|
Citigroup Global Markets Holdings Inc.
|
July 27, 2021
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2021-USNCH8512
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03
|
Autocallable Securities Linked to the Worst Performing
of Cigna Corporation, Intel Corporation and QUALCOMM Incorporated Due August 1, 2024
|
|
▪
|
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, do not guarantee the repayment of principal at maturity and are subject to potential automatic early
redemption on a periodic basis on the terms described below. Your return on the securities will depend solely on the performance of the
worst performing of the underlyings specified below.
|
|
|
▪
|
The securities offer the potential for automatic early redemption
at a premium following the first valuation date (other than the final valuation date) on which the closing value of the worst performing
underlying on that valuation date is greater than or equal to its premium threshold value applicable to that valuation date. If the securities
are not automatically redeemed prior to maturity, the securities will provide for repayment of the stated principal amount plus
a digital (fixed) return at maturity if the final underlying value of the worst performing underlying on the final valuation date is
greater than or equal to its final barrier value. However, if the securities are not automatically redeemed prior to maturity and
the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value, you will
not be repaid the stated principal amount of your securities at maturity and, instead, will receive underlying shares of the worst performing
underlying on the final valuation date (or, in our sole discretion, cash based on the value thereof) that will be worth significantly
less than your initial investment and possibly worth nothing. You may lose your entire investment in the securities.
|
|
|
▪
|
You will be subject to risks associated with each of
the underlyings and will be negatively affected by adverse movements in any one of the underlyings. Although you will have downside
exposure to the worst performing underlying on the final valuation date, you will not receive dividends with respect to any underlying
or participate in any appreciation of any underlying.
|
|
|
▪
|
Investors in the securities must be willing to accept (i) an
investment that may have limited or no liquidity and (ii) the risk of not receiving any payments 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.
|
|
KEY TERMS
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
|
Underlyings:
|
Underlying
|
Initial underlying value*
|
Final barrier value**
|
Equity ratio***
|
|
|
Cigna Corporation
|
$228.44
|
$137.064
|
4.37752
|
|
|
Intel Corporation
|
$54.31
|
$32.586
|
18.41282
|
|
|
QUALCOMM Incorporated
|
$143.50
|
$86.100
|
6.96864
|
|
|
*For each underlying, its closing
value on the strike date
**For each underlying, 60.00%
of its initial underlying value
***For each underlying, the
stated principal amount divided by its initial underlying value
|
|
Stated principal amount:
|
$1,000 per security
|
|
Strike date:
|
July 26, 2021
|
|
Pricing date:
|
July 27, 2021
|
|
Issue date:
|
July 30, 2021
|
|
Valuation dates:
|
January 27, 2022, April 27, 2022, July 27, 2022, October 27, 2022, January 27, 2023, April 27, 2023, July 27, 2023, October 27, 2023, January 29, 2024, April 29, 2024 and July 29, 2024 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
|
|
Maturity date:
|
Unless earlier redeemed, August 1, 2024
|
|
Automatic early redemption:
|
If, on any valuation date prior to the final valuation date, the closing value of the worst performing underlying on that valuation date is greater than or equal to its premium threshold value applicable to that valuation date, the securities will be automatically redeemed on the third business day immediately following that valuation date for an amount in cash per security equal to $1,000 plus the premium applicable to that valuation date. If the securities are automatically redeemed following any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable to any later valuation date.
|
|
Payment at maturity:
|
If the securities are not automatically redeemed prior to maturity,
you will receive at maturity for each security you then hold:
§
If the final
underlying value of the worst performing underlying on the final valuation date is greater than or equal to its final barrier
value: $1,000 + the digital return amount
§
If the final
underlying value of the worst performing underlying on the final valuation date is less than its final barrier value:
a fixed number
of underlying shares of the worst performing underlying on the final valuation date equal to its equity ratio (or, if we elect, the cash
value of those shares based on its final underlying value)
If the securities are not automatically redeemed prior to maturity
and the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value, you
will receive underlying shares of the worst performing underlying on the final valuation date (or, in our sole discretion, cash) that
will be worth significantly less than the stated principal amount of your securities, and possibly nothing, at maturity.
|
|
Listing:
|
The securities will not be listed on any securities exchange
|
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
|
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee(2)
|
Proceeds to issuer(3)
|
|
Per security:
|
$1,000.00
|
$7.50
|
$992.50
|
|
Total:
|
$500,000.00
|
$3,750.00
|
$496,250.00
|
(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the
securities is $932.30 per security, which is less than the issue price. The estimated value of the securities is based on CGMI’s
proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates,
nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time
after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) CGMI will receive an underwriting fee of up to $7.50 for each security
sold in this offering. The total underwriting fee and proceeds to issuer in the table above give effect to the actual total underwriting
fee. For more information on the distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement.
In addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value
of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) The per security proceeds to issuer indicated above represent the
minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting fee. As noted above, the underwriting
fee is variable.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-8.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the
accompanying product 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, prospectus supplement and prospectus, which can be accessed via the hyperlinks below:
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.
|
|
|
|
KEY TERMS (continued)
|
|
Premium:
|
The premium applicable to each valuation date (other than the final
valuation date) is set forth below. The premium percentage may be significantly less than the appreciation of any underlying from the
pricing date to the applicable valuation date.
|
|
|
• January 27, 2022:
|
6.0250% of the stated principal amount
|
|
|
• April 27, 2022:
|
9.0375% of the stated principal amount
|
|
|
• July 27, 2022:
|
12.0500% of the stated principal amount
|
|
|
• October 27, 2022:
|
15.0625% of the stated principal amount
|
|
|
• January 27, 2023:
|
18.0750% of the stated principal amount
|
|
|
• April 27, 2023:
|
21.0875% of the stated principal amount
|
|
|
• July 27, 2023:
|
24.1000% of the stated principal amount
|
|
|
• October 27, 2023:
|
27.1125% of the stated principal amount
|
|
|
• January 29, 2024:
|
30.1250% of the stated principal amount
|
|
|
• April 29, 2024:
|
33.1375% of the stated principal amount
|
|
Premium threshold value:
|
For each underlying, the premium threshold value applicable to each
valuation date (other than the final valuation date) is the percentage of the initial underlying value of such underlying indicated below.
|
|
|
• January 27, 2022:
|
For each underlying, 100.00% of its initial underlying value
|
|
|
• April 27, 2022:
|
For each underlying, 96.00% of its initial underlying value
|
|
|
• July 27, 2022:
|
For each underlying, 92.00% of its initial underlying value
|
|
|
• October 27, 2022:
|
For each underlying, 88.00% of its initial underlying value
|
|
|
• January 27, 2023:
|
For each underlying, 84.00% of its initial underlying value
|
|
|
• April 27, 2023:
|
For each underlying, 80.00% of its initial underlying value
|
|
|
• July 27, 2023:
|
For each underlying, 76.00% of its initial underlying value
|
|
|
• October 27, 2023:
|
For each underlying, 72.00% of its initial underlying value
|
|
|
• January 29, 2024:
|
For each underlying, 68.00% of its initial underlying value
|
|
|
• April 29, 2024:
|
For each underlying, 64.00% of its initial underlying value
|
|
Final underlying value:
|
For each underlying, its closing value on the final valuation date
|
|
Digital return amount:
|
$361.50 per security (representing a digital return equal to 36.15% of the stated principal amount)
|
|
Worst performing underlying:
|
For any valuation date, the underlying with the lowest underlying return determined as of that valuation date
|
|
Underlying return:
|
For each underlying on any valuation date, (i) its closing value on that valuation date minus its initial underlying value, divided by (ii) its initial underlying value
|
|
CUSIP / ISIN:
|
17328NXA1 / US17328NXA17
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
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, the
accompanying product supplement contains important information about how the closing value of each underlying will be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events
with respect to each underlying. It is important that you read the accompanying product supplement, prospectus supplement and prospectus
together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of each underlying
on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement. The “underlying
shares” of the underlyings are their respective shares of common stock. Please see the accompanying product supplement for more
information.
|
Citigroup Global Markets Holdings Inc.
|
|
|
Hypothetical Payment Upon Automatic Early Redemption
The following table illustrates how the amount payable per security
upon automatic early redemption will be calculated if the closing value of the worst performing underlying on any valuation date prior
to the final valuation date is greater than or equal to its premium threshold value applicable to that valuation date.
|
If the first valuation date on which the closing value of the worst performing underlying on that valuation date is greater than or equal to its applicable premium threshold value is...
|
...then you will receive the following payment per security upon automatic early redemption:
|
|
January 27, 2022
|
$1,000.00 + applicable premium = $1,000.00 + $60.250 = $1,060.250
|
|
April 27, 2022
|
$1,000.00 + applicable premium = $1,000.00 + $90.375 = $1,090.375
|
|
July 27, 2022
|
$1,000.00 + applicable premium = $1,000.00 + $120.500 = $1,120.500
|
|
October 27, 2022
|
$1,000.00 + applicable premium = $1,000.00 + $150.625 = $1,150.625
|
|
January 27, 2023
|
$1,000.00 + applicable premium = $1,000.00 + $180.750 = $1,180.750
|
|
April 27, 2023
|
$1,000.00 + applicable premium = $1,000.00 + $210.875 = $1,210.875
|
|
July 27, 2023
|
$1,000.00 + applicable premium = $1,000.00 + $241.000 = $1,241.000
|
|
October 27, 2023
|
$1,000.00 + applicable premium = $1,000.00 + $271.125 = $1,271.125
|
|
January 29, 2024
|
$1,000.00 + applicable premium = $1,000.00 + $301.250 = $1,301.250
|
|
April 29, 2024
|
$1,000.00 + applicable premium = $1,000.00 + $331.375 = $1,331.375
|
If, on any valuation date prior to the final valuation date, the
closing value of any underlying is greater than or equal to its applicable premium threshold value, but the closing value of any other
underlying is less than its applicable premium threshold value, you will not receive the premium indicated above following that valuation
date. In order to receive the premium indicated above, the closing value of each underlying on the applicable valuation date must
be greater than or equal to its applicable premium threshold value.
|
Citigroup Global Markets Holdings Inc.
|
|
|
Payment at Maturity Diagram
The diagram below illustrates the value of what you would receive at
maturity of the securities, assuming the securities have not previously been automatically redeemed, for a range of hypothetical underlying
returns of the worst performing underlying on the final valuation date. Your payment at maturity (if the securities are not earlier automatically
redeemed) will be determined based solely on the performance of the worst performing underlying on the final valuation date. For purposes
of the diagram, the value of any underlying shares of the worst performing underlying on the final valuation date you receive at maturity
is based on the closing value of the worst performing underlying on the final valuation date. On the maturity date, the value of any underlying
shares you receive may differ from their value on the valuation date.
Investors in the securities will not receive any dividends with respect
to the underlyings. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities.
See “Summary Risk Factors—You will not receive dividends or have any other rights with respect to the underlyings unless and
until you receive underlying shares of the worst performing underlying on the final valuation date at maturity” below.
|
Payment at Maturity Diagram
|
|
|
n The Securities
|
n The Worst Performing Underlying on the Final Valuation Date
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
Hypothetical Examples of the Payment at Maturity
The examples below are intended to illustrate how, if the securities
are not automatically redeemed prior to maturity, your payment at maturity will depend on the final underlying value of the worst performing
underlying on the final valuation date. Your actual payment at maturity per security, if the securities are not automatically redeemed
prior to maturity, will depend on the actual final underlying value of the worst performing underlying on the final valuation date. The
examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction of any payment that may be made
on the securities.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values, final barrier values or equity ratios of the underlyings. For the actual initial
underlying value, final barrier value and equity ratio of each underlying, see the cover page of this pricing supplement. We have used
these hypothetical values, rather than the actual values, to simplify the calculations and aid understanding of how the securities work.
However, you should understand that what you actually receive at maturity will be determined based on the actual initial underlying value,
final barrier value and equity ratio of each underlying, and not the hypothetical values indicated below. For ease of analysis, figures
below have been rounded.
|
Underlying
|
Hypothetical initial underlying value
|
Hypothetical final barrier value
|
Hypothetical equity ratio
|
|
Cigna Corporation
|
$100.00
|
$60.00 (60.00% of its hypothetical initial underlying value)
|
10.00000
|
|
Intel Corporation
|
$100.00
|
$60.00 (60.00% of its hypothetical initial underlying value)
|
10.00000
|
|
QUALCOMM Incorporated
|
$100.00
|
$60.00 (60.00% of its hypothetical initial underlying value)
|
10.00000
|
Example 1—Upside Scenario. The final underlying value of
the worst performing underlying on the final valuation date is $110.00, resulting in a 10.00% underlying return for the worst performing
underlying on the final valuation date. In this example, the final underlying value of the worst performing underlying on the final valuation
date is greater than its final barrier value on the final valuation date.
|
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
|
Cigna Corporation*
|
$110.00
|
10.00%
|
|
Intel Corporation
|
$140.00
|
40.00%
|
|
QUALCOMM Incorporated
|
$130.00
|
30.00%
|
* Worst performing underlying on the final valuation date
Payment at maturity per security = $1,000 + the digital return amount
= $1,000 + $361.50
= $1,361.50
In this scenario, because the final underlying value of the worst performing
underlying on the final valuation date is greater than its final barrier value, you would be repaid the stated principal amount of your
securities at maturity plus the digital return amount.
Example 2—Downside Scenario A. The final underlying value
of the worst performing underlying on the final valuation date is $30.00, resulting in a -70.00% underlying return for the worst performing
underlying on the final valuation date. In this example, the final underlying value of the worst performing underlying on the final valuation
date is less than its final barrier value.
|
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
|
Cigna Corporation
|
$110.00
|
10.00%
|
|
Intel Corporation*
|
$30.00
|
-70.00%
|
|
QUALCOMM Incorporated
|
$50.00
|
-50.00%
|
* Worst performing underlying on the final valuation date
What you would receive at maturity per security = A number of underlying
shares of the worst performing underlying on the final valuation date equal to its equity ratio (or, in our sole discretion, cash in an
amount equal to its equity ratio × its final underlying value)
= 10 underlying shares of the worst performing underlying on the final
valuation date, with an aggregate cash value (based on its final underlying value) of $300.00
In this scenario, the worst performing underlying on the final valuation
date has depreciated from its initial underlying value to its final underlying value and its final underlying value is less than its final
barrier value. As a result, you would not be repaid the stated principal amount of your securities at maturity but, instead, would receive
a number of underlying shares of the worst performing underlying on the final valuation date (or, in our sole discretion, cash based on
the value thereof) worth significantly less than your initial investment.
If the final underlying value of the worst performing underlying on
the final valuation date is less than its final barrier value, we will have the option to deliver to you on the maturity date either a
number of underlying shares of the worst performing underlying on the final valuation date equal to its equity ratio or the cash value
of those underlying shares based on their final underlying value. The value of those underlying shares on the maturity date may be different
than their final underlying value.
|
Citigroup Global Markets Holdings Inc.
|
|
|
Example 3—Downside Scenario B. The final underlying value
of the worst performing underlying on the final valuation date is $0.00, resulting in a -100.00% underlying return for the worst performing
underlying on the final valuation date. In this example, the final underlying value of the worst performing underlying on the final valuation
date is less than its final barrier value.
|
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
|
Cigna Corporation
|
$120.00
|
20.00%
|
|
Intel Corporation
|
$105.00
|
5.00%
|
|
QUALCOMM Incorporated*
|
$0.00
|
-100.00%
|
* Worst performing underlying on the final valuation date
In this scenario, the underlying shares of the worst performing underlying
on the final valuation date are worthless and, as a result, you would lose your entire investment in the securities at maturity.
It is possible that the final underlying value of the worst performing
underlying on the final valuation date will be less than its final barrier value, such that the value of what you will receive at maturity
will be significantly less than the stated principal amount of your securities, and possibly zero.
|
Citigroup Global Markets Holdings Inc.
|
|
|
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with each underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-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.
|
|
§
|
You may lose a significant portion or all of your investment. Unlike conventional debt securities, the securities do not provide
for the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed prior
to maturity, your payment at maturity will depend on the final underlying value of the worst performing underlying on the final valuation
date. If the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value,
you will not receive the stated principal amount of your securities at maturity and, instead, will receive underlying shares of the worst
performing underlying on the final valuation date (or, in our sole discretion, cash based on its final underlying value) that will be
worth significantly less than the stated principal amount and possibly nothing. There is no minimum payment at maturity on the securities,
and you may lose up to all of your investment.
|
We may elect, in our sole discretion, to pay you cash at maturity
in lieu of delivering any underlying shares of the worst performing underlying on the final valuation date. If we elect to pay you cash
at maturity in lieu of delivering any underlying shares of the worst performing underlying on the final valuation date, the amount of
that cash may be less than the market value of the underlying shares on the maturity date because the market value will likely fluctuate
between the final valuation date and the maturity date. Conversely, if we do not exercise our cash election right and instead deliver
underlying shares of the worst performing underlying on the final valuation date to you on the maturity date, the market value of such
underlying shares may be less than the cash amount you would have received if we had exercised our cash election right. We will have no
obligation to take your interests into account when deciding whether to exercise our cash election right.
|
|
§
|
Your potential return on the securities is limited. Your potential return on the securities is limited to the applicable premium
payable upon automatic early redemption or the digital return amount at maturity, as described on the cover page of this pricing supplement.
If the closing value of the worst performing underlying on one of the valuation dates (other than the final valuation date) is greater
than or equal to its premium threshold value applicable to that valuation date, you will be repaid the stated principal amount of your
securities and will receive the fixed premium applicable to that valuation date, regardless of how significantly the closing value of
the worst performing underlying on that valuation date may exceed the applicable premium threshold value. At maturity, your potential
return on the securities is limited to the digital return. Accordingly, any premium or the digital return at maturity may result in a
return on the securities that is significantly less than the return you could have achieved on a direct investment in any or all of the
underlyings.
|
|
|
§
|
The initial underlying values, which were set on the strike date, may be higher than the closing values of the underlyings on the
pricing date. If the closing values of the underlyings on the pricing date are less than the initial underlying values that were set
on the strike date, the terms of the securities may be less favorable to you than the terms of an alternative investment that may be available
to you that offers a similar payout as the securities but with the initial underlying values set on the pricing date.
|
|
|
§
|
The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest prior to maturity.
You should not invest in the securities if you seek current income during the term of the securities.
|
|
|
§
|
The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky than similar
investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying
will perform poorly, adversely affecting your return on the securities.
|
|
|
§
|
The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs
poorly. You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively
affected. The securities are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would
be better than the performance of the worst performing underlying alone. Instead, you are subject to the full risks of whichever of the
underlyings is the worst performing underlying.
|
|
|
§
|
You will not benefit in any way from the performance of any better performing underlying. The return on the securities depends
solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying.
|
|
|
§
|
You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective for
the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this relationship.
The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the underlyings to perform poorly. It is impossible to predict
what the relationship between the underlyings will be over the term of the securities. The underlyings differ in significant ways and,
therefore, may not be correlated with each other.
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
|
|
§
|
The securities may be automatically redeemed prior to maturity, limiting the term of the securities. If the closing value of
the worst performing underlying on any valuation date (other than the final valuation date) is greater than or equal to its premium threshold
value applicable to that valuation date, the securities will be automatically redeemed. If the securities are automatically redeemed following
any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable
to any later valuation date. Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield
with a similar level of risk.
|
|
|
§
|
The securities offer downside exposure to the worst performing underlying, but no upside exposure to any underlying. You will
not participate in any appreciation in the value of any underlying over the term of the securities. Consequently, your return on the securities
will be limited to the applicable premium payable upon an automatic early redemption or at maturity and may be significantly less than
the return on any underlying over the term of the securities.
|
|
|
§
|
You will not receive dividends or have any other rights with respect to the underlyings unless and until you receive underlying
shares of the worst performing underlying on the final valuation date at maturity. You will not receive any dividends with respect
to the underlyings unless and until you receive underlying shares of the worst performing underlying on the final valuation date at maturity.
This lost dividend yield may be significant over the term of the securities. The payment scenarios described in this pricing supplement
do not show any effect of such lost dividend yield over the term of the securities. In addition, you will not have voting rights or any
other rights with respect to the underlyings. If any change to the underlying shares of the worst performing underlying is proposed, such
as an amendment to the underlying’s organizational documents, you will not have the right to vote on such change, but you will be
subject to such change in the event you receive underlying shares of the worst performing underlying on the final valuation date at maturity.
Any such change may adversely affect the market value of the underlying shares of the worst performing underlying on the final valuation
date.
|
|
|
§
|
The performance of the securities will depend on the closing values of the underlyings solely on the valuation dates, which makes
the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates. Whether
the securities will be automatically redeemed prior to maturity will depend on the closing values of the underlyings solely on the valuation
dates (other than the final valuation date), regardless of the closing values of the underlyings on other days during the term of the
securities. If the securities are not automatically redeemed prior to maturity, what you receive at maturity will depend solely on the
closing value of the worst performing underlying on the final valuation date, and not on any other day during the term of the securities.
Because the performance of the securities depends on the closing values of the underlyings on a limited number of dates, the securities
will be particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates. You should understand
that the closing value of each underlying has historically been highly volatile.
|
|
|
§
|
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.
|
|
|
§
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity.
|
|
|
§
|
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) any selling concessions or other 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.
|
|
|
§
|
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, and correlation between, the closing values of
the underlyings, dividend yields on the underlyings 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.
|
|
|
§
|
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
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
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 is payable on the securities.
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.
|
|
§
|
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.
|
|
|
§
|
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 closing values of the underlyings, the volatility of, and correlation between, the closing
values of the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk Factors Relating
to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based
on many unpredictable factors” in the accompanying product supplement. Changes in the closing values of the underlyings 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.
|
|
|
§
|
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.
|
|
|
§
|
Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities does
not mean that we believe that investing in an instrument linked to the underlyings 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 underlyings or in
instruments related to the underlyings, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlyings. These and other activities of our affiliates may affect the closing values of the underlyings in a way that
negatively affects the value of and your return on the securities.
|
|
|
§
|
The closing value of an underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the underlyings
or in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates
also take positions in the underlyings or in financial instruments related to the underlyings 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 closing values of the underlyings in a way that negatively affects the value of and your return on the
securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines.
|
|
|
§
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates may acquire
non-public information, which will not be disclosed to you.
|
|
|
§
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur during the term of the securities, such as market disruption events and other events with respect to an underlying,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities.
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. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product
supplement.
|
|
|
§
|
Even if an underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the
securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general, an adjustment
will not be made under the terms of the securities for any cash dividend paid by an underlying unless the amount of the dividend per share,
together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an amount
equal to at least 10% of the closing value of that underlying on the date of declaration of the dividend. Any dividend will reduce the
closing value of the underlying by the amount of the dividend per share. If an underlying pays any dividend for which an
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
adjustment is not made under the terms of
the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain Additional
Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” in the accompanying product supplement.
|
|
§
|
The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the closing
value of an underlying. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not
meet the criteria described above, partial tender offers or additional underlying share issuances. Moreover, the adjustments we do make
may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by
such an event in a circumstance in which a direct holder of the underlying shares of an underlying would not.
|
|
|
§
|
The securities may become linked to an underlying other than an original underlying upon the occurrence of a reorganization event
or upon the delisting of the underlying shares of that original underlying. For example, if an underlying enters into a merger agreement
that provides for holders of its underlying shares to receive shares of another entity and such shares are marketable securities, the
closing value of that underlying following consummation of the merger will be based on the value of such other shares. Additionally, if
the underlying shares of an underlying are delisted, the calculation agent may select a successor underlying. See “Description of
the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying
product supplement.
|
|
|
§
|
If the underlying shares of an underlying are delisted, we may call the securities prior to maturity for an amount that may be
less than the stated principal amount. If we exercise this call right, you will receive the amount described under “Description
of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting of
an Underlying Company” in the accompanying product supplement. This amount may be less, and possibly significantly less, than the
stated principal amount of the securities.
|
|
|
§
|
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.
|
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.
|
|
|
Information About Cigna Corporation
Cigna Corporation operates as an insurance company. The company offers
life, accident, disability, supplemental, medicare, and dental insurance products and services. Cigna serves individuals, families, and
businesses worldwide. The underlying shares of Cigna Corporation are registered under the Securities Exchange Act of 1934, as amended
(the “Exchange Act”). Information provided to or filed with the SEC by Cigna Corporation pursuant to the Exchange Act can
be located by reference to the SEC file number 001-38769 through the SEC’s website at http://www.sec.gov. In addition, information
regarding Cigna Corporation may be obtained from other sources including, but not limited to, press releases, newspaper articles and other
publicly disseminated documents. The underlying shares of Cigna Corporation trade on the New York Stock Exchange under the ticker symbol
“CI.”
We have derived all information regarding Cigna Corporation from publicly
available information and have not independently verified any information regarding Cigna Corporation. This pricing supplement relates
only to the securities and not to Cigna Corporation. We make no representation as to the performance of Cigna Corporation over the term
of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. Cigna Corporation is not involved in any way in this offering and has no obligation relating
to the securities or to holders of the securities.
Historical Information
The closing value of Cigna Corporation on July 27, 2021 was $228.88.
The graph below shows the closing value of Cigna Corporation for each
day such value was available from January 3, 2011 to July 27, 2021. We obtained the closing values from Bloomberg L.P., without independent
verification. If certain corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs
or mergers, then the closing values shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg
L.P. as if any such transaction had occurred prior to the first day in the period shown below. You should not take historical closing
values as an indication of future performance.
Cigna Corporation – Historical Closing Values
January 3, 2011 to July 27, 2021
|
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
Information About Intel Corporation
Intel Corporation designs, manufactures, and sells computer components
and related products. The company’s major products include microprocessors, chipsets, embedded processors and microcontrollers,
flash memory, graphic, network and communication, systems management software, conferencing, and digital imaging products. The underlying
shares of Intel Corporation are registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information
provided to or filed with the SEC by Intel Corporation pursuant to the Exchange Act can be located by reference to the SEC file number
000-06217 through the SEC’s website at http://www.sec.gov. In addition, information regarding Intel Corporation may be obtained
from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. The underlying
shares of Intel Corporation trade on the Nasdaq Global Select Market under the ticker symbol “INTC.”
We have derived all information regarding Intel Corporation from publicly
available information and have not independently verified any information regarding Intel Corporation. This pricing supplement relates
only to the securities and not to Intel Corporation. We make no representation as to the performance of Intel Corporation over the term
of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. Intel Corporation is not involved in any way in this offering and has no obligation relating
to the securities or to holders of the securities.
Historical Information
The closing value of Intel Corporation on July 27, 2021 was $53.18.
The graph below shows the closing value of Intel Corporation for each
day such value was available from January 3, 2011 to July 27, 2021. We obtained the closing values from Bloomberg L.P., without independent
verification. If certain corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs
or mergers, then the closing values shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg
L.P. as if any such transaction had occurred prior to the first day in the period shown below. You should not take historical closing
values as an indication of future performance.
Intel Corporation – Historical Closing Values
January 3, 2011 to July 27, 2021
|
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
Information About QUALCOMM Incorporated
Qualcomm Incorporated operates as a multinational semiconductor and
telecommunications equipment company. The company develops and delivers digital wireless communications products and services based on
CDMA digital technology. Qualcomm serves customers worldwide. The underlying shares of QUALCOMM Incorporated are registered under the
Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by QUALCOMM
Incorporated pursuant to the Exchange Act can be located by reference to the SEC file number 000-19528 through the SEC’s website
at http://www.sec.gov. In addition, information regarding QUALCOMM Incorporated may be obtained from other sources including, but not
limited to, press releases, newspaper articles and other publicly disseminated documents. The underlying shares of QUALCOMM Incorporated
trade on the Nasdaq Global Select Market under the ticker symbol “QCOM.”
We have derived all information regarding QUALCOMM Incorporated from
publicly available information and have not independently verified any information regarding QUALCOMM Incorporated. This pricing supplement
relates only to the securities and not to QUALCOMM Incorporated. We make no representation as to the performance of QUALCOMM Incorporated
over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. QUALCOMM Incorporated is not involved in any way in this offering and has no obligation relating
to the securities or to holders of the securities.
Historical Information
The closing value of QUALCOMM Incorporated on July 27, 2021 was $140.93.
The graph below shows the closing value of QUALCOMM Incorporated for
each day such value was available from January 3, 2011 to July 27, 2021. We obtained the closing values from Bloomberg L.P., without independent
verification. If certain corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs
or mergers, then the closing values shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg
L.P. as if any such transaction had occurred prior to the first day in the period shown below. You should not take historical closing
values as an indication of future performance.
QUALCOMM Incorporated – Historical Closing Values
January 3, 2011 to July 27, 2021
|
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
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. This discussion does not address the U.S. federal tax consequences of the
ownership or disposition of the underlying shares that you may receive at maturity. You should consult your tax adviser regarding the
U.S. federal tax consequences of the ownership and disposition of the underlying shares.
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:
|
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.
|
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity for cash), 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.
|
|
|
·
|
If you receive the underlying shares (and cash in lieu of any fractional shares) at maturity, you should not recognize gain or loss
with respect to the underlying shares received. Instead, you should have an aggregate tax basis in the underlying shares received (including
any fractional shares deemed received) equal to your basis in the securities. Your holding period for any underlying shares received should
start on the day after receipt. With respect to any cash received in lieu of a fractional share, you should recognize capital loss in
an amount equal to the difference between the amount of cash received in lieu of the fractional share and the portion of your tax basis
in the securities that is allocable to the fractional share.
|
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.
|
|
|
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $7.50 for each security
sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected dealers, as described
in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable selling concession of
up to $7.50 for each security they sell. For the avoidance of doubt, any fees or selling concessions described in this pricing supplement
will not be rebated if the securities are automatically redeemed prior to maturity.
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.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and issued
by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor,
such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings
Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that
such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed the
legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets
Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc. In addition, this opinion is subject
to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021, which has been filed as an exhibit to
a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been duly authorized, executed and delivered
by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the securities nor the issuance and
delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc.
with the terms of the securities and the related guarantee respectively, will result in a violation of any provision of any instrument
or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by
any court or governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has
duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup Global
Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been duly
authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture and
of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global
Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation
or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws
of the State of New York.
Alexia Breuvart, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all
|
Citigroup Global Markets Holdings Inc.
|
|
|
documents submitted to her or such persons as originals, the conformity
to original documents of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the
originals of such copies.
In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the
guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly
existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered
by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination,
she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers
of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents
of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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.
Citigroup (NYSE:C)
Historical Stock Chart
From Mar 2024 to Apr 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Apr 2023 to Apr 2024
