Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 13 2021 - 03:51PM
Edgar (US Regulatory)
Citigroup Global Markets Holdings Inc.
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Free
Writing Prospectus to Pricing Supplement No. 2021-USNCH9431
Registration Statement
Nos. 333-255302; 333-255302-03
Dated October 13,
2021; Filed pursuant to Rule 433
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PLUS Based on the S&P 500®
Index Due February 3, 2023
Principal at Risk Securities
This document provides a summary of the terms of the securities.
Investors must carefully review the accompanying pricing supplement referenced below, product supplement, underlying supplement, prospectus
supplement and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision.
Summary Terms
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Issuer:
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Citigroup Global Markets Holdings Inc.
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Guarantor:
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Citigroup Inc.
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Underlying index:
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The S&P 500® Index (ticker symbol: “SPX”)
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Stated principal amount:
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$10 per security
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Pricing date:
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October 29, 2021
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Issue date:
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November 3, 2021
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Valuation date:
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January 31, 2023, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur.
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Maturity date:
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February 3, 2023
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Payment at maturity1:
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For each $10.00 stated principal amount security you hold at maturity:
▪ If
the final index level is greater than the initial index level:
$10.00 + the leveraged return amount, subject to the maximum return at maturity
▪ If
the final index level is less than or equal to the initial index level:
$10.00 + ($10.00 × the index return)
If the final index level is less than the initial index level,
your payment at maturity will be less, and possibly significantly less, than the $10.00 stated principal amount per security. You should
not invest in the securities unless you are willing and able to bear the risk of losing a significant portion of your investment.
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Initial index level:
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The closing level of the underlying index on the pricing date
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Final index level:
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The closing level of the underlying index on the valuation date
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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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Leveraged return amount:
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$10.00 x the index return x the leverage factor
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Leverage factor:
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300%
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Maximum return at maturity:
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$1.28 per security (12.80% of the stated principal amount). The payment at maturity per security will not exceed $10.00 plus the maximum return at maturity.
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CUSIP/ISIN:
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17329T617 / US17329T6174
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Preliminary pricing supplement:
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https://www.sec.gov/Archives/edgar/data/0000200245/000095010321015816/
dp159770_424b2-us2168894.htm
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Hypothetical Payout at Maturity1
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Change in Underlying
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Return on Securities
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+50.00%
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12.80%
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+40.00%
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12.80%
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+30.00%
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12.80%
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+20.00%
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12.80%
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+10.00%
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12.80%
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+4.27%
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12.80%
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+3.00%
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9%
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0.00%
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0%
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-10.00%
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-10%
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-20.00%
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-20%
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-30.00%
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-30%
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-40.00%
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-40%
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-50.00%
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-50%
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-60.00%
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-60%
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-80.00%
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-80%
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-100.00%
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-100%
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1All payments are subject to our credit risk
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On the date of this pricing supplement, the estimated value of the securities
is $9.185 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 Citigroup Global Markets Holdings
Inc.’s 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 the accompanying pricing supplement.
Citigroup Global Markets Holdings Inc.
and Citigroup Inc. have filed registration statements (including the accompanying preliminary pricing supplement, product supplement,
underlying supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”) for the offering
to which this communication relates. Before you invest, you should read the accompanying preliminary pricing supplement, product supplement,
underlying supplement, prospectus supplement and prospectus in those registration statements (File Nos. 333-255302 and 333-255302-03)
and the other documents Citigroup Global Markets Holdings Inc. and Citigroup Inc. have filed with the SEC for more complete information
about Citigroup Global Markets Holdings Inc., Citigroup Inc. and this offering. You may obtain these documents without cost by visiting
EDGAR on the SEC website at www.sec.gov. Alternatively, you can request these documents by calling toll-free 1-800-831-9146.
Underlying Index
For more information about the underlying index, including historical
performance information, see the accompanying preliminary pricing supplement.
Risk Considerations
The risks set forth below are discussed in more detail in the “Summary
Risk Factors” section in the accompanying preliminary pricing supplement. Please review those risk factors carefully prior to making
an investment decision.
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You may lose some or all of your investment.
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The securities do not pay interest.
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Your potential return on the securities is limited.
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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.
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Your payment at maturity depends on the closing level
of the underlying index on a single day.
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The securities are subject to the credit risk of
Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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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.
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The estimated value of the securities on the pricing
date, based on CGMI’s proprietary pricing models and Citigroup Global Markets Holdings Inc.’s internal funding rate, will
be less than the issue price.
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The estimated value of the securities was determined
for Citigroup Global Market Holdings Inc. by its affiliate using proprietary pricing models.
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The estimated value of the securities would be lower
if it were calculated based on Citigroup Global Market Holdings Inc.’s secondary market rate.
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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.
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The value of the securities prior to maturity will
fluctuate based on many unpredictable factors.
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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.
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Citigroup Global Market Holdings Inc.’s offering
of the securities does not constitute a recommendation of the underlying index.
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Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the securities.
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The level of the underlying index may be adversely
affected by Citigroup Global Market Holdings Inc.’s or its affiliates’ hedging and other trading activities.
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Citigroup Global Market Holdings Inc. and its affiliates
may have economic interests that are adverse to yours as a result of the business activities of Citigroup Global Market Holdings Inc.’s
affiliates.
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The calculation agent, which is an affiliate of Citigroup
Global Market Holdings Inc., will make important determinations with respect to the securities.
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Adjustments to the underlying index may affect the
value of your securities.
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The U.S. federal tax consequences
of an investment in the securities are unclear.
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Tax Considerations
You should review carefully the discussion in the accompanying preliminary
pricing supplement under the heading “United States Federal Tax Considerations” concerning the U.S. federal tax consequences
of an investment in the securities, and you should consult your tax adviser.
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