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Citigroup Global Markets Holdings Inc.
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February 24, 2021
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2021-USNCH6775
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
Nos. 333-224495 and 333-224495-03
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Market-Linked
Securities Linked to the Worst Performing of the Nasdaq-100 Index® , the Russell 2000® Index and
the S&P 500® Index Due February 27, 2026
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▪
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The securities offered by this pricing supplement are
unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional
debt securities, the securities do not pay interest and do not guarantee the full repayment of principal at maturity. Instead,
the securities offer the potential for a return at maturity based on the performance of the worst performing of the underlyings
specified below from its initial underlying value to its final underlying value.
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▪
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If the worst performing underlying appreciates from its
initial underlying value to its final underlying value, you will receive a positive return at maturity equal to that appreciation
multiplied by the upside participation rate, subject to the maximum return at maturity specified below. However, if the
worst performing underlying depreciates from its initial underlying value to its final underlying value, you will incur a loss
at maturity equal to that depreciation, subject to the maximum loss at maturity specified below. Even if the worst performing
underlying appreciates from its initial underlying value to its final underlying value, so that you do receive a positive return
at maturity, there is no assurance that your total return at maturity on the securities will compensate you for the effects of
inflation or be as great as the yield you could have achieved on a conventional debt security of ours of comparable maturity.
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▪
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In exchange for the capped loss potential if the worst
performing underlying depreciates, investors in the securities must be willing to forgo (i) any return on the securities in excess
of the maximum return at maturity and (ii) dividends with respect to any underlying. If the worst performing underlying does
not appreciate from its initial underlying value to its final underlying value, you will not receive any return on your investment
in the securities, and you may lose up to the maximum loss at maturity.
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▪
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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.
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▪
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In order to obtain the modified exposure to the worst
performing underlying 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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Underlyings:
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Underlying
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Initial underlying value*
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Nasdaq-100 Index®
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13,302.19
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Russell 2000® Index
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2,284.381
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S&P 500® Index
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3,925.43
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For each underlying,
its closing value on the pricing date
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Stated principal amount:
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$1,000 per security
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Pricing date:
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February 24, 2021
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Issue date:
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March 1, 2021
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Valuation date:
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February 24, 2026, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Maturity date:
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February 27, 2026
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Payment at maturity:
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You will receive at maturity for each security you then hold:
·
If the final underlying value of the worst performing underlying is greater than its
initial underlying value:
$1,000 + the return amount, subject to the maximum
return at maturity
·
If the final underlying value of the worst performing underlying is less than or equal
to its initial underlying value:
$1,000 + ($1,000 × the underlying return of
the worst performing underlying), subject to the maximum loss at maturity
If the worst performing underlying depreciates from its initial
underlying value to its final underlying value, you will be exposed to that depreciation up to the maximum loss at maturity. You
should not invest in the securities unless you are willing and able to bear the risk of losing up to the maximum loss at maturity.
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Final underlying value:
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For each underlying, its closing value on the valuation date
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Return amount:
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$1,000 × the underlying return of the worst performing underlying × the upside participation rate
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Upside participation rate:
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100.00%
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Worst performing underlying:
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The underlying with the lowest underlying return
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Underlying return:
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For each underlying, (i) its final underlying value minus its initial underlying value, divided by (ii) its initial underlying value
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Maximum return at maturity:
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$217.00 per security (21.70% of the stated principal amount). The payment at maturity per security will not exceed the stated principal amount plus the maximum return at maturity.
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Maximum loss at maturity:
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$100.00 per security (10.00% of the stated principal amount). The maximum loss at maturity represents the maximum loss that may be realized at maturity under the terms of the securities (that is, the maximum amount by which the stated payment at maturity may be less than the stated principal amount). If you sell the securities prior to maturity, or if we and Citigroup Inc. default on our obligations under the securities, you may incur a greater loss on your investment.
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17328YUN2 / US17328YUN20
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee(2)
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Proceeds to issuer(3)
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Per security:
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$1,000.00
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$11.25
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$988.75
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Total:
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$95,000.00
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$475.00
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$94,525.00
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(1) On the date of this pricing supplement, the estimated value
of the securities is $954.10 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 $11.25 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-5.
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, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, which can be accessed
via the hyperlinks below:
Product Supplement No. EA-02-08 dated February 15, 2019 Underlying Supplement No. 9 dated October 30, 2020
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.
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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, 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. The accompanying underlying supplement contains information
about each underlying that is 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 deciding whether to invest
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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·
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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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·
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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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·
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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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·
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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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·
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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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Payout Diagram
The diagram below illustrates your payment at maturity for a
range of hypothetical underlying returns of the worst performing underlying.
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” below.
Payout Diagram
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n The Securities
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n The Worst Performing Underlying
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Citigroup Global Markets Holdings Inc.
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Hypothetical Examples
The examples below illustrate how to determine the payment at
maturity on the securities, assuming the various hypothetical final underlying values indicated below. The examples are solely
for illustrative purposes, do not show all possible outcomes and are not a prediction of what the actual payment at maturity on
the securities will be. The actual payment at maturity will depend on the actual final underlying value of the worst performing
underlying.
The examples below are based on the following hypothetical values
and do not reflect the actual initial underlying values of the underlyings. For the actual initial underlying value 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 the actual payment at maturity
on the securities will be calculated based on the actual initial underlying value of each underlying, and not the hypothetical
values indicated below. For ease of analysis, figures below have been rounded.
Underlying
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Hypothetical initial underlying value
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Nasdaq-100 Index®
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100.00
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Russell 2000® Index
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100.00
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S&P 500® Index
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100.00
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Example 1—Upside Scenario A. The final underlying
value of the worst performing underlying is 105.00, resulting in a 5.00% underlying return for the worst performing underlying.
In this example, the final underlying value of the worst performing underlying is greater than its initial underlying value.
Underlying
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Hypothetical final underlying value
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Hypothetical underlying return
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Nasdaq-100 Index® *
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105.00
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5.00%
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Russell 2000® Index
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120.00
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20.00%
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S&P 500® Index
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120.00
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20.00%
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* Worst performing underlying
Payment at maturity per security = $1,000 + the return amount,
subject to the maximum return at maturity
= $1,000 + ($1,000 × the underlying return of the worst
performing underlying × the upside participation rate), subject to the maximum return at maturity
= $1,000 + ($1,000 × 5.00% × 100.00%), subject to
the maximum return at maturity
= $1,000 + $50.00, subject to the maximum return at maturity
= $1,050.00
In this scenario, the worst performing underlying has appreciated
from its initial underlying value to its final underlying value, and your total return at maturity would equal the underlying return
of the worst performing underlying multiplied by the upside participation rate.
Example 2—Upside Scenario B. The final underlying
value of the worst performing underlying is 150.00, resulting in a 50.00% underlying return for the worst performing underlying.
In this example, the final underlying value of the worst performing underlying is greater than its initial underlying value.
Underlying
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Hypothetical final underlying value
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Hypothetical underlying return
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Nasdaq-100 Index®
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170.00
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70.00%
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Russell 2000® Index*
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150.00
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50.00%
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S&P 500® Index
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160.00
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60.00%
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* Worst performing underlying
Payment at maturity per security = $1,000 + the return amount,
subject to the maximum return at maturity
= $1,000 + ($1,000 × the underlying return of the worst
performing underlying × the upside participation rate), subject to the maximum return at maturity
= $1,000 + ($1,000 × 50.00% × 100.00%), subject to
the maximum return at maturity
= $1,000 + $500.00, subject to the maximum return at maturity
= $1,217.00
In this scenario, the worst performing underlying has appreciated
from its initial underlying value to its final underlying value, but the underlying return of the worst performing underlying multiplied
by the upside participation rate would exceed the maximum return at maturity. As a result, your total return at maturity in
this scenario would be limited to the maximum return at maturity, and an investment in the securities would underperform a hypothetical
alternative investment providing 1-to-1 exposure to the appreciation of the worst performing underlying without a maximum return.
Citigroup Global Markets Holdings Inc.
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Example 3—Downside Scenario A. The final underlying
value of the worst performing underlying is 95.00, resulting in a -5.00% underlying return for the worst performing underlying.
Underlying
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Hypothetical final underlying value
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Hypothetical underlying return
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Nasdaq-100 Index®
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120.00
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20.00%
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Russell 2000® Index
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105.00
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5.00%
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S&P 500® Index*
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95.00
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-5.00%
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* Worst performing underlying
Payment at maturity per security = $1,000 + ($1,000 × the
underlying return of the worst performing underlying), subject to the maximum loss at maturity
= $1,000 + ($1,000 × -5.00%), subject to the maximum loss
at maturity
= $1,000 + -$50.00, subject to the maximum loss at maturity
= $950.00, subject to the maximum loss at maturity
= $950.00
In this scenario, the worst performing underlying has depreciated
from its initial underlying value to its final underlying value, but not by more than 10.00%. As a result, your payment at maturity
would reflect 1-to-1 exposure to the negative performance of the worst performing underlying and you would incur a loss at maturity
equal to the depreciation of the worst performing underlying.
Example 4—Downside Scenario B. The final underlying
value of the worst performing underlying is 80.00, resulting in a -20.00% underlying return for the worst performing underlying.
Underlying
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Hypothetical final underlying value
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Hypothetical underlying return
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Nasdaq-100 Index® *
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80.00
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-20.00%
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Russell 2000® Index
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150.00
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50.00%
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S&P 500® Index
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120.00
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20.00%
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* Worst performing underlying
Payment at maturity per security = $1,000 + ($1,000 × the
underlying return of the worst performing underlying), subject to the maximum loss at maturity
= $1,000 + ($1,000 × -20.00%), subject to the maximum loss
at maturity
= $1,000 + -$200.00, subject to the maximum loss at maturity
= $800.00, subject to the maximum loss at maturity
= $900
In this scenario, the worst performing underlying has depreciated
from its initial underlying value to its final underlying value by more than 10.00%. As a result, you would incur a loss at maturity
equal to the maximum loss at maturity.
Citigroup Global Markets Holdings Inc.
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Summary Risk Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with 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.
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§
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You may not receive any return on your investment in the securities and may lose up to the maximum loss at maturity.
You will receive a positive return on your investment in the securities only if the worst performing underlying appreciates from
its initial underlying value to its final underlying value. If the final underlying value of the worst performing underlying is
less than its initial underlying value, you will lose 1% of the stated principal amount of the securities for every 1% by which
its final underlying value is less than its initial underlying value, subject to the maximum loss at maturity. As the securities
do not pay any interest, if the worst performing underlying does not appreciate sufficiently from its initial underlying value
to its final underlying value over the term of the securities or if the worst performing underlying depreciates from its initial
underlying value to its final underlying value, the overall return on the securities may be less than the amount that would be
paid on our conventional debt securities of comparable maturity.
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§
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Although the securities limit your loss to the maximum loss at maturity, you may nevertheless suffer additional losses on
your investment in real value terms if the worst performing underlying declines or does not appreciate sufficiently from its initial
underlying value to its final underlying value. This is because inflation may cause the real value of the stated principal
amount to be less at maturity than it is at the time you invest, and because an investment in the securities represents a forgone
opportunity to invest in an alternative asset that does generate a positive real return. This potential loss in real value terms
is significant given the term of the securities. You should carefully consider whether an investment that may not provide for any
return on your investment, or may provide a return that is lower than the return on alternative investments, is appropriate for
you. In addition, the maximum loss at maturity applies only at maturity. If you sell your securities prior to maturity, the price
you receive may result in a loss that is significantly greater than the maximum loss at maturity.
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§
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Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited
to the maximum return at maturity, even if the worst performing underlying appreciates by significantly more than the maximum return
at maturity. If the worst performing underlying appreciates by more than the maximum return at maturity, the securities will underperform
an alternative investment providing 1-to-1 exposure to the performance of the worst performing underlying. When lost dividends
are taken into account, the securities may underperform an alternative investment providing 1-to-1 exposure to the performance
of the worst performing underlying even if the worst performing underlying appreciates by less than the maximum return at maturity.
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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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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.
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§
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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.
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§
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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.
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§
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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.
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§
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You will not receive dividends or have any other rights with respect to the underlyings. You will not receive any dividends
with respect to the underlyings. 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 or the stocks included in the underlyings.
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Citigroup Global Markets Holdings Inc.
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§
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Your payment at maturity depends on the closing value of the worst performing underlying on a single day. Because your
payment at maturity depends on the closing value of the worst performing underlying solely on the valuation date, you are subject
to the risk that the closing value of the worst performing underlying on that day may be lower, and possibly significantly lower,
than on one or more other dates during the term of the securities. If you had invested in another instrument linked to the worst
performing underlying that you could sell for full value at a time selected by you, or if the payment at maturity were based on
an average of closing values of the worst performing underlying, you might have achieved better returns.
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§
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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.
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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§
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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) 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.
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§
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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, 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.
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§
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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 is
payable on the securities.
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Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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§
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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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§
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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 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
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Citigroup Global Markets Holdings Inc.
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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.
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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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The Russell 2000® Index is subject to risks associated with small capitalization stocks. The stocks that
constitute the Russell 2000® Index are issued by companies with relatively small market capitalization. The stock
prices of smaller companies may be more volatile than stock prices of large capitalization companies. These companies tend to be
less well-established than large market capitalization companies. Small capitalization companies may be less able to withstand
adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less
likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price
pressure under adverse market conditions.
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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.
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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.
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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 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.
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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 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.
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Changes that affect the underlyings may affect the value of your securities. The sponsors of the underlyings may at
any time make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings.
We are not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may
make. Such changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
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Citigroup Global Markets Holdings Inc.
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Information About the Nasdaq-100 Index®
The Nasdaq-100 Index® is a modified market capitalization-weighted
index of stocks of the 100 largest non-financial companies listed on the Nasdaq Stock Market. All stocks included in the Nasdaq-100
Index® are traded on a major U.S. exchange. The Nasdaq-100 Index® was developed by the Nasdaq Stock
Market, Inc. and is calculated, maintained and published by Nasdaq, Inc.
Please refer to the section “Equity Index Descriptions—
The NASDAQ-100 Index®” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Nasdaq-100 Index®
from publicly available information and have not independently verified any information regarding the Nasdaq-100 Index®.
This pricing supplement relates only to the securities and not to the Nasdaq-100 Index®. We make no representation
as to the performance of the Nasdaq-100 Index® over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Nasdaq-100 Index® is not involved in any way
in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Nasdaq-100 Index® on
February 24, 2021 was 13,302.19.
The graph below shows the closing value of the Nasdaq-100 Index®
for each day such value was available from January 3, 2011 to February 24, 2021. We obtained the closing values from Bloomberg
L.P., without independent verification. You should not take historical closing values as an indication of future performance.
Nasdaq-100 Index® – Historical Closing Values
January 3, 2011 to February 24, 2021
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Citigroup Global Markets Holdings Inc.
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Information About the Russell 2000®
Index
The Russell 2000® Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000®
Index are traded on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section “Equity Index Descriptions—
The Russell Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000®
Index from publicly available information and have not independently verified any information regarding the Russell 2000®
Index. This pricing supplement relates only to the securities and not to the Russell 2000® Index. We make no representation
as to the performance of the Russell 2000® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000® Index is not involved in any
way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Russell 2000® Index on
February 24, 2021 was 2,284.381.
The graph below shows the closing value of the Russell 2000®
Index for each day such value was available from January 3, 2011 to February 24, 2021. We obtained the closing values from Bloomberg
L.P., without independent verification. You should not take historical closing values as an indication of future performance.
Russell 2000® Index – Historical Closing Values
January 3, 2011 to February 24, 2021
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Citigroup Global Markets Holdings Inc.
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Information About the S&P 500®
Index
The S&P 500® Index consists of the common
stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets.
It is calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—
The S&P U.S. Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the S&P 500®
Index from publicly available information and have not independently verified any information regarding the S&P 500®
Index. This pricing supplement relates only to the securities and not to the S&P 500® Index. We make no representation
as to the performance of the S&P 500® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index is not involved in any
way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the S&P 500® Index on
February 24, 2021 was 3,925.43.
The graph below shows the closing value of the S&P 500®
Index for each day such value was available from January 3, 2011 to February 24, 2021. We obtained the closing values from Bloomberg
L.P., without independent verification. You should not take historical closing values as an indication of future performance.
S&P 500® Index – Historical Closing Values
January 3, 2011 to February 24, 2021
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Citigroup Global Markets Holdings Inc.
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United States Federal Income Tax Considerations
Prospective investors should note that, other than the discussion
under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Withholding Under
Section 871(m) of the Code,” the section entitled “United States Federal Tax Considerations” in the accompanying
product supplement does not apply to the securities issued under this pricing supplement and is superseded by the following discussion.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
the securities should be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as
described in the section of the accompanying prospectus supplement called “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,” and the remaining discussion is
based on this treatment. The discussion herein does not address the consequences to taxpayers subject to special tax accounting
rules under Section 451(b) of the Internal Revenue Code of 1986, as amended (the “Code”).
If you are a U.S. Holder (as defined in the accompanying prospectus
supplement), you will be required to recognize interest income during the term of the securities at the “comparable yield,”
which generally is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of the securities,
including the level of subordination, term, timing of payments and general market conditions, but excluding any adjustments for
the riskiness of the contingencies or the liquidity of the securities. We are required to construct a “projected payment
schedule” in respect of the securities representing a payment the amount and timing of which would produce a yield to maturity
on the securities equal to the comparable yield. Assuming you hold the securities until their maturity, the amount of interest
you include in income based on the comparable yield in the taxable year in which the securities mature will be adjusted upward
or downward to reflect the difference, if any, between the actual and projected payment on the securities at maturity as determined
under the projected payment schedule.
Upon the sale, exchange or retirement of the securities prior
to maturity, you generally will recognize gain or loss equal to the difference between the proceeds received and your adjusted
tax basis in the securities. Your adjusted tax basis will equal your purchase price for the securities, increased by interest previously
included in income on the securities. Any gain generally will be treated as ordinary income, and any loss generally will be treated
as ordinary loss to the extent of prior interest inclusions on the security and as capital loss thereafter.
We have determined that the comparable yield for a security is
a rate of 1.186%, compounded semi-annually, and that the projected payment schedule with respect to a security consists of a single
payment of $1,060.776 at maturity. The following table states the amount of interest (without taking into account any adjustment
to reflect the difference, if any, between the actual and the projected amount of the contingent payment on a security) that will
be deemed to have accrued with respect to a security for each accrual period (assuming a day count convention of 30 days per month
and 360 days per year), based upon the comparable yield set forth above:
ACCRUAL PERIOD
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OID DEEMED TO ACCRUE DURING ACCRUAL PERIOD (PER SECURITY)
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Issue date through June 30, 2021
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$3.920
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July 1, 2021 through December 31, 2021
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$5.953
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January 1, 2022 through June 30, 2022
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$5.989
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July 1, 2022 through December 31, 2022
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$6.024
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January 1, 2023 through June 30, 2023
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$6.060
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July 1, 2023 through December 31, 2023
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$6.096
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January 1, 2024 through June 30, 2024
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$6.132
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July 1, 2024 through December 31, 2024
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$6.168
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January 1, 2025 through June 30, 2025
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$6.205
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July 1, 2025 through December 31, 2025
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$6.242
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January 1, 2026 through maturity
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$1.988
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Neither the comparable yield nor the projected payment schedule
constitutes a representation by us regarding the actual amount that we will pay on the securities.
Non-U.S. Holders. Subject to the discussions below regarding
Section 871(m) and in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” and “—FATCA”
in the accompanying prospectus supplement, if you are a Non-U.S. Holder (as defined in the accompanying prospectus supplement)
of the securities, under current law you generally will not be subject to U.S. federal withholding or income tax in respect of
any payment on or any amount received on the sale, exchange or retirement of 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. See “United States Federal Tax Considerations—Tax Consequences to Non-U.S.
Holders” in the accompanying prospectus supplement for a more detailed discussion of the rules applicable to Non-U.S. Holders
of the securities.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders—Possible Withholding Under Section 871(m) of the Code” 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)
Citigroup Global Markets Holdings Inc.
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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 Internal Revenue Service (“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.
FATCA. You should review the section entitled “United
States Federal Tax Considerations—FATCA” in the accompanying prospectus supplement regarding withholding rules under
the “FATCA” regime. The discussion in that section is hereby modified to reflect regulations proposed by the U.S. Treasury
Department indicating an intent to eliminate the requirement under FATCA of withholding on gross proceeds of the disposition of
affected financial instruments. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations
pending their finalization.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying prospectus supplement and the discussion under “United States Federal
Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Withholding Under Section 871(m) of the Code”
in the accompanying product supplement. The preceding discussion, when read in combination with those sections, 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 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.
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 $11.25
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 $11.25 for each security they sell.
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 four 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 four-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.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
Citigroup Global Markets Holdings Inc.
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority
of Singapore, and the securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore
(the “Securities and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly,
to any person in Singapore other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act,
(b) to a relevant person under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of
the Securities and Futures Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act,
or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures
Act. Where the securities are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person
which is:
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(a)
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a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
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Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
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
Citigroup Global Markets Holdings Inc.
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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 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.
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.
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