Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495
and 333-224495-03
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April 16, 2021
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2021-USNCH7211 to Product
Supplement No. EA-02-08
dated February 15, 2019, Underlying Supplement No. 9 dated October 30, 2020 and
Prospectus Supplement and Prospectus each dated May 14, 2018
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Citigroup Global Markets Holdings
Inc.
All Payments Due from Citigroup
Global Markets Holdings Inc. Fully and Unconditionally Guaranteed by Citigroup Inc.
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Market Linked Securities—Upside Participation
to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P
500® Index due April 21, 2026
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n Linked
to the S&P 500® Index (the “underlying”)
n Unlike
ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities
provide for a payment at maturity that may be greater than, equal to or less than the stated principal amount of the securities, depending
on the performance of the underlying from the initial underlying value to the final underlying value. The payment at maturity will
reflect the following terms:
n If
the value of the underlying increases, you will receive the stated principal amount plus 100% participation in the upside performance
of the underlying, subject to a maximum return at maturity of 105% of the stated principal amount. As a result of the maximum return,
the maximum payment at maturity will be $2,050.00 per security.
n If
the value of the underlying remains unchanged or decreases but the decrease is to a value that is greater than or equal to the final barrier
value, you will be repaid the stated principal amount
n If
the value of the underlying decreases to a value less than the final barrier value, you will lose a significant portion, and possibly
all, of the stated principal amount of your securities
n The
final barrier value for the underlying is equal to 75% of the initial underlying value
n Investors
may lose up to 100% of the stated principal amount
n All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.; if Citigroup Global
Markets Holdings Inc. and Citigroup Inc. default on their obligations, you could lose some or all of your investment
n No
periodic interest payments or dividends
n The
securities will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should not invest in
the securities unless you are willing to hold them to maturity.
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The securities have complex features and investing
in the securities involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors”
beginning on page PS-7, “Risk Factors Relating to the Securities” beginning on page EA-7 of the accompanying product supplement
and “Risk Factors” beginning on page S-1 of the accompanying prospectus supplement.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete.
Any representation to the contrary is a criminal offense.
The securities are unsecured debt obligations
issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. All payments due on the securities are subject to the
credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. None of Wells Fargo Securities, LLC (“Wells Fargo”)
or any of its affiliates will have any liability to the purchasers of the securities in the event Citigroup Global Markets Holdings Inc.
defaults on its obligations under the securities and Citigroup Inc. defaults on its guarantee obligations. 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.
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Per Security
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Total
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Public Offering Price(1)
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$1,000.00
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$9,240,000.00
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Underwriting Discount and Commission(2)(3)
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$40.00
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$369,600.00
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Proceeds to Citigroup Global Markets Holdings Inc.(2)
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$960.00
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$8,870,400.00
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(1) On the date of this pricing supplement,
the estimated value of the securities is $940.50 per security, which is less than the public offering price. The estimated value of the
securities is based on Citigroup Global Market Inc.’s (“CGMI”) 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
any person may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in
this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global
Markets Holdings Inc., as the lead agent for the offering, has agreed to sell the securities to Wells Fargo, as agent. Wells Fargo will
receive an underwriting discount and commission of 4.00% ($40.00) for each security it sells. Wells Fargo will pay selected dealers,
which may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of its affiliates, Wells
Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), a fixed selling commission of 2.50% ($25.00) for each
security they sell. In addition to the selling commission allowed to WFA, Wells Fargo will pay $1.20 per security of the underwriting
discount and commission to WFA as a distribution expense fee for each security sold by WFA. The total underwriting discount and commission
and proceeds to Citigroup Global Markets Holdings Inc. shown above give effect to the actual underwriting discount and commission provided
for the sale of the securities. See “Supplemental Plan of Distribution” below and “Use of Proceeds and Hedging”
in the accompanying prospectus for further information regarding how we have hedged our obligations under the securities.
(3) In respect of certain securities sold
in this offering, CGMI may pay a fee of up to $1.00 per security to selected securities dealers in consideration for marketing and other
services in connection with the distribution of the securities to other securities dealers.
Citigroup Global Markets Inc.
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Wells Fargo
Securities
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Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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Underlying:
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The S&P 500® Index
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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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Stated Principal Amount:
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$1,000 per security. References in this pricing supplement to a “security” are to a security with a stated principal amount of $1,000.
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Pricing Date:
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April 16, 2021
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Issue Date:
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April 21, 2021
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Valuation Date:
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April 14, 2026, subject to postponement if such date is not a trading day or certain market disruption events occur. See “Additional Terms of the Securities.”
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Maturity Date:
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April 21, 2026. If the valuation date is postponed, the stated maturity date will be the later of (i) April 21, 2026 and (ii) three business days after the valuation date as postponed. See “Additional Terms of the Securities.”
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Payment at Maturity:
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For each $1,000 stated principal amount
security you hold at maturity:
• If
the final underlying value is greater than the initial underlying value:
$1,000 plus the lesser of:
(i) $1,000 × underlying return
× participation rate; and
(ii) the maximum return;
• If the
final underlying value is less than or equal to the initial underlying value, but greater than or equal to the final barrier
value:
$1,000; or
• If the
final underlying value is less than the final barrier value:
$1,000 + ($1,000
× underlying return)
If the final underlying value is less
than the final barrier value, you will receive significantly less than the stated principal amount of your securities, and possibly nothing,
at maturity.
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Participation Rate:
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100%
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Maximum Return:
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105% of the stated principal amount per security ($1,050.00 per security). As a result of the maximum return, the maximum payment at maturity will be $2,050.00 per security.
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Final Barrier Value:
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3,139.1025, which
is equal to 75% of the initial underlying value.
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Initial Underlying Value:
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4,185.47, the closing
value on the pricing date.
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Final Underlying Value:
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The closing value on the valuation date
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Underlying Return:
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(Final underlying value – initial underlying value) / initial underlying value
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Calculation Agent:
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CGMI
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Denominations:
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$1,000 and any integral multiple of $1,000
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CUSIP / ISIN:
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17329FC69 / US17329FC694
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Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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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, underlying 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 the underlying
will be determined and other specified events with respect to the underlying. The accompanying underlying supplement contains information
about the 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.
When we refer to “we,” “us”
and “our” in this pricing supplement, we refer only to Citigroup Global Market Holdings Inc. and not to any of its affiliates,
including Citigroup Inc.
You may access the product supplement, underlying
supplement and prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing
our filings for the relevant date on the SEC website):
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•
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Product Supplement No. EA-02-08 dated February 15, 2019:
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https://www.sec.gov/Archives/edgar/data/200245/000095010319002039/dp102379_424b2-psea0208par.htm
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•
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Underlying Supplement No. 9 dated October 30, 2020:
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https://www.sec.gov/Archives/edgar/data/200245/000095010320021127/dp139820_424b2-us9.htm
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•
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Prospectus Supplement and Prospectus, each dated May 14, 2018:
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https://www.sec.gov/Archives/edgar/data/200245/000119312518162183/d583728d424b2.htm
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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Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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We have designed the securities for investors
who:
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·
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seek 1-to-1 exposure to the positive performance of the underlying if the final underlying value is greater
than the initial underlying value, subject to the maximum return at maturity;
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·
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understand that if the final underlying value is less than the final barrier value, they will be fully
exposed to the decline in the underlying from the initial underlying value and will receive significantly less than the stated principal
amount, and possibly nothing, at maturity;
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·
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are willing to forgo interest payments on the securities and dividends on securities included in the underlying;
and
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·
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are willing to hold the securities to maturity.
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The securities are not designed for, and may not
be a suitable investment for, investors who:
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·
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seek a liquid investment or are unable or unwilling to hold the securities to maturity;
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·
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are unwilling to accept the risk that the final underlying value may be less than the final barrier value;
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·
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seek uncapped exposure to the positive performance of the underlying;
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·
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seek full return of the stated principal amount of the securities at maturity;
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·
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are unwilling to purchase securities with an estimated value as of the pricing date that is lower than
the public offering price and that may be as low as the lower estimated value set forth on the cover page;
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·
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are unwilling to accept the risk of exposure to the United States equity market;
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·
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seek exposure to the underlying but are unwilling to accept the risk/return trade-offs inherent in the
payment at maturity for the securities;
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·
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are unwilling to accept the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.;
or
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·
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prefer the lower risk of fixed income investments with comparable maturities issued by companies with
comparable credit ratings.
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Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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Determining Payment at Maturity
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On the maturity date, you will receive a cash
payment per security (the payment at maturity) calculated as follows:
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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Hypothetical Payout Profile
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The diagram below illustrates your payment at
maturity for a range of hypothetical underlying returns. Your actual return will depend on the actual final underlying value and whether
you hold your securities to maturity.
nThe
Securities n The Underlying
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Investors in the securities will not receive any dividends with respect to the securities included
in the underlying. The diagram below does 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 Securities Included In The Underlying”
below.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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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 the 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 Some Or All
Of Your Investment.
Unlike conventional debt securities,
the securities do not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend on the performance
of the underlying. If the final underlying value is less than the final barrier value, you will lose 1% of the stated principal amount
of the securities for every 1% by which the underlying has declined from the initial underlying value. There is no minimum payment at
maturity on the securities, and you may lose up to all of your investment.
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.
Your Return Will Be Limited
To The Maximum Return And May Be Lower Than The Return On A Direct Investment In The Underlying.
The opportunity to participate
in the possible increases in the value of the underlying through an investment in the securities will be limited because any positive
return on the securities will not exceed the maximum return.
You Will Not Receive Dividends
Or Have Any Other Rights With Respect To The Securities Included In The Underlying.
You will not receive any dividends
with respect to the securities included in the underlying. 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 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 securities included in the underlying.
Your Payment At Maturity
Depends On The Value Of The Underlying On A Single Day.
Because your payment at maturity
depends on the value of the underlying solely on the valuation date, you are subject to the risk that the value of the 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 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 values of the underlying, you might have achieved better returns.
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.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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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. We have been advised that Wells Fargo currently intends
to make a secondary market in relation to the securities. However, Wells Fargo may suspend or terminate making a market without notice,
at any time and for any reason. If Wells Fargo suspends or terminates making a market, there may be no secondary market at all for the
securities because it is likely that Wells Fargo 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 Public Offering Price.
The difference is attributable to certain costs
associated with selling, structuring and hedging the securities that are included in the public offering 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 and/or Wells Fargo or its 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 the underlying, the dividend yields on the securities included in the underlying 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 Wells Fargo’s Determination of The Secondary Market Rate With Respect To Us.
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. We expect that our internal funding rate is generally lower than Wells Fargo’s determination
of the secondary market rate with respect to us, which is the rate that we expect Wells Fargo 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 Wells Fargo’s determination of the secondary market rate with respect to us, 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, Wells Fargo may determine the secondary market rate with respect to us for purposes
of any purchase of the securities from you in the secondary market 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 Wells Fargo may deem appropriate.
The Estimated Value Of The Securities Is Not
An Indication Of The Price, If Any, At Which Any 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, we expect that any value of the securities determined for purposes of a secondary market transaction
will be based on Wells Fargo’s determination of the secondary market rate with respect to us, which will likely result in a lower
value for the securities than if our internal funding rate were used. In addition, we expect that any secondary market price for the securities
will be reduced by a bid-ask spread, which may vary depending on the
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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aggregate stated principal amount of the securities
to be purchased in the secondary market transaction, and may be reduced by 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 public offering 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 value of the underlying, the volatility of the closing value of the underlying, dividend yields on
the underlying, 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 value of the underlying 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 public offering price.
We Have Been Advised That, Immediately Following
Issuance, Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements
Prepared By Wells Fargo 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 The Underlying.
The fact that we are offering the securities does
not mean that we or Wells Fargo or its affiliates believe that investing in an instrument linked to the underlying is likely to achieve
favorable returns. In fact, as we and Wells Fargo and its affiliates are each part of respective global financial institutions, our affiliates
and affiliates of Wells Fargo may have positions (including short positions) in the underlying or in instruments related to the underlying,
and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying. These and
other activities of our affiliates or of Wells Fargo or its affiliates may affect the closing values of the underlying in a way that negatively
affects the value of and your return on the securities.
The Closing Value Of The Underlying May Be
Adversely Affected By Our Or Our Affiliates’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.
We expect to hedge our obligations under the securities
through CGMI or other of our affiliates and/or Wells Fargo or its affiliates, who may take positions in the underlying or in financial
instruments related to the underlying and may adjust such positions during the term of the securities. Our affiliates and Wells Fargo
and its affiliates also take positions in the underlying or in financial instruments related to the underlying 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 value of the underlying 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 or Wells Fargo and its affiliates while
the value of the securities declines.
We And Our Affiliates And Wells Fargo And Its
Affiliates May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.
Our affiliates and Wells Fargo and its 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 underlying 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
or Wells Fargo or its affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates
or Wells Fargo or its 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.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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Changes That Affect The Underlying May Affect
The Value Of Your Securities.
The sponsor of the underlying may at any time
make methodological changes or other changes in the manner in which it operates that could affect the value of the underlying. We are
not affiliated with such underlying sponsor and, accordingly, we have no control over any changes any sponsor may make. Such changes could
adversely affect the performance of the underlying and the value of and your return on the securities.
The Stated Maturity Date May Be Postponed If
The Valuation Date is Postponed.
The valuation date will be postponed if the originally
scheduled valuation date is not a trading day or if the calculation agent determines that a market disruption event has occurred or is
continuing on the valuation date. If such a postponement occurs, the stated maturity date will be the later of (i) the initial stated
maturity date and (ii) three business days after the valuation date as postponed.
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.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
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The table below is based on a range of hypothetical underlying returns
and illustrates:
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•
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the hypothetical underlying return;
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•
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the hypothetical payment at maturity per security; and
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•
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the hypothetical total pre-tax rate of return.
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The table below is based on a hypothetical initial
underlying value of 100 and does not reflect the actual initial underlying value.
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Hypothetical final underlying value
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Hypothetical underlying return
|
Hypothetical payment at maturity per security
|
Hypothetical total pre-tax rate of return
|
210.00
|
110.00%
|
$2,050.00
|
105.00%
|
205.00
|
105.00%
|
$2,050.00
|
105.00%
|
200.00
|
100.00%
|
$2,000.00
|
100.00%
|
175.00
|
75.00%
|
$1,750.00
|
75.00%
|
150.00
|
50.00%
|
$1,500.00
|
50.00%
|
125.00
|
25.00%
|
$1,250.00
|
25.00%
|
110.00
|
10.00%
|
$1,100.00
|
10.00%
|
100.00
|
0.00%
|
$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
80.00
|
-20.00%
|
$1,000.00
|
0.00%
|
75.00
|
-25.00%
|
$1,000.00
|
0.00%
|
74.99
|
-25.01%
|
$749.90
|
-25.01%
|
70.00
|
-30.00%
|
$700.00
|
-30.00%
|
60.00
|
-40.00%
|
$600.00
|
-40.00%
|
50.00
|
-50.00%
|
$500.00
|
-50.00%
|
25.00
|
-75.00%
|
$250.00
|
-75.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
|
|
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.
The examples
below are based on a hypothetical initial underlying value of 100, rather than the actual initial underlying value or final barrier value.
For the actual initial underlying value and final barrier value, see “Terms of the Securities” above. 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 and final
barrier value, and not the hypothetical values indicated below.
Example 1—Upside Scenario A. The
hypothetical final underlying value is 110 (a 10% increase from the initial underlying value), which is greater than the initial
underlying value, and the hypothetical underlying return multiplied by the participation rate is 10%, which is less than
the maximum return.
Payment at maturity per security = $1,000 plus the lesser of:
(i) $1,000 × underlying return × participation rate = $1,000
× 10% × 100% = $100; and
(ii) the maximum return of 105% of the stated principal amount = $1,050
= $1,000 + $100
= $1,100
Because the underlying appreciated from the initial
underlying value to the hypothetical final underlying value and the hypothetical underlying return multiplied by the participation
rate is less than the maximum return at maturity, your payment at maturity in this scenario would reflect 1-to-1 exposure to the positive
performance of the underlying.
Example 2—Upside Scenario B. The
hypothetical final underlying value is 210 (a 110% increase from the initial underlying value), which is greater than the initial
underlying value, and the hypothetical underlying return multiplied by the participation rate is 110%, which is greater than
the maximum return.
Payment at maturity per security = $1,000 plus the lesser of:
(i) $1,000 × underlying return × participation rate = $1,000
× 110% × 100% = $1,100; and
(ii) the maximum return of 105% of the stated principal amount = $1,050
= $1,000 + $1,050
= $2,050
Because the underlying appreciated from the initial
underlying value to the hypothetical final underlying value but the hypothetical underlying return multiplied by the participation
rate is greater than the maximum return at maturity, you would receive a total return at maturity equal to the maximum return at maturity.
As a result, an investment in the securities would underperform a hypothetical alternative investment providing 1-to-1 exposure to the
appreciation of the underlying without a maximum return.
Example 3—Par Scenario. The hypothetical
final underlying value is 95 (a 5% decrease from the initial underlying value), which is less than the initial underlying value
but greater than the final barrier value.
Payment at maturity per security = $1,000
Because the hypothetical final underlying value
is less than the initial underlying value but greater than the final barrier value, you would be repaid the stated principal amount of
your securities at maturity but would not receive any positive return on your investment.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
|
|
Example 4—Downside Scenario. The
hypothetical final underlying value is 30 (a 70% decrease from the initial underlying value), which is less than the final barrier
value.
Payment at maturity per security = $1,000 + ($1,000 × underlying
return)
= $1,000 + ($1,000 × -70%)
= $1,000 + -$700
= $300
Because the underlying depreciated from the initial
underlying value to the hypothetical final underlying value and the hypothetical final underlying value is less than the final barrier
value, your payment at maturity in this scenario would reflect 1-to-1 exposure to the negative performance of the underlying.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
|
|
Additional Terms of the Securities
|
The following
provisions supersede the provisions in the product supplement to the extent that they are inconsistent from those provisions.
Certain Definitions
A “trading
day” means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with respect to each security
underlying the underlying are scheduled to be open for trading for their respective regular trading sessions and (ii) each related futures
or options exchange is scheduled to be open for trading for its regular trading session.
The “relevant
stock exchange” for any security underlying the underlying means the primary exchange or quotation system on which such security
is traded, as determined by the calculation agent.
The “related
futures or options exchange” for the underlying means an exchange or quotation system where trading has a material effect (as determined
by the calculation agent) on the overall market for futures or options contracts relating to the underlying.
Postponement of the Valuation
Date
If the scheduled valuation date
is not a trading day, the valuation date will be postponed to the next succeeding day that is a trading day. The valuation date is also
subject to postponement due to the occurrence of a market disruption event. See “—Market Disruption Events.”
Market Disruption Events
A “market disruption event”
with respect to the underlying means any of the following events as determined by the calculation agent in its sole discretion:
|
(A)
|
The occurrence or existence of a material suspension of or limitation
imposed on trading by the relevant stock exchanges or otherwise relating to securities which then comprise 20% or more of the value of
the underlying or any successor index at any time during the one-hour period that ends at the close of trading on that day, whether by
reason of movements in price exceeding limits permitted by those relevant stock exchanges or otherwise.
|
|
(B)
|
The occurrence or existence of a material suspension of or limitation
imposed on trading by any related futures or options exchange or otherwise in futures or options contracts relating to the underlying
or any successor index on any related futures or options exchange at any time during the one-hour period that ends at the close of trading
on that day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise.
|
|
(C)
|
The occurrence or existence of any event, other than an early closure,
that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for,
securities that then comprise 20% or more of the value of the underlying or any successor index on their relevant stock exchanges at any
time during the one-hour period that ends at the close of trading on that day.
|
|
(D)
|
The occurrence or existence of any event, other than an early closure,
that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for,
futures or options contracts relating to the underlying or any successor index on any related futures or options exchange at any time
during the one-hour period that ends at the close of trading on that day.
|
|
(E)
|
The closure on any exchange business day of the relevant stock exchanges
on which securities that then comprise 20% or more of the value of the underlying or any successor index are traded or any related futures
or options exchange with respect to the underlying or any successor index prior to its scheduled closing time unless the earlier closing
time is announced by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior to the
earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange or related futures or
|
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
|
|
options
exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or related futures
or options exchange, as applicable, system for execution at such actual closing time on that day.
|
(F)
|
The relevant stock exchange for any security underlying the underlying
or successor index or any related futures or options exchange with respect to the underlying or successor index fails to open for trading
during its regular trading session.
|
For purposes
of determining whether a market disruption event has occurred with respect to the underlying:
|
(1)
|
the relevant percentage
contribution of a security to the value of the underlying or any successor index will be based on a comparison of (x) the portion of
the value of the underlying attributable to that security and (y) the overall value of the underlying or successor index, in each
case immediately before the occurrence of the market disruption event;
|
|
(2)
|
the “close of
trading” on any trading day for the underlying or any successor index means the scheduled closing time of the relevant stock exchanges
with respect to the securities underlying the underlying or successor index on such trading day; provided that, if the actual closing
time of the regular trading session of any such relevant stock exchange is earlier than its scheduled closing time on such trading day,
then (x) for purposes of clauses (A) and (C) of the definition of “market disruption event” above, with respect to any security
underlying the underlying or successor index for which such relevant stock exchange is its relevant stock exchange, the “close
of trading” means such actual closing time and (y) for purposes of clauses (B) and (D) of the definition of “market
disruption event” above, with respect to any futures or options contract relating to the underlying or successor index, the “close
of trading” means the latest actual closing time of the regular trading session of any of the relevant stock exchanges, but in
no event later than the scheduled closing time of the relevant stock exchanges;
|
|
(3)
|
the “scheduled
closing time” of any relevant stock exchange or related futures or options exchange on any trading day for the underlying or any
successor index means the scheduled weekday closing time of such relevant stock exchange or related futures or options exchange on such
trading day, without regard to after hours or any other trading outside the regular trading session hours; and
|
|
(4)
|
an “exchange business
day” means any trading day for the underlying or any successor index on which each relevant stock exchange for the securities underlying
the underlying or any successor index and each related futures or options exchange with respect to the underlying or any successor index
are open for trading during their respective regular trading sessions, notwithstanding any such relevant stock exchange or related futures
or options exchange closing prior to its scheduled closing time.
|
If a market
disruption event occurs or is continuing on the valuation date, then the valuation date will be postponed to the first succeeding trading
day on which a market disruption event has not occurred and is not continuing; however, if such first succeeding trading day has not occurred
as of the eighth trading day after the originally scheduled valuation date, that eighth trading day shall be deemed to be the valuation
date. If the valuation date has been postponed eight trading days after the originally scheduled valuation date and a market disruption
event occurs or is continuing on such eighth trading day, the calculation agent will determine the closing value of the underlying on
such eighth trading day in accordance with the formula for and method of calculating the closing value of the underlying last in effect
prior to commencement of the market disruption event, using the closing price (or, with respect to any relevant security, if a market
disruption event has occurred with respect to such security, its good faith estimate of the value of such security at the scheduled closing
time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant
stock exchange) on such date of each security included in the underlying. As used herein, “closing price” means, with respect
to any security on any date, the relevant stock exchange traded or quoted price of such security as of the scheduled closing time of the
relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock
exchange.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
|
|
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—The S&P 500® Index” 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 April 16, 2021 was 4,185.47.
The graph below shows the closing value of the
S&P 500® Index for each day such value was available from January 4, 2016 to April 16, 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.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
|
|
United States Federal Tax Considerations
|
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, which
is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income tax purposes.
By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment.
There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S.
federal income tax consequences should result under current law:
|
·
|
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), 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.
|
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.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
|
|
Supplemental Plan of Distribution
|
Pursuant to the terms of the Amended and Restated
Global Selling Agency Agreement, dated April 7, 2017, CGMI, acting as principal, will purchase the securities from Citigroup Global Markets
Holdings Inc. CGMI, as the lead agent for the offering, has agreed to sell the securities to Wells Fargo, as agent. Wells Fargo will receive
an underwriting discount and commission of 4.00% ($40.00) for each security it sells. Wells Fargo will pay selected dealers, which may
include WFA, a fixed selling commission of 2.50% ($25.00) for each security they sell. In addition to the selling commission allowed to
WFA, Wells Fargo will pay $1.20 per security of the underwriting discount and commission to WFA as a distribution expense fee for each
security sold by WFA.
In addition,
in respect of certain securities sold in this offering, CGMI may pay a fee of up to $1.00 per security to selected securities dealers
in consideration for marketing and other services in connection with the distribution of the notes to other securities dealers.
The public offering price of the securities includes
the underwriting discount and commission described on the cover page of this pricing supplement and the estimated cost of hedging our
obligations under the securities. We expect to hedge our obligations under the securities through affiliated or unaffiliated counterparties,
which may include our affiliates or affiliates of Wells Fargo. Our cost of hedging will include the projected profit that such counterparties,
which may include our affiliates and affiliates of Wells Fargo, expect to realize in consideration for assuming the risks inherent in
hedging our obligations under the securities. Because hedging our obligations entails risks and may be influenced by market forces beyond
the control of any counterparty, which may include our affiliates and affiliates of Wells Fargo, such hedging may result in a profit that
is more or less than expected, or could result in a loss.
This pricing supplement and the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus may be used by Wells Fargo or an affiliate of Wells Fargo in connection
with offers and sales related to market-making or other transactions in the securities. Wells Fargo or an affiliate of Wells Fargo may
act as principal or agent in such transactions. Such sales will be made at prices related to prevailing market prices at the time of sale
or otherwise.
No action has been or will be taken by Citigroup
Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them that would permit a public offering of the securities
or possession or distribution of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement
or prospectus in any jurisdiction, other than the United States, where action for that purpose is required. No offers, sales or deliveries
of the securities, or distribution of this pricing supplement, the accompanying product supplement, underlying supplement or prospectus
supplement and prospectus, may be made in or from any jurisdiction except in circumstances that will result in compliance with any applicable
laws and regulations and will not impose any obligations on Citigroup Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates
of any of them.
For the following jurisdictions, please note specifically:
Argentina
Citigroup Global Markets Holdings Inc.’s
Series N Medium-Term Senior Notes program and the related offer of the securities and the sale of the securities under the terms and conditions
provided herein does not constitute a public offering in Argentina. Consequently, no public offering approval has been requested or granted
by the Comisión Nacional de Valores, nor has any listing authorization of the securities been requested on any stock market in
Argentina.
Brazil
The securities may not be offered or sold to the
public in Brazil. Accordingly, this pricing supplement and the accompanying prospectus supplement and prospectus have not been submitted
to the Comissão de Valores Mobiliáros for approval. Documents relating to this offering may not be supplied to the public
as a public offering in Brazil or be used in connection with any offer for subscription or sale to the public in Brazil.
Chile
The securities have not been registered with the
Superintendencia de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries of the
securities, or distribution of this pricing supplement or the prospectus supplement and prospectus, may be made in or from Chile except
in circumstances that will result in compliance with any applicable Chilean laws and regulations.
Mexico
The securities have not been registered with the
National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly
in Mexico. This pricing supplement and the accompanying prospectus supplement and prospectus may not be publicly distributed in Mexico.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
|
|
Paraguay
This is a private and personal offering. The securities
offered have not been approved by or registered with the National Securities Commission (Comisión Nacional de Valores) and are
not part of a public offering as defined by the Paraguayan Securities Law. The information contained herein is for informational and marketing
purposes only and should not be taken as an investment advice.
Peru
The securities have not been and will not be registered with the Capital
Markets Public Registry of the Capital Markets Superintendence (SMV) nor the Lima Stock Exchange Registry (RBVL) for their public offering
in Peru under the Peruvian Capital Markets Law (Law N°861/ Supreme Decree N°093-2002) and the decrees and regulations thereunder.
Consequently, the securities may not be offered
or sold, directly or indirectly, nor may this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus
or any other offering material relating to the securities be distributed or caused to be distributed in Peru to the general public. The
securities may only be offered in a private offering without using mass marketing, which is defined as a marketing strategy utilizing
mass distribution and mass media to offer, negotiate or distribute securities to the whole market. Mass media includes newspapers, magazines,
radio, television, mail, meetings, social networks, Internet servers located in Peru, and other media or technology platforms.
Taiwan
These securities may be made available outside
Taiwan for purchase by Taiwan residents outside Taiwan but may not be offered or sold in Taiwan.
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.
We have been advised that, for a period of approximately
five months following issuance of the securities, the price, if any, at which Wells Fargo 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 Wells Fargo or its
affiliates, 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 costs associated with selling, structuring and hedging the securities that are included in the
public offering price of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis
over the five-month temporary adjustment period. However, Wells Fargo 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.
Market Linked Securities—Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due April 21, 2026
|
|
In giving this opinion, Davis Polk & Wardwell
LLP has assumed the legal conclusions expressed in the opinions set forth below of Alexia Breuvart, General Counsel of Citigroup Global
Markets 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 March 19, 2021, which has been filed as an exhibit to
a Current Report on Form 8-K filed by Citigroup Inc. on March 19, 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, General Counsel
of Citigroup Global Markets 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 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, 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.
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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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