontinue or suspend calculation or publication of the underlying index at any time
without regard to your interests as holders of the securities.
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The U.S. federal tax consequences of an investment in the securities
are unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities,
and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant
aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the
securities as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities,
the tax consequences of the ownership and disposition of the securities might be materially and adversely affected. Moreover,
future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities,
possibly retroactively.
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If you are a non-U.S. investor, you should review
the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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Information About the S&P 500®
Index
The S&P 500® Index consists of the common
stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets.
It is calculated and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index is reported by Bloomberg
L.P. under the ticker symbol “SPX.”
“Standard & Poor’s,” “S&P”
and “S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC and have been
licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The S&P
U.S. Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for important
disclosures regarding the S&P 500® Index.
Historical Information
The closing level of the underlying index on February 26, 2021
was 3,811.15.
The graph below shows the closing level of the underlying index
for each day such level was available from January 3, 2011 to February 26, 2021. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the underlying index as an indication of future
performance.
S&P 500® Index – Historical Closing Levels
January 3, 2011 to February 26, 2021
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*The red line indicates the trigger level of 3,048.92, equal
to 80.00% of the closing level on February 26, 2021.
Citigroup Global Markets Holdings Inc.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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United States Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling
to the contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not
agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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You should not recognize taxable income over the term of the securities
prior to maturity, other than pursuant to a sale or exchange.
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Upon a sale or exchange of a security (including retirement at maturity),
you should recognize capital gain or loss equal to the difference between the amount realized and your tax basis in the security. Such
gain or loss should be long-term capital gain or loss if you held the security for more than one year.
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We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences
of ownership and disposition of the securities, including the timing and character of income recognized. In addition, the U.S.
Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future
regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative
contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and
in “United States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder
(as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding
or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”)
or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially
replicate the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable
Treasury regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior
to January 1, 2023 that do not have a “delta” of one. Based on the terms of the securities and representations
provided by us, our counsel is of the opinion that the securities should not be treated as transactions that have a “delta”
of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to
withholding tax under Section 871(m).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex
and its application may depend on your particular circumstances, including your other transactions. You should consult
your tax adviser regarding the potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination
with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.25 for each
$10.00 security sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with
CGMI, including Morgan Stanley Wealth Management, and their financial advisors collectively a fixed selling concession of $0.20
for each $10.00 security they sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of
$0.05 for each security they sell.
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.
Secondary market sales of securities typically settle two business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than two business
days after the pricing date, investors who wish to sell the securities at any time prior to the second business day preceding the
issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisors in this regard.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through
CGMI or other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if
the value of the securities declines. This hedging activity could affect the closing level of the underlying index and,
therefore, the value of and your return on the securities. For additional information on the ways in which our counterparties
may hedge our obligations under the securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
For a period of approximately three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the three-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities
exchange and you may not be able to sell them prior to maturity.”
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against
payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to
applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities.
Citigroup Global Markets Holdings Inc.
|
2,035,810 Autocallable Dual Directional Trigger PLUS Based on the S&P 500® Index Due March 2, 2023
Autocallable Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets of Citigroup Inc. In addition,
this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 17, 2018, which has
been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on May 17, 2018, that the indenture has been duly
authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms
of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup Global
Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result in
a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup
Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, 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.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he 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 him or such persons as originals, the conformity to original documents of all documents submitted to
him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc.
is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized,
executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup
Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws
or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the
General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals,
the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
Performance Leveraged Upside
SecuritiesSM and PLUSSM are service marks of Morgan Stanley, used under license.
© 2021 Citigroup Global Markets Inc. All rights
reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered
throughout the world.
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