Form 424B2 CITIGROUP INC


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Citigroup Global Markets Holdings Inc.

October 11, 2021

Medium-Term Senior Notes, Series
N

Pricing Supplement No. 2021-USNCH9370

Filed Pursuant to Rule 424(b)(2)

Registration Statement Nos. 333-255302
and 333-255302-03

Autocallable Contingent Coupon Equity Linked Securities
Linked to the Worst Performing of the Financial Select Sector SPDR® Fund and the SPDR® S&P®
Regional Banking ETF Due April 17, 2023

The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and
guaranteed by Citigroup Inc. The securities offer the potential for periodic contingent coupon payments at an annualized rate that, if
all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same maturity.
In exchange for this higher potential yield, you must be willing to accept the risks that (i) your actual yield may be lower than the
yield on our conventional debt securities of the same maturity because you may not receive one or more, or any, contingent coupon payments,
(ii) the value of what you receive at maturity may be significantly less than the stated principal amount of your securities, and may
be zero, and (iii) the securities may be automatically called for redemption prior to maturity beginning on the first potential autocall
date specified below. Each of these risks will depend solely on the performance of the worst performing of the underlyings specified
below.
You will be subject to risks associated with each of the underlyings and will be negatively affected by adverse movements in
any one of the underlyings. Although you will have downside exposure to the worst performing underlying, you will not receive dividends
with respect to any underlying or participate in any appreciation of any underlying.
Investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of
not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations. All payments on the securities
are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
KEY TERMS
Issuer: Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
Guarantee: All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
Underlyings: Underlying Initial underlying value* Coupon barrier value** Final barrier value** Equity ratio***
  Financial Select Sector SPDR® Fund $38.63 $30.904 $30.904 25.88662
  SPDR® S&P® Regional Banking ETF $69.89 $55.912 $55.912 14.30820
 

*For each underlying, its closing value on the pricing date

**For each underlying, 80.00% of its initial underlying value

***For each underlying, the stated principal amount divided
by
its initial underlying value

Stated principal amount: $1,000 per security
Pricing date: October 11, 2021
Issue date: October 14, 2021
Valuation dates: January 12, 2022, April 12, 2022, July 12, 2022, October 12, 2022, January 12, 2023 and April 12, 2023 (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, April 17, 2023
Contingent coupon payment dates: The fifth business day after each valuation date, except that the contingent coupon payment date following the final valuation date will be the maturity date
Contingent coupon: On each contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 2.125% of the stated principal amount of the securities (equivalent to a contingent coupon rate of 8.50% per annum) if and only if the closing value of the worst performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying on any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately following contingent coupon payment date. If the closing value of the worst performing underlying on one or more valuation dates is less than its coupon barrier value and, on a subsequent valuation date, the closing value of the worst performing underlying on that subsequent valuation date is greater than or equal to its coupon barrier value, your contingent coupon payment for that subsequent valuation date will include all previously unpaid contingent coupon payments (without interest on amounts previously unpaid). However, if the closing value of the worst performing underlying on a valuation date is less than its coupon barrier value and the closing value of the worst performing underlying on each subsequent valuation date up to and including the final valuation date is less than its coupon barrier value, you will not receive the unpaid contingent coupon payments in respect of those valuation dates.
Payment at maturity:

If the securities are not automatically redeemed prior to maturity,
you will receive at maturity for each security you then hold (in addition to the final contingent coupon payment, if applicable):

§

If the final underlying value of the worst
performing underlying on the final valuation date is greater than or equal to its final barrier value: $1,000

§

If the final underlying value of the worst
performing underlying on the final valuation date is less than its final barrier value:

a fixed number of underlying shares of the worst performing
underlying on the final valuation date equal to its equity ratio (or, if we elect, the cash value of those shares based on its final underlying
value)

If the securities are not automatically redeemed prior to maturity
and the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value, you
will receive underlying shares (or, in our sole discretion, cash) that will be worth significantly less than the stated principal amount
of your securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment at maturity (including any
previously unpaid contingent coupon payments).

Listing: The securities will not be listed on any securities exchange
Underwriter: Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
Underwriting fee and issue price: Issue price(1) Underwriting fee(2) Proceeds to issuer
Per security: $1,000.00 $15.00 $985.00
Total: $1,450,000.00 $21,750.00 $1,428,250.00

(Key Terms continued on next page)

(1) On the date of this pricing supplement, the estimated value of the
securities is $960.00 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) 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.

Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6.

Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary is a criminal offense.

You should read this pricing supplement together
with the accompanying product supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks below:

The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.

Citigroup Global Markets Holdings Inc.
 

KEY TERMS (continued)
Automatic early redemption: If, on any potential autocall date, the closing value of the worst performing underlying on that potential autocall date is greater than or equal to its initial underlying value, each security you then hold will be automatically called on that potential autocall date for redemption on the immediately following contingent coupon payment date for an amount in cash equal to $1,000.00 plus the related contingent coupon payment. The automatic early redemption feature may significantly limit your potential return on the securities. If the worst performing underlying performs in a way that would otherwise be favorable, the securities are likely to be automatically called for redemption prior to maturity, cutting short your opportunity to receive contingent coupon payments. The securities may be automatically called for redemption as early as the first potential autocall date specified below.
Potential autocall dates: The valuation dates scheduled to occur on January 12, 2022, April 12, 2022, July 12, 2022, October 12, 2022 and January 12, 2023
Final underlying value: For each underlying, its closing value on the final valuation date
Worst performing underlying: For any valuation date, the underlying with the lowest underlying return determined as of that valuation date
Underlying return: For each underlying on any valuation date, (i) its closing value on that valuation date minus its initial underlying value, divided by (ii) its initial underlying value
CUSIP / ISIN: 17328NZC5 / US17328NZC54

Citigroup Global Markets Holdings Inc.
 

Additional Information

General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the
accompanying product supplement contains important information about how the closing value of each underlying will be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events
with respect to each underlying. It is important that you read the accompanying product supplement, prospectus supplement and prospectus
together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.

Closing Value. The “closing value” of each underlying
on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement. The “underlying
shares” of the underlyings are their respective shares that are traded on a U.S. national securities exchange. Please see the accompanying
product supplement for more information.

Underlying Prospectuses. In addition to this pricing supplement
and the accompanying product supplement, prospectus supplement and prospectus, you should read the prospectus for each underlying on file
at the SEC website, which can be accessed via the hyperlinks below. The contents of these prospectuses and any documents incorporated
by reference therein are not incorporated by reference herein or in any way made a part hereof.

Prospectus for Financial Select Sector SPDR® Fund dated
January 31, 2021:

https://www.sec.gov/ix?doc=/Archives/edgar/data/1064641/000119312521020549/d70582d485bpos.htm

Prospectus for SPDR® S&P® Regional
Banking ETF dated October 31, 2020:

https://www.sec.gov/ix?doc=/Archives/edgar/data/1064642/000119312520279819/d75232d485bpos.htm

Citigroup Global Markets Holdings Inc.
 

Hypothetical Examples

The examples in the first section below illustrate how to determine
whether a contingent coupon will be paid (and whether any previously unpaid contingent coupon payments will be paid) and whether the securities
will be automatically called for redemption following a valuation date that is also a potential autocall date. The examples in the second
section below illustrate how to determine the payment at maturity on the securities, assuming the securities are not automatically redeemed
prior to maturity. The examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction of any
payment that may be made on the securities.

The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values, coupon barrier values, final barrier values or equity ratios of the underlyings.
For the actual initial underlying value, coupon barrier value, final barrier value and equity ratio of each underlying, see the cover
page of this pricing supplement. We have used these hypothetical values, rather than the actual values, to simplify the calculations and
aid understanding of how the securities work. However, you should understand that the actual payments on the securities will be calculated
based on the actual initial underlying value, coupon barrier value, final barrier value and equity ratio of each underlying, and not the
hypothetical values indicated below. For ease of analysis, figures below have been rounded.

Underlying Hypothetical initial underlying value Hypothetical coupon barrier value Hypothetical final barrier value Hypothetical equity ratio
Financial Select Sector SPDR® Fund $100.00 $80.00 (80.00% of its hypothetical initial underlying value) $80.00 (80.00% of its hypothetical initial underlying value) 10.00000
SPDR® S&P® Regional Banking ETF $100.00 $80.00 (80.00% of its hypothetical initial underlying value) $80.00 (80.00% of its hypothetical initial underlying value) 10.00000

Hypothetical Examples of Contingent Coupon Payments
and any Payment upon Automatic Early Redemption Following a Valuation Date that is also a Potential Autocall Date

The three hypothetical examples below illustrate how to determine whether
a contingent coupon will be paid and whether the securities will be automatically redeemed following a hypothetical valuation date that
is also a potential autocall date, assuming that the closing values of the underlyings on the hypothetical valuation date are as indicated
below.

  Hypothetical closing value of the Financial Select Sector SPDR® Fund on hypothetical valuation date Hypothetical closing value of the SPDR® S&P® Regional Banking ETF on hypothetical valuation date Hypothetical payment per $1,000.00 security on related contingent coupon payment date
Example 1
Hypothetical Valuation Date #1
$120
(underlying return =
($120 – $100) / $100 = 20%)
$85
(underlying return =
($85 – $100) / $100 = -15%)
$21.25
(contingent coupon is paid; securities not redeemed)
Example 2
Hypothetical Valuation Date #2
$45
(underlying return =
($45 – $100) / $100 = -55%)
$120
(underlying return =
($120 – $100) / $100 = 20%)
$0.00
(no contingent coupon; securities not redeemed)
Example 3
Hypothetical Valuation Date #3
$110
(underlying return =
($110 – $100) / $100 = 10%)
$115
(underlying return =
($115 – $100) / $100 = 15%)
$1,042.50
(contingent coupon plus the previously unpaid contingent coupon is paid; securities redeemed)

Example 1: On hypothetical
valuation date #1, the SPDR® S&P® Regional Banking ETF has the lowest underlying return and, therefore,
is the worst performing underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying
on the hypothetical valuation date is greater than its coupon barrier value but less than its initial underlying value. As a result, investors
in the securities would receive the contingent coupon payment on the related contingent coupon payment date and the securities would not
be automatically redeemed.

Example 2: On hypothetical
valuation date #2, the Financial Select Sector SPDR® Fund has the lowest underlying return and, therefore, is the worst
performing underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying on the
hypothetical valuation date is less than its coupon barrier value. As a result, investors would not receive any payment on the related
contingent coupon payment date and the securities would not be automatically redeemed.

Investors in the securities will not receive a contingent coupon
on the contingent coupon payment date following a valuation date if the closing value of the worst performing underlying on that valuation
date is less than its coupon barrier value. Whether a contingent coupon is paid following a valuation date depends solely on the closing
value of the worst performing underlying on that valuation date.

Example 3: On hypothetical
valuation date #3, the Financial Select Sector SPDR® Fund has the lowest underlying return and, therefore, is the worst
performing underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying on the
hypothetical valuation date is greater than both its coupon barrier value and its initial underlying value. As a result, the securities
would be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000.00 plus the
related contingent coupon payment plus any previously unpaid contingent coupon payments. Because no contingent coupon payment was
received in connection with hypothetical valuation date #2, investors in the securities would also receive the previously unpaid contingent
coupon payment on the related contingent coupon payment date.

If the hypothetical valuation date were not also a potential autocall
date, the securities would not be automatically redeemed on the related contingent coupon payment date.

Citigroup Global Markets Holdings Inc.
 

Hypothetical Examples of the Payment at Maturity
on the Securities

The next three hypothetical examples illustrate the calculation of the
payment at maturity on the securities, assuming that the securities have not been earlier automatically redeemed and that the final underlying
values of the underlyings are as indicated below.

  Hypothetical final underlying value of the Financial Select Sector SPDR® Fund Hypothetical final underlying value of the SPDR® S&P® Regional Banking ETF Hypothetical payment at maturity per $1,000.00 security
Example 4 $110
(underlying return =
($110 – $100) / $100 = 10%)
$120
(underlying return =
($120 – $100) / $100 = 20%)
$1,021.25 plus any previously unpaid contingent coupon payments
Example 5 $110
(underlying return =
($110 – $100) / $100 = 10%)
$30
(underlying return =
($30 – $100) / $100 = -70%)
A number of underlying shares of the worst performing underlying on the final valuation date (or, in our sole discretion, cash) worth $300.00 based on its final underlying value
Example 6 $20
(underlying return =
($20 – $100) / $100 = -80%)
$90
(underlying return =
($90 – $100) / $100 = -10%)
A number of underlying shares of the worst performing underlying on the final valuation date (or, in our sole discretion, cash) worth $200.00 based on its final underlying value

Example 4: On the final valuation
date, the Financial Select Sector SPDR® Fund has the lowest underlying return and, therefore, is the worst performing underlying
on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on the final valuation date
is greater than its final barrier value. Accordingly, at maturity, you would receive the stated principal amount of the securities plus
the contingent coupon payment due at maturity (assuming no previously unpaid contingent coupon payments), but you would not participate
in the appreciation of any of the underlyings.

Example 5: On the final valuation
date, the SPDR® S&P® Regional Banking ETF has the lowest underlying return and, therefore, is the worst
performing underlying on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on
the final valuation date is less than its final barrier value. Accordingly, at maturity, you would receive for each security you then
hold a fixed number of underlying shares of the worst performing underlying on the final valuation date equal to its equity ratio (or,
at our option, the cash value thereof).

In this scenario, the value of a number of underlying shares of the
worst performing underlying on the final valuation date equal to its equity ratio, based on its final underlying value, would be $300.00.
Therefore, the value of the underlying shares of the worst performing underlying on the final valuation date (or, in our discretion, cash)
you receive at maturity would be significantly less than the stated principal amount of your securities. You would incur a loss based
on the performance of the worst performing underlying on the final valuation date. In addition, because the final underlying value of
the worst performing underlying on the final valuation date is below its coupon barrier value, you would not receive any contingent coupon
payment (including any previously unpaid contingent coupon payments) at maturity.

If the final underlying value of the worst performing underlying on
the final valuation date is less than its final barrier value, we will have the option to deliver to you on the maturity date either a
number of underlying shares of the worst performing underlying on the final valuation date equal to its equity ratio or the cash value
of those underlying shares based on their final underlying value. The value of those underlying shares on the maturity date may be different
than their final underlying value.

Example 6: On the final valuation
date, the Financial Select Sector SPDR® Fund has the lowest underlying return and, therefore, is the worst performing underlying
on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on the final valuation date
is less than its final barrier value. Accordingly, at maturity, you would receive for each security you then hold a fixed number of underlying
shares of the worst performing underlying on the final valuation date equal to its equity ratio (or, at our option, the cash value thereof).

In this scenario, the value of a number of underlying shares of the
worst performing underlying on the final valuation date equal to its equity ratio, based on its final underlying value, would be $200.00.
Therefore, the value of the underlying shares of the worst performing underlying on the final valuation date (or, in our discretion, cash)
you receive at maturity would be significantly less than the stated principal amount of your securities. You would incur a loss based
on the performance of the worst performing underlying on the final valuation date. In addition, because the final underlying value of
the worst performing underlying on the final valuation date is below its coupon barrier value, you would not receive any contingent coupon
payment (including any previously unpaid contingent coupon payments) at maturity.

If the final underlying value of the worst performing underlying on
the final valuation date is less than its final barrier value, we will have the option to deliver to you on the maturity date either a
number of underlying shares of the worst performing underlying on the final valuation date equal to its equity ratio or the cash value
of those underlying shares based on their final underlying value. The value of those underlying shares on the maturity date may be different
than their final underlying value.

It is possible that the closing value of the worst performing underlying
will be less than its coupon barrier value on each valuation date and less than its final barrier value on the final valuation date, such
that you will not receive any contingent coupon payments over the term of the securities (including any previously unpaid contingent coupon
payments) and will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity.

Citigroup Global Markets Holdings Inc.
 

Summary Risk Factors

An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with each underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.

The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.

Citigroup Inc. will release quarterly earnings on October 14, 2021,
which is after the pricing date but on the issue date of these securities.

§ You may lose a significant portion or all of your investment. Unlike conventional debt securities, the securities do not provide
for the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed prior
to maturity, your payment at maturity will depend on the final underlying value of the worst performing underlying on the final valuation
date. If the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value,
you will not receive the stated principal amount of your securities at maturity and, instead, will receive underlying shares of the worst
performing underlying on the final valuation date (or, in our sole discretion, cash based on its final underlying value) that will be
worth significantly less than the stated principal amount and possibly nothing. There is no minimum payment at maturity on the securities,
and you may lose up to all of your investment.

We may elect, in our sole discretion, to pay you cash at maturity
in lieu of delivering any underlying shares. If we elect to pay you cash at maturity in lieu of delivering any underlying shares, the
amount of that cash may be less than the market value of the underlying shares on the maturity date because the market value will likely
fluctuate between the final valuation date and the maturity date. Conversely, if we do not exercise our cash election right and instead
deliver underlying shares to you on the maturity date, the market value of such underlying shares may be less than the cash amount you
would have received if we had exercised our cash election right. We will have no obligation to take your interests into account when deciding
whether to exercise our cash election right.

§ You will not receive any contingent coupon on the contingent coupon payment date following any valuation date on which the closing
value of the worst performing underlying on that valuation date is less than its coupon barrier value.
A contingent coupon payment
will be made on a contingent coupon payment date if and only if the closing value of the worst performing underlying on the immediately
preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying
on any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately following
contingent coupon payment date. You will only receive a contingent coupon payment that has not been paid on a subsequent contingent coupon
payment date if and only if the closing value of the worst performing underlying on the related valuation date is greater than or equal
to its coupon barrier value. If the closing value of the worst performing underlying on each valuation date is below its coupon barrier
value, you will not receive any contingent coupon payments over the term of the securities.

§ Higher contingent coupon rates are associated with greater risk. The securities offer contingent coupon payments at an annualized
rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same
maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing date for the securities, including
the risk that you may not receive a contingent coupon payment on one or more, or any, contingent coupon payment dates and the risk that
the value of what you receive at maturity may be significantly less than the stated principal amount of your securities and may be zero.
The volatility of, and correlation between, the closing values of the underlyings are important factors affecting these risks. Greater
expected volatility of, and lower expected correlation between, the closing values of the underlyings as of the pricing date may result
in a higher contingent coupon rate, but would also represent a greater expected likelihood as of the pricing date that the closing value
of the worst performing underlying on one or more valuation dates will be less than its coupon barrier value, such that you will not receive
one or more, or any, contingent coupon payments during the term of the securities and that the final underlying value of the worst performing
underlying on the final valuation date will be less than its final barrier value, such that you will not be repaid the stated principal
amount of your securities at maturity.

§ The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky than similar
investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying
will perform poorly, adversely affecting your return on the securities.

§ The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs
poorly.
You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively
affected. The securities are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would
be better than the performance of the worst performing underlying alone. Instead, you are subject to the full risks of whichever of the
underlyings is the worst performing underlying.

§ You will not benefit in any way from the performance of any better performing underlying. The return on the securities depends
solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying.

Citigroup Global Markets Holdings Inc.
 

§ 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.

§ You may not be adequately compensated for assuming the downside risk of the worst performing underlying. The potential contingent
coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst performing underlying,
as well as all the other risks of the securities. That compensation is effectively “at risk” and may, therefore, be less than
you currently anticipate. First, the actual yield you realize on the securities could be lower than you anticipate because the coupon
is “contingent” and you may not receive a contingent coupon payment on one or more, or any, of the contingent coupon payment
dates. Second, the contingent coupon payments are the compensation you receive not only for the downside risk of the worst performing
underlying, but also for all of the other risks of the securities, including the risk that the securities may be automatically redeemed
prior to maturity, interest rate risk and our and Citigroup Inc.’s credit risk. If those other risks increase or are otherwise greater
than you currently anticipate, the contingent coupon payments may turn out to be inadequate to compensate you for all the risks of the
securities, including the downside risk of the worst performing underlying.

§ The securities may be automatically redeemed prior to maturity, limiting your opportunity to receive contingent coupon payments.
On any potential autocall date, the securities will be automatically called for redemption if the closing value of the worst performing
underlying on that potential autocall date is greater than or equal to its initial underlying value. As a result, if the worst performing
underlying performs in a way that would otherwise be favorable, the securities are likely to be automatically redeemed, cutting short
your opportunity to receive contingent coupon payments. If the securities are automatically redeemed prior to maturity, you may not be
able to reinvest your funds in another investment that provides a similar yield with a similar level of risk.

§ The securities offer downside exposure to the worst performing underlying, but no upside exposure to any underlying. You will
not participate in any appreciation in the value of any underlying over the term of the securities. Consequently, your return on the securities
will be limited to the contingent coupon payments you receive, if any, and may be significantly less than the return on any underlying
over the term of the securities. In addition, as an investor in the securities, you will not receive any dividends or other distributions
or have any other rights with respect to any of the underlyings.

§ The performance of the securities will depend on the closing values of the underlyings solely on the valuation dates, which makes
the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates.
Whether
the contingent coupon will be paid on any given contingent coupon payment date (and whether any previously unpaid contingent coupon payments
will be paid) and whether the securities will be automatically redeemed prior to maturity will depend on the closing values of the underlyings
solely on the applicable valuation dates, regardless of the closing values of the underlyings on other days during the term of the securities.
If the securities are not automatically redeemed prior to maturity, what you receive at maturity will depend solely on the closing value
of the worst performing underlying on the final valuation date, and not on any other day during the term of the securities. Because the
performance of the securities depends on the closing values of the underlyings on a limited number of dates, the securities will be particularly
sensitive to volatility in the closing values of the underlyings on or near the valuation dates. You should understand that the closing
value of each underlying has historically been highly volatile.

§ The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities.

§ The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity.

§ The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price.
The difference is attributable to certain costs associated with selling, structuring and hedging
the securities that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.

§ The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of, and correlation between, the closing values of
the

Citigroup Global Markets Holdings Inc.
 

underlyings, dividend yields on the underlyings
and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering,
CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an
accurate reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this
pricing supplement may differ from the value that we or our affiliates may determine for the securities for other purposes, including
for accounting purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should
be willing to hold the securities to maturity irrespective of the initial estimated value.

§ The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs
associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not an interest rate that is payable on the securities.

Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject
to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our
creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted for discretionary
factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.

§ The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price.

§ The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the closing values of the underlyings, the volatility of, and correlation between, the closing
values of the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk Factors Relating
to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based
on many unpredictable factors” in the accompanying product supplement. Changes in the closing values of the underlyings may not
result in a comparable change in the value of your securities. You should understand that the value of your securities at any time prior
to maturity may be significantly less than the issue price.

§ Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.

§ The index tracked by the Financial Select Sector SPDR® Fund underwent a significant change on September 16, 2016
and, as a result, the index tracked by the Financial Select Sector SPDR® Fund will differ in important ways from the index
tracked by the Financial Select Sector SPDR® Fund in the past.
The Financial Select Sector SPDR® Fund
seeks to track the S&P Financial Select Sector Index. S&P Dow Jones Indices LLC announced that, on September 16, 2016 (the “rebalance
date”), the S&P Financial Select Sector Index would be reconstituted by eliminating the stocks of real estate management and
development companies and real estate investment trusts (“REITs”) (other than mortgage REITs) (“real estate stocks”).
In connection with this change, the Financial Select Sector SPDR® Fund contributed all of its real estate stocks to the
Real Estate Select Sector SPDR Fund (“XLRE”) in exchange for shares of XLRE and, on September 19, 2016, the Financial Select
Sector SPDR® Fund made an in-kind distribution of the XLRE shares to its shareholders. As a result of this distribution,
the Financial Select Sector SPDR® Fund no longer holds real estate stocks and tracks the performance of only those financial
services company stocks (which exclude real estate stocks) that remain in the S&P Financial Select Sector Index.

As of September 16, 2016, according to information published
by the Financial Select Sector SPDR® Fund, the XLRE shares held by the Financial Select Sector SPDR® Fund
represented approximately 18.8% of its total assets. Accordingly, prior to the rebalance date, real estate stocks accounted for a significant
percentage of the Financial Select Sector SPDR® Fund’s holdings and, therefore, after the rebalance date, the Financial
Select Sector SPDR® Fund tracks a portfolio of stocks that differs meaningfully from the portfolio that it tracked prior
to the rebalance date. When evaluating the historical performance of the Financial Select Sector SPDR® Fund contained in
this pricing supplement, you should bear in mind that the index tracked by the Financial Select Sector SPDR® Fund included
a different composition of stocks during the historical period shown than it will include going forward. The historical performance of
the Financial Select Sector SPDR® Fund might have been meaningfully different had the index tracked by the Financial Select
Sector SPDR® Fund included during the historical period the same composition of stocks as it includes after the rebalance
date.

The changes to the Financial Select Sector SPDR®
Fund described above represent a significant change in the nature of the Financial Select Sector SPDR® Fund. We cannot
predict what effect these changes may have on the performance of the Financial Select Sector

Citigroup Global Markets Holdings Inc.
 

SPDR® Fund. It is possible that these changes
could adversely affect the performance of the Financial Select Sector SPDR® Fund and, in turn, your return on the securities.

§ The Financial Select Sector SPDR® Fund is subject to risks associated with the financial services sector. All
or substantially all of the securities held by the Financial Select Sector SPDR® Fund are issued by companies whose primary
line of business is directly associated with the financial services sector, including companies from the following sub-industries: banks,
thrifts and mortgage finance, diversified financial services, consumer finance, capital markets, mortgage REITs and insurance. Because
the value of the securities is linked to the performance of the Financial Select Sector SPDR® Fund, an investment in the
securities will be subject to concentrated risks relating to the financial services sector. Financial services companies are subject to
extensive government regulation, which may limit both the amounts and types of loans and other financial commitments they can make, and
the interest rates and fees they can charge. Profitability is largely dependent on the availability and cost of capital funds, and can
fluctuate significantly when interest rates change or due to increased competition. Credit losses resulting from financial difficulties
of borrowers and financial losses associated with investment activities can have, and in recent years have had, a negative impact on the
sector. Insurance companies may be subject to severe price competition. Because the securities are subject to the concentrated risks affecting
financial services companies, the value of the securities may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting the financial services sector than a more diversified investment.

§ The Financial Select Sector SPDR® Fund may be disproportionately affected by the performance of a small number of
stocks.
Approximately 44% of the Financial Select Sector SPDR® Fund is invested in just five stocks – JPMorgan
Chase & Co., Berkshire Hathaway Inc. Class B, Bank of America Corporation, Wells Fargo & Company and Citigroup Inc. As a result,
a decline in the prices of one or more of these stocks, including as a result of events negatively affecting one or more of these companies,
may have the effect of significantly lowering the price of the Financial Select Sector SPDR® Fund even if none of the other
securities held by the Financial Select Sector SPDR® Fund are affected by such events. Because of the weighting of the
holdings of the Financial Select Sector SPDR® Fund, the amount you receive at maturity could be less than the cash settlement
amount you would have received if you had invested in a product linked to an exchange-traded fund that capped the maximum weight of any
one stock to a low amount or that equally weighted all stocks held by such exchange-traded fund.

§ Citigroup Inc. is an issuer of equity securities held by the Financial Select Sector SPDR® Fund. Citigroup Inc.
is currently an issuer of equity securities held by the Financial Select Sector SPDR® Fund, but, to our knowledge, neither
we nor Citigroup are currently affiliated with any other company the equity securities of which are held by the Financial Select Sector
SPDR® Fund. Neither we nor Citigroup Inc. have any ability to control the actions of the other issuers of such equity securities.
None of the proceeds of this offering will go to the Financial Select Sector SPDR® Fund or the other issuers of equity
securities held by the Financial Select Sector SPDR® Fund, and none of those issuers are involved in the offering of the
securities in any way. Neither those issuers nor Citigroup Inc. have any obligation to consider your interests as a holder of the securities
in taking any corporate actions that might affect the value of your securities.

§ The SPDR® S&P® Regional Banking ETF is subject to concentrated risks associated with the banking
industry.
All or substantially all of the equity securities held by the SPDR® S&P® Regional Banking
ETF are issued by companies whose primary line of business is directly associated with the banking industry. As a result, the value of
the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence
affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers.

The performance of bank stocks may be affected by extensive
governmental regulation, which may limit both the amounts and types of loans and other financial commitments they can make, the interest
rates and fees they can charge and the amount of capital they must maintain. Profitability is largely dependent on the availability and
cost of capital funds and can fluctuate significantly when interest rates change. Credit losses resulting from financial difficulties
of borrowers can negatively impact banking companies. Banks may also be subject to severe price competition. Competition among banking
companies is high and failure to maintain or increase market share may result in lost market share.

These factors could affect the banking industry and could
affect the value of the equity securities held by the SPDR® S&P® Regional Banking ETF and the price
of the SPDR® S&P® Regional Banking ETF during the term of the securities, which may adversely affect
the value of your securities.

§ Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities does
not mean that we believe that investing in an instrument linked to the underlyings is likely to achieve favorable returns. In fact, as
we are part of a global financial institution, our affiliates may have positions (including short positions) in the underlyings or in
instruments related to the underlyings, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlyings. These and other activities of our affiliates may affect the closing values of the underlyings in a way that
negatively affects the value of and your return on the securities.

§ The closing value of an underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the underlyings
or in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates
also take positions in the underlyings or in financial instruments related to the underlyings on a regular basis (taking long or short
positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers.
These activities could affect the closing values of the underlyings in a way that negatively affects the value of and your return on the
securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines.

§ We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings
in a

Citigroup Global Markets Holdings Inc.
 

way that negatively affects the value of
and your return on the securities. They could also result in substantial returns for us or our affiliates while the value of the securities
declines. In addition, in the course of this business, we or our affiliates may acquire non-public information, which will not be disclosed
to you.

§ The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur during the term of the securities, such as market disruption events and other events with respect to an underlying,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities.
In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder
of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product
supplement.

§ Even if an underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the
securities for that dividend unless it meets the criteria specified in the accompanying product supplement.
In general, an adjustment
will not be made under the terms of the securities for any cash dividend paid by an underlying unless the amount of the dividend per share,
together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an amount
equal to at least 10% of the closing value of that underlying on the date of declaration of the dividend. Any dividend will reduce the
closing value of the underlying by the amount of the dividend per share. If an underlying pays any dividend for which an adjustment is
not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” in the accompanying product supplement.

§ The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the closing
value of an underlying.
For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not
meet the criteria described above, partial tender offers or additional underlying share issuances. Moreover, the adjustments we do make
may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by
such an event in a circumstance in which a direct holder of the underlying shares of an underlying would not.

§ The securities may become linked to an underlying other than an original underlying upon the occurrence of a reorganization event
or upon the delisting of the underlying shares of that original underlying.
For example, if an underlying enters into a merger agreement
that provides for holders of its underlying shares to receive shares of another entity and such shares are marketable securities, the
closing value of that underlying following consummation of the merger will be based on the value of such other shares. Additionally, if
the underlying shares of an underlying are delisted, the calculation agent may select a successor underlying. See “Description of
the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying
product supplement.

§ The value and performance of the underlying shares of an underlying may not completely track the performance of the underlying
index that the underlying seeks to track or the net asset value per share of the underlying.
Each underlying does not fully replicate
the underlying index that it seeks to track and may hold securities different from those included in its underlying index. In addition,
the performance of an underlying will reflect additional transaction costs and fees that are not included in the calculation of its underlying
index. All of these factors may lead to a lack of correlation between the performance of an underlying and its underlying index. In addition,
corporate actions with respect to the equity securities held by an underlying (such as mergers and spin-offs) may impact the variance
between the performance of an underlying and its underlying index. Finally, because the underlying shares are traded on an exchange and
are subject to market supply and investor demand, the closing value of an underlying may differ from the net asset value per share of
an underlying.

During periods of market volatility, securities included in
an underlying’s underlying index may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of an underlying and the liquidity of an underlying may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of an underlying. Further, market volatility may adversely
affect, sometimes materially, the price at which market participants are willing to buy and sell the underlying shares. As a result, under
these circumstances, the closing value of an underlying may vary substantially from the net asset value per share of an underlying. For
all of the foregoing reasons, the performance of an underlying may not correlate with the performance of its underlying index and/or its
net asset value per share, which could materially and adversely affect the value of the securities and/or reduce your return on the securities.

§ 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.

§ 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 described in “United States Federal Tax Considerations” below. 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.

Non-U.S. investors should note that persons having withholding
responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally at a rate of 30%.
To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.

Citigroup Global Markets Holdings Inc.
 

You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement
and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any state,
local or non-U.S. taxing jurisdiction.

Citigroup Global Markets Holdings Inc.
 

Information About the Financial Select Sector SPDR®
Fund

The Financial Select Sector SPDR® Fund is an exchange-traded
fund that seeks to provide investment results that, before expenses, correspond generally to the performance of publicly traded equity
securities of companies in the S&P Financial Select Sector Index. The S&P Financial Select Sector Index is intended to provide
an indication of the pattern of common stock price movements of companies that are components of the S&P 500® Index
and whose primary line of business is directly associated with the financial sector, including companies from the following sub-industries:
banks, thrifts and mortgage finance, diversified financial services, consumer finance, capital markets, mortgage REITs and insurance.
The Financial Select Sector SPDR® Fund is managed by the Select Sector SPDR® Trust, a registered investment
company. The Select Sector SPDR® Trust consists of numerous separate investment portfolios, including The Financial Select
Sector SPDR® Fund.

Information provided to or filed with the SEC by the Select Sector SPDR®
Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference
to SEC file numbers 333-57791 and 811-08837, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The underlying shares of the Financial Select Sector SPDR® Fund trade on the NYSE Arca under the ticker symbol “XLF.”

You may receive underlying shares of the Financial Select Sector SPDR®
Fund at maturity. Therefore, in making your decision to invest in the securities, you should review the prospectus related to the Financial
Select Sector SPDR® Fund on file at the SEC, which can be accessed via the hyperlink below.

Prospectus dated January 31, 2021: https://www.sec.gov/ix?doc=/Archives/edgar/data/1064641/000119312521020549/d70582d485bpos.htm

The contents of that prospectus and any documents incorporated by reference
therein are not incorporated by reference herein or in any way made a part hereof.

We have derived all information regarding the Financial Select Sector
SPDR® Fund from publicly available information and have not independently verified any information regarding the Financial
Select Sector SPDR® Fund. This pricing supplement relates only to the securities and not to the Financial Select Sector
SPDR® Fund. We make no representation as to the performance of the Financial Select Sector SPDR® Fund 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 Financial Select Sector SPDR® Fund 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 Financial Select Sector SPDR®
Fund on October 11, 2021 was $38.63.

The graph below shows the closing value of the Financial Select Sector
SPDR® Fund for each day such value was available from January 3, 2011 to October 11, 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.

When evaluating the historical performance of the shares of the Financial
Select Sector SPDR® Fund contained below, you should bear in mind that the index tracked by the Financial Select Sector
SPDR® Fund included a different composition of stocks prior to September 16, 2016 than it includes after that date, as
described under “Summary Risk Factors—The index tracked by the Financial Select Sector SPDR® Fund underwent
a significant change on September 16, 2016 and, as a result, the index tracked by the Financial Select Sector SPDR® Fund
will differ in important ways from the index tracked by the Financial Select Sector SPDR® Fund in the past.” The
historical performance of the shares of the Financial Select Sector SPDR® Fund might have been meaningfully different had
the index included during the period prior to September 16, 2016 had the same composition of stocks as it includes after that date.

Citigroup Global Markets Holdings Inc.
 

Financial Select Sector SPDR® Fund – Historical Closing Values
January 3, 2011 to October 11, 2021

Citigroup Global Markets Holdings Inc.
 

Information About the SPDR® S&P®
Regional Banking ETF

The SPDR® S&P® Regional Banking ETF
is an exchange-traded fund that seeks to provide investment results that, before fees and expenses, correspond generally to the performance
of the S&P® Regional Banks Select IndustryTM Index. The SPDR® S&P® Regional
Banking ETF is managed by SSGA Funds Management Inc. (“SSGA FM”), an investment advisor to the SPDR® S&P®
Regional Banking ETF, and the SPDR® Series Trust, a registered investment company. The Select Sector SPDR®
Trust consists of numerous separate investment portfolios, including the SPDR® S&P® Regional Banking
ETF. The SPDR® S&P® Regional Banking ETF uses a representative sampling strategy to try to achieve its
investment objective, which means that the SPDR® S&P® Regional Banking ETF is not required to purchase
all of the securities represented in the S&P® Regional Banks Select IndustryTM Index. Instead, the SPDR®
S&P® Regional Banking ETF may purchase a subset of the securities in the S&P® Regional Banks Select
IndustryTM Index in an effort to hold a portfolio of securities with generally the same risk and return characteristics of
the S&P® Regional Banks Select IndustryTM Index. Under normal market conditions, the SPDR®
S&P® Regional Banking ETF generally invests substantially all, but at least 80%, of its total assets in the securities
comprising the S&P® Regional Banks Select IndustryTM Index. In addition, the SPDR® S&P®
Regional Banking ETF may invest in equity securities not included in the S&P® Regional Banks Select IndustryTM
Index, cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds (including money market
funds advised by SSgA FM).

Information provided to or filed with the SEC by the SPDR®
Series Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by
reference to SEC file numbers 333-57793 and 811-08839, respectively, through the SEC’s website at http://www.sec.gov. In addition,
information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. The underlying shares of the SPDR® S&P® Regional Banking ETF trade on the NYSE Arca under
the ticker symbol “KRE.”

You may receive underlying shares of the SPDR® S&P®
Regional Banking ETF at maturity. Therefore, in making your decision to invest in the securities, you should review the prospectus related
to the SPDR® S&P® Regional Banking ETF on file at the SEC, which can be accessed via the hyperlink below.

Prospectus dated October 31, 2020: https://www.sec.gov/ix?doc=/Archives/edgar/data/1064642/000119312520279819/d75232d485bpos.htm

The contents of that prospectus and any documents incorporated by reference
therein are not incorporated by reference herein or in any way made a part hereof.

We have derived all information regarding the SPDR® S&P®
Regional Banking ETF from publicly available information and have not independently verified any information regarding the SPDR®
S&P® Regional Banking ETF. This pricing supplement relates only to the securities and not to the SPDR®
S&P® Regional Banking ETF. We make no representation as to the performance of the SPDR® S&P®
Regional Banking ETF 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 SPDR® S&P® Regional Banking ETF 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 SPDR® S&P®
Regional Banking ETF on October 11, 2021 was $69.89.

The graph below shows the closing value of the SPDR®
S&P® Regional Banking ETF for each day such value was available from January 3, 2011 to October 11, 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.

Citigroup Global Markets Holdings Inc.
 

SPDR® S&P® Regional Banking ETF – Historical Closing Values
January 3, 2011 to October 11, 2021

Citigroup Global Markets Holdings Inc.
 

United States Federal Tax Considerations

You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.

Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, this treatment
of the securities is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that
this treatment is more likely than not to be upheld, and that alternative treatments are possible.

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:

· Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance with
your regular method of accounting for U.S. federal income tax purposes.

· Upon a sale or exchange of a security (including retirement at maturity for cash), you should recognize capital gain or loss equal
to the difference between the amount realized and your tax basis in the security. For this purpose, the amount realized does not include
any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment.
Such gain or loss should be long-term capital gain or loss if you held the security for more than one year. If, upon retirement of the
securities, you receive underlying shares, you should not recognize gain or loss with respect to the underlying shares received, other
than any fractional underlying share for which you receive cash. Your basis in any underlying shares received, including any fractional
underlying share deemed received, should be equal to your tax basis in the securities.

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.

This discussion does not address the U.S. federal tax consequences of
the ownership or disposition of the underlying shares that you may receive at maturity. You should consult your tax adviser regarding
the particular U.S. federal tax consequences of the ownership and disposition of the underlying shares.

Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold
on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a rate of 30%. To the
extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities, we intend to so withhold. In
order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to establish
that you are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should consult
your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any amounts withheld
and the certification requirement described above.

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.

We will not be required to pay any additional amounts with respect to
amounts withheld.

You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.

You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.

Citigroup Global Markets Holdings Inc.
 

Supplemental Plan of Distribution

CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $15.00 for each security sold
in this offering. Broker-dealers affiliated with CGMI, including Citi International Financial Services, Citigroup Global Markets Singapore
Pte. Ltd. and Citigroup Global Markets Asia Limited, and financial advisors employed by such affiliated broker-dealers will collectively
receive a fixed selling concession of $15.00 for each security they sell. For the avoidance of doubt, any fees or selling concessions
described in this pricing supplement will not be rebated if the securities are automatically redeemed prior to maturity.

See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.

Valuation of the Securities

CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.

For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”

Validity of the Securities

In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and issued
by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor,
such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings
Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that
such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities.

In giving this opinion, Davis Polk & Wardwell LLP has assumed the
legal conclusions expressed in the opinions set forth below of Alexia Breuvart, Secretary and General Counsel of Citigroup Global Markets
Holdings Inc., and Barbara Politi, Associate General Counsel—Capital Markets of Citigroup Inc. In addition, this opinion is subject
to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 11, 2021, which has been filed as an exhibit to
a Current Report on Form 8-K filed by Citigroup Inc. on May 11, 2021, that the indenture has been duly authorized, executed and delivered
by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the securities nor the issuance and
delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc.
with the terms of the securities and the related guarantee respectively, will result in a violation of any provision of any instrument
or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by
any court or governmental body having jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.

In the opinion of Alexia Breuvart, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc. has
duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup Global
Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture has been duly
authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery of such indenture and
of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global
Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation
or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the laws
of the State of New York.

Alexia Breuvart, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Global Markets Holdings Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of all

Citigroup Global Markets Holdings Inc.
 

documents submitted to her or such persons as originals, the conformity
to original documents of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the
originals of such copies.

In the opinion of Barbara Politi, Associate General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the
guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly
existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered
by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.

Barbara Politi, or other internal attorneys with whom she has consulted,
has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such corporate records
of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed above. In such examination,
she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures (other than those of officers
of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals, the conformity to original documents
of all documents submitted to her or such persons as certified or photostatic copies and the authenticity of the originals of such copies.

Contact

Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.

© 2021 Citigroup Global Markets Inc. All rights reserved. Citi
and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the
world.


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