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|Citigroup Global Markets Holdings Inc.|| |
September 17, 2021
Medium-Term Senior Notes,
Pricing Supplement No. 2021-USNCH9032
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos.
Autocallable Securities Linked to an Unequally Weighted
Basket of Two Underlyings Due September 22, 2026
|▪||The securities offered by this pricing supplement are unsecured |
debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities,
the securities do not pay interest, do not repay a fixed amount of principal at maturity and are subject to potential automatic early
redemption on a periodic basis on the terms described below. Instead, the securities offer a payment at maturity that may be greater
than, equal to or less than the stated principal amount, depending on the performance of an unequally weighted basket composed of the
underlyings specified below.
|▪||The securities offer the |
potential for automatic early redemption at a premium if the basket value on the valuation date prior to the final valuation date is
greater than or equal to the premium threshold value. If the securities are not automatically redeemed prior to maturity, then the securities
will no longer offer the opportunity to receive a premium but instead will offer modified exposure to the performance of the basket
from the initial basket value to the final basket value, with (i) the opportunity to participate in the potential appreciation of the
basket at the upside participation rate specified below and (ii) contingent repayment of the stated principal amount at maturity if the
basket depreciates, but only so long as the final basket value is greater than or equal to the trigger value specified below.
In exchange for these features, investors in the securities must be willing to forgo any dividends with respect to any underlying. If
the securities are not automatically redeemed prior to maturity and the final basket value is less than the trigger value, you will lose
1% of the stated principal amount of your securities for every 1% by which the final basket value is less than the initial basket value.
You may lose your entire investment in the securities.
|▪||In order to obtain the modified exposure to the basket 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.
|Issuer:||Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.|
|Guarantee:||All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.|
|Basket:||Underlying||Weighting||Initial underlying value*|
|iShares® MSCI Emerging Markets ETF||3/10||$51.37|
|Russell 2000® Index||7/10||2,236.871|
|*For each underlying, its closing value on the pricing date|
|Stated principal amount:||$1,000 per security|
|Pricing date:||September 17, 2021|
|Issue date:||September 22, 2021|
|Valuation dates:||March 18, 2024 and September 17, 2026 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur|
|Maturity date:||Unless earlier redeemed, September 22, 2026|
|Automatic early redemption:||If, on the valuation date prior to the final valuation date, the basket value is greater than or equal to the premium threshold value, the securities will be automatically redeemed on the third business day immediately following that valuation date for an amount in cash per security equal to $1,000 plus the premium applicable to that valuation date. If the securities are automatically redeemed following the valuation date prior to the final valuation date, they will cease to be outstanding and you will no longer have the opportunity to participate in any appreciation of the basket at the upside participation rate.|
|Payment at maturity:|| |
If the securities are not automatically redeemed prior to maturity,
$1,000 + the return amount
$1,000 + ($1,000 × the basket return)
If the final basket value is less than the trigger value, you
|Upside participation rate:||120.00%|
|Trigger value:||65.00, 65.00% of the initial basket value|
|Premium threshold value:||110.00, 110.00% of the initial basket value|
|Listing:||The securities will not be listed on any securities exchange|
|Underwriter:||Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal|
|Underwriting fee and issue price:||Issue…|
Read More: Form 424B2 CITIGROUP INC