The information in this preliminary
pricing supplement is not complete and may be changed. A registration statement relating to these securities has been filed with
the Securities and Exchange Commission. This preliminary pricing supplement and the accompanying product supplement, prospectus
supplement and prospectus are not an offer to sell these securities, nor are they soliciting an offer to buy these securities,
in any state where the offer or sale is not permitted.
SUBJECT TO COMPLETION, DATED
SEPTEMBER 30, 2020
|
Citigroup Global Markets Holdings Inc.
|
October , 2020
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2020-USNCH[ ]
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
Nos. 333-224495 and 333-224495-03
|
Autocallable Securities Linked to the Worst Performing
of the iShares® Silver Trust and the VanEck Vectors® Gold Miners ETF Due November 1, 2022
|
▪
|
The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest, do not guarantee
the repayment of principal at maturity and are subject to potential automatic early redemption on a periodic basis on the terms
described below. Your return on the securities will depend solely on the performance of the worst performing of the underlyings
specified below.
|
|
▪
|
The securities offer the potential for automatic early redemption at a premium following the first valuation date (other than
the final valuation date) on which the closing value of the worst performing underlying on that valuation date is greater than
or equal to its autocall barrier value. If the securities are not automatically redeemed prior to maturity, the securities will
provide for (i) repayment of the stated principal amount plus a premium at maturity if the final underlying value of the
worst performing underlying on the final valuation date is greater than or equal to its autocall barrier value or (ii) repayment
of the stated principal amount at maturity, with no premium, if the final underlying value of the worst performing underlying on
the final valuation date is less than its autocall barrier value but greater than or equal to its final buffer value specified
below. However, if the securities are not automatically redeemed prior to maturity and the worst performing underlying on the
final valuation date has depreciated from its initial underlying value so that its final underlying value is less than its final
buffer value, you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds
the buffer percentage 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 on the final
valuation date, you will not receive dividends with respect to any underlying or participate in any appreciation of any underlying.
|
|
▪
|
Investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the
risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations. All payments
on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
|
KEY TERMS
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Underlying
|
Initial underlying value*
|
Autocall barrier value**
|
Final buffer value***
|
iShares® Silver Trust
|
$
|
$
|
$
|
VanEck Vectors® Gold Miners ETF
|
$
|
$
|
$
|
*For each underlying, its closing value on the pricing date
|
**For each underlying, 95.00% of its initial underlying value
|
***For each underlying, 80.00% of its initial underlying value
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
October 27, 2020
|
Issue date:
|
October 30, 2020
|
Valuation dates:
|
October 27, 2021, January 27, 2022, April 27, 2022, July 27, 2022 and October 27, 2022 (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, November 1, 2022
|
Automatic early redemption:
|
If, on any valuation date prior to the final valuation date, the closing value of the worst performing underlying on that valuation date is greater than or equal to its autocall barrier 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 any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable to any later valuation date.
|
Payment at maturity:
|
If the securities are not automatically redeemed prior to maturity,
you will receive at maturity for each security you then hold:
§
If the final underlying value of the worst performing underlying on the final valuation date is greater than or equal
to its autocall barrier value: $1,000 + the premium applicable to the final valuation date
§ If
the final underlying value of the worst performing underlying on the final valuation date is less than its autocall barrier
value but greater than or equal to its final buffer value: $1,000
§ If
the final underlying value of the worst performing underlying on the final valuation date is less than its final buffer
value:
$1,000 + [$1,000 × (the underlying return of
the worst performing underlying on the final valuation date + the buffer percentage)]
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 buffer
value, which means that the worst performing underlying on the final valuation date has depreciated from its initial underlying
value by more than the buffer percentage, you will lose 1% of the stated principal amount of your securities at maturity for every
1% by which that depreciation exceeds the buffer percentage.
|
Buffer percentage:
|
20.00%
|
Listing:
|
The securities will not be listed on any securities exchange
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee(2)
|
Proceeds to issuer(3)
|
Per security:
|
$1,000.00
|
$25.00
|
$975.00
|
Total:
|
$
|
$
|
$
|
(Key Terms continued on next page)
(1) Citigroup Global Markets Holdings Inc. currently expects
that the estimated value of the securities on the pricing date will be at least $850.00 per security, which will be less than the
issue price. The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding
rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any,
at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation
of the Securities” in this pricing supplement.
(2) CGMI will receive an underwriting fee of up to $25.00 for
each security sold in this offering. The total underwriting fee and proceeds to issuer in the table above give effect to the actual
total underwriting fee. For more information on the distribution of the securities, see “Supplemental Plan of Distribution”
in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit from expected hedging activity
related to this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying
prospectus.
(3) The per security proceeds to issuer indicated above represent
the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting fee. As noted above,
the underwriting fee is variable.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-7.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and
the accompanying product supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary
is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks
below:
The securities are not bank deposits and
are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
|
KEY TERMS (continued)
|
Premium:
|
The premium applicable to each valuation date will be determined
on the pricing date and will be within the applicable range indicated below. The premium may be significantly less than the
appreciation of any underlying from the pricing date to the applicable valuation date.
|
|
• October 27, 2021:
|
10.00% to 12.00% of the stated principal amount
|
|
• January 27, 2022:
|
12.50% to 15.00% of the stated principal amount
|
|
• April 27, 2022:
|
15.00% to 18.00% of the stated principal amount
|
|
• July 27, 2022:
|
17.50% to 21.00% of the stated principal amount
|
|
• October 27, 2022:
|
20.00% to 24.00% of the stated principal amount
|
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:
|
17328WPH5 / US17328WPH50
|
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.
Prospectus. The first sentence of “Description of
Debt Securities— Events of Default and Defaults” in the accompanying prospectus shall be amended to read in its entirety
as follows:
Events of default under the indenture are:
|
·
|
failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for
30 days;
|
|
·
|
failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a
sinking fund, on any debt security of such series for 30 days;
|
|
·
|
failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking fund
for 30 days on debt securities of such series;
|
|
·
|
failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture applicable
to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other than such series;
and
|
|
·
|
certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).
|
Citigroup Global Markets Holdings Inc.
|
|
Hypothetical Payment Upon Automatic Early Redemption
The following table illustrates how the amount payable per security
upon automatic early redemption will be calculated if the closing value of the worst performing underlying on any valuation date
prior to the final valuation date is greater than or equal to its autocall barrier value. The table assumes that the premium applicable
to each valuation date will be set at the lowest value indicated under “Key Terms” above. The actual premium applicable
to each valuation date will be determined on the pricing date.
If the first valuation date on which the closing value of the worst performing underlying on that valuation date is greater than or equal to its autocall barrier value is...
|
...then you will receive the following payment per security upon automatic early redemption:
|
October 27, 2021
|
$1,000.00 + applicable premium = $1,000.00 + $100.00 = $1,100.00
|
January 27, 2022
|
$1,000.00 + applicable premium = $1,000.00 + $125.00 = $1,125.00
|
April 27, 2022
|
$1,000.00 + applicable premium = $1,000.00 + $150.00 = $1,150.00
|
July 27, 2022
|
$1,000.00 + applicable premium = $1,000.00 + $175.00 = $1,175.00
|
If, on any valuation date prior to the final valuation date,
the closing value of any underlying is greater than or equal to its autocall barrier value, but the closing value of any other
underlying is less than its autocall barrier value, you will not receive the premium indicated above following that valuation date.
In order to receive the premium indicated above, the closing value of each underlying on the applicable valuation date must
be greater than or equal to its autocall barrier value.
Payment at Maturity Diagram
The diagram below illustrates your payment at maturity of the
securities, assuming the securities have not previously been automatically redeemed, for a range of hypothetical underlying returns
of the worst performing underlying on the final valuation date. Your payment at maturity (if the securities are not earlier automatically
redeemed) will be determined based solely on the performance of the worst performing underlying on the final valuation date. The
diagram assumes that the premium applicable to the final valuation date will be set at the lowest value indicated under “Key
Terms” above. The actual premium applicable to the final valuation date will be determined on the pricing date.
Investors in the securities will not receive any dividends
with respect to the underlyings. The diagram and examples below do not show any effect of lost dividend yield over the term of
the securities. See “Summary Risk Factors—You will not receive dividends or have any other rights with respect
to the underlyings” below.
Payment at Maturity Diagram
|
|
n The Securities
|
n The Worst Performing Underlying on the Final Valuation Date
|
Citigroup Global Markets Holdings Inc.
|
|
Hypothetical Examples of the Payment at Maturity
The examples below are intended to illustrate how, if the securities
are not automatically redeemed prior to maturity, your payment at maturity will depend on the final underlying value of the worst
performing underlying on the final valuation date. Your actual payment at maturity per security, if the securities are not automatically
redeemed prior to maturity, will depend on the actual final underlying value of the worst performing underlying on the final valuation
date. The examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction of any payment
that may be made on the securities.
The examples below are based on the following hypothetical values
and do not reflect the actual initial underlying values, final buffer values or autocall barrier values of the underlyings. For
the actual initial underlying value, final buffer value and autocall barrier value of each underlying, see the cover page of this
pricing supplement. We have used these hypothetical values, rather than the actual values, to simplify the calculations and aid
understanding of how the securities work. However, you should understand that the actual payment at maturity on the securities
will be calculated based on the actual initial underlying value, final buffer value and autocall barrier value of each underlying,
and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded. The examples below assume
that the premium applicable to the final valuation date will be set at the lowest value indicated under “Key Terms”
above. The actual premium applicable to the final valuation date will be determined on the pricing date.
Underlying
|
Hypothetical initial underlying value
|
Hypothetical final buffer value
|
Hypothetical autocall barrier value
|
iShares® Silver Trust
|
$100.00
|
$80.00 (80.00% of its hypothetical initial underlying value)
|
$95.00 (95.00% of its hypothetical initial underlying value)
|
VanEck Vectors® Gold Miners ETF
|
$100.00
|
$80.00 (80.00% of its hypothetical initial underlying value)
|
$95.00 (95.00% of its hypothetical initial underlying value)
|
Example 1—Upside Scenario. The final underlying
value of the worst performing underlying on the final valuation date is $110.00, resulting in a 10.00% underlying return for the
worst performing underlying on the final valuation date. In this example, the final underlying value of the worst performing underlying
on the final valuation date is greater than its autocall barrier value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
iShares® Silver Trust*
|
$110.00
|
10.00%
|
VanEck Vectors® Gold Miners ETF
|
$140.00
|
40.00%
|
* Worst performing underlying on the final valuation date
Payment at maturity per security = $1,000 + the premium applicable
to the final valuation date
= $1,000 + $200
= $1,200
In this scenario, because the final underlying value of the worst
performing underlying on the final valuation date is greater than its autocall barrier value, you would be repaid the stated principal
amount of your securities at maturity plus the premium applicable to the final valuation date.
Example 2—Par Scenario. The final underlying value
of the worst performing underlying on the final valuation date is $87.00, resulting in a -13.00% underlying return for the worst
performing underlying on the final valuation date. In this example, the final underlying value of the worst performing underlying
on the final valuation date is less than its initial underlying value but greater than its final buffer value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
iShares® Silver Trust
|
$100.00
|
0.00%
|
VanEck Vectors® Gold Miners ETF*
|
$87.00
|
-13.00%
|
* Worst performing underlying on the final valuation date
Payment at maturity per security = $1,000
In this scenario, the worst performing underlying on the final
valuation date has depreciated from its initial underlying value to its final underlying value, but not by more than the buffer
percentage. As a result, you would be repaid the stated principal amount of your securities at maturity but would not receive any
positive return on your investment.
Example 3—Downside Scenario. The final underlying
value of the worst performing underlying on the final valuation date is $30.00, resulting in a -70.00% underlying return for the
worst performing underlying on the final valuation date. In this example, the final underlying value of the worst performing underlying
on the final valuation date is less than its final buffer value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
iShares® Silver Trust*
|
$30.00
|
-70.00%
|
VanEck Vectors® Gold Miners ETF
|
$105.00
|
5.00%
|
* Worst performing underlying on the final valuation date
Payment at maturity per security = $1,000 + [$1,000 × (the
underlying return of the worst performing underlying on the final valuation date + the buffer percentage)]
= $1,000 + [$1,000 × (-70.00% + 20.00%)]
= $1,000 + [$1,000 × -50.00%]
= $1,000 + -$500.00
Citigroup Global Markets Holdings Inc.
|
|
= $500.00
In this scenario, the worst performing underlying on the final
valuation date has depreciated from its initial underlying value to its final underlying value by more than the buffer percentage.
As a result, your total return at maturity in this scenario would be negative and would reflect 1-to-1 exposure to the negative
performance of the worst performing underlying on the final valuation date beyond the buffer percentage.
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 13,
2020, which is during the marketing period and prior to the pricing date of these securities.
|
§
|
You may lose a significant portion 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 buffer value, which means that the worst performing underlying on the final valuation date has depreciated from its initial
underlying value by more than the buffer percentage, you will lose 1% of the stated principal amount of your securities for every
1% by which that depreciation exceeds the buffer percentage.
|
|
§
|
Your potential return on the securities is limited. Your potential return on the securities is limited to the applicable
premium payable upon automatic early redemption or at maturity, as described on the cover page of this pricing supplement. If the
closing value of the worst performing underlying on one of the valuation dates is greater than or equal to its autocall barrier
value, you will be repaid the stated principal amount of your securities and will receive the fixed premium applicable to that
valuation date, regardless of how significantly the closing value of the worst performing underlying on that valuation date may
exceed its autocall barrier value. Accordingly, any premium may result in a return on the securities that is significantly less
than the return you could have achieved on a direct investment in any or all of the underlyings.
|
|
§
|
The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest prior to
maturity. You should not invest in the securities if you seek current income during the term of the securities.
|
|
§
|
The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky
than similar investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that
any one underlying will perform poorly, adversely affecting your return on the securities.
|
|
§
|
The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying
performs poorly. You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you
will be negatively affected. The securities are not linked to a basket composed of the underlyings, where the blended performance
of the underlyings would be better than the performance of the worst performing underlying alone. Instead, you are subject to the
full risks of whichever of the underlyings is the worst performing underlying.
|
|
§
|
You will not benefit in any way from the performance of any better performing underlying. The return on the securities
depends solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance
of any better performing underlying.
|
|
§
|
You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective
for the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar
times and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this
relationship. The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over
the term of the securities. All that is necessary for the securities to perform poorly is for one of the underlyings to perform
poorly. It is impossible to predict what the relationship between the underlyings will be over the term of the securities. The
underlyings differ in significant ways and, therefore, may not be correlated with each other.
|
|
§
|
The securities may be automatically redeemed prior to maturity, limiting the term of the securities. If the closing
value of the worst performing underlying on any valuation date (other than the final valuation date) is greater than or equal to
its autocall barrier value, the securities will be automatically redeemed. If the securities are automatically redeemed following
any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable
to any later valuation date. Moreover, you may not be able to reinvest your funds in another investment that provides a similar
yield with a similar level of risk.
|
|
§
|
The securities offer downside exposure to the worst performing underlying, but no upside exposure to any underlying.
You will not participate in any appreciation in the value of any underlying over the term of the securities. Consequently, your
return on the securities will be limited to the applicable premium payable upon an automatic early redemption or at maturity and
may be significantly less than the return on any underlying over the term of the securities.
|
|
§
|
You will not receive dividends or have any other rights with respect to the underlyings. You will not receive any dividends
with respect to the underlyings. This lost dividend yield may be significant over the term of the securities. The payment scenarios
described in
|
Citigroup Global Markets Holdings Inc.
|
|
this pricing supplement do not show
any effect of such lost dividend yield over the term of the securities. In addition, you will not have voting rights or any other
rights with respect to the underlyings or the stocks included in the underlyings.
|
§
|
The performance of the securities will depend on the closing values of the underlyings solely on the valuation dates, which
makes the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates.
Whether the securities will be automatically redeemed prior to maturity will depend on the closing values of the underlyings solely
on the valuation dates (other than the final valuation date), regardless of the closing values of the underlyings on other days
during the term of the securities. If the securities are not automatically redeemed prior to maturity, what you receive at maturity
will depend solely on the closing value of the worst performing underlying on the final valuation date, and not on any other day
during the term of the securities. Because the performance of the securities depends on the closing values of the underlyings on
a limited number of dates, the securities will be particularly sensitive to volatility in the closing values of the underlyings
on or near the valuation dates. You should understand that the closing value of each underlying has historically been highly volatile.
|
|
§
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
§
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
|
§
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) any selling concessions or other fees
paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection
with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other
of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the economic terms
of the securities because, if they were lower, the economic terms of the securities would be more favorable to you. The economic
terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary
market rate, to price the securities. See “The estimated value of the securities would be lower if it were calculated based
on our secondary market rate” below.
|
|
§
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of, and correlation between,
the closing values of the underlyings, dividend yields on the underlyings and interest rates. CGMI’s views on these inputs
may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours.
Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the
securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from
the value that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You
should not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the
securities to maturity irrespective of the initial estimated value.
|
|
§
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market 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
|
Citigroup Global Markets Holdings Inc.
|
|
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 securities are subject to risks associated with silver. The iShares® Silver Trust seeks to reflect
generally the performance of the price of silver, less the iShares® Silver Trust’s expenses and liabilities.
The price of silver is primarily affected by global demand for and supply of silver. Silver prices can fluctuate widely and may
be affected by numerous factors. These include general economic trends, technical developments, substitution issues and regulation,
as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation, the relative
strength of the U.S. dollar (the currency in which the price of silver is generally quoted) and other currencies, interest rates,
central bank sales, forward sales by producers, global or regional political or economic events and production costs and disruptions
in major silver-producing countries, such as Mexico, China and Peru. The demand for and supply of silver affect silver prices,
but not necessarily in the same manner as supply and demand affect the prices of other commodities. The supply of silver consists
of a combination of new mine production and existing stocks of bullion and fabricated silver held by governments, public and private
financial institutions, industrial organizations and private individuals. In addition, the price of silver has on occasion been
subject to very rapid short-term changes due to speculative activities. From time to time, above-ground inventories of silver may
also influence the market. The major end uses for silver include industrial applications, jewelry and silverware. It is not possible
to predict the aggregate effect of all or any combination of these factors.
|
|
§
|
There are risks relating to commodities trading on the London Bullion Market Association. The iShares®
Silver Trust seeks to reflect generally the performance of the price of silver, less the iShares® Silver Trust’s
expenses and liabilities. The price of silver is determined by the London Bullion Market Association (“LBMA”) or an
independent service provider appointed by the LBMA. The LBMA is a self-regulatory association of bullion market participants.
Although all market-making members of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy
test, the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion trading should become
subject to a value added tax or other tax or any other form of regulation currently not in place, the role of the LBMA silver price
as a global benchmark for the value of silver may be adversely affected. The LBMA is a principals’ market, which operates
in a manner more closely analogous to an over-the-counter physical commodity market than regulated futures markets, and certain
features of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price
limits on the LBMA, which would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining market, it
is possible that prices would continue to decline without limitation within a trading day or over a period of trading days.
The LBMA may alter, discontinue or suspend calculation or dissemination of the LBMA silver price, which could adversely affect
the value of the securities. The LBMA, or an independent service provider appointed by the LBMA, will have no obligation
to consider your interests in calculating or revising the LBMA silver price.
|
|
§
|
You will not have any rights with respect to the commodities held by the iShares® Silver Trust.
|
|
§
|
The iShares® Silver Trust is not an investment company or commodity pool and will not be subject to regulation
under the Investment Company Act of 1940, as amended, or the Commodity Exchange Act. Accordingly, you will not benefit from
any regulatory protections afforded to persons who invest in regulated investment companies or commodity pools.
|
|
§
|
Single commodity prices tend to be more volatile than, and may not correlate with, the prices of commodities generally.
The iShares® Silver Trust is linked to a single commodity and not to a diverse basket of commodities or a broad-based
commodity index. The iShares® Silver Trust’s underlying commodity may not correlate to the price of
commodities generally and may diverge significantly from the prices of commodities generally. As a result, the securities
carry greater risk and may be more volatile than securities linked to the prices of more commodities or a broad-based commodity
index.
|
|
§
|
The performance and market value of the iShares® Silver Trust, particularly
during periods of market volatility, may not correlate with the performance of its underlying commodity as well as the net asset
value per share. The iShares® Silver Trust does not fully replicate the performance of its underlying commodity,
which is silver, due to the fees and expenses charged by such underlying or by restrictions on access to its underlying commodity
due to other circumstances. The iShares® Silver Trust does not generate any income, and as the iShares®
Silver Trust regularly sells its underlying commodity to pay for ongoing expenses, the amount of its underlying commodity represented
by each share gradually declines over time. The iShares® Silver Trust sells its underlying commodity to pay expenses
on an ongoing basis irrespective of whether the trading price of the shares rises or falls in response to changes in the price
of its underlying commodity. The sale by the iShares® Silver Trust of its underlying commodity to pay expenses at
a time of low prices for its underlying commodity could adversely affect the value of the securities. Additionally, there
is a risk that some or all of the iShares® Silver Trust’s holdings in its underlying commodity could be lost,
damaged or stolen. Access to the iShares® Silver Trust underlying commodity could also be restricted by natural
events (such as an earthquake) or human actions (such as a terrorist attack). All of these factors may lead to a lack of
correlation between the performance of the iShares® Silver Trust and its underlying
|
Citigroup Global Markets Holdings Inc.
|
|
commodity.
In addition, because the underlying shares of the iShares® Silver Trust are traded on a securities exchange and
are subject to market supply and investor demand, the market value of one share of the iShares® Silver Trust may
differ from the net asset value per share of the iShares® Silver Trust.
During
periods of market volatility, the iShares® Silver Trust’s underlying commodity may be unavailable in the secondary
market, market participants may be unable to calculate accurately the net asset value per share of the iShares®
Silver Trust and the liquidity of its underlying shares may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares of the iShares® Silver Trust. Further, market volatility
may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell underlying shares
of the iShares® Silver Trust. As a result, under these circumstances, the market value of shares of the iShares®
Silver Trust may vary substantially from the net asset value per share of the iShares® Silver Trust. For all of
the foregoing reasons, the performance of the iShares® Silver Trust may not correlate with the performance of its
underlying commodity as well as the net asset value per share of the iShares® Silver Trust, which could materially
and adversely affect the value of the securities in the secondary market and/or reduce any payment on the securities.
|
§
|
The VanEck Vectors® Gold Miners ETF is subject to risks associated with non-U.S. markets. Investments
linked to the value of non-U.S. stocks involve risks associated with the securities markets in those countries, including risks
of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries.
Also, there is generally less publicly available information about companies in some of these jurisdictions than about U.S. companies
that are subject to the reporting requirements of the SEC. Further, non-U.S. companies are generally subject to accounting, auditing
and financial reporting standards and requirements and securities trading rules that are different from those applicable to U.S.
reporting companies. The prices of securities in foreign markets may be affected by political, economic, financial and social factors
in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
Moreover, the economies in such countries may differ favorably or unfavorably from the economy of the United States in such respects
as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
|
|
§
|
Fluctuations in exchange rates will affect the closing value of the VanEck Vectors® Gold Miners ETF.
Because the VanEck Vectors® Gold Miners ETF includes stocks that trade outside the United States and the closing
value of the VanEck Vectors® Gold Miners ETF is based on the U.S. dollar value of those stocks, the VanEck Vectors®
Gold Miners ETF is subject to currency exchange rate risk with respect to each of the currencies in which such stocks trade. Exchange
rate movements may be volatile and may be driven by numerous factors specific to the relevant countries, including the supply of,
and the demand for, the applicable currencies, as well as government policy and intervention and macroeconomic factors. Exchange
rate movements may also be influenced significantly by speculative trading. In general, if the U.S. dollar strengthens against
the currencies in which the stocks included in the VanEck Vectors® Gold Miners ETF trade, the closing value of the
VanEck Vectors® Gold Miners ETF will be adversely affected for that reason alone.
|
|
§
|
The VanEck Vectors® Gold Miners ETF is subject to risks associated
with the gold and silver mining industries. The equity securities included in the NYSE Arca Gold Miners Index and that are
generally tracked by the VanEck Vectors® Gold Miners ETF are common stocks and American depositary receipts (“ADRs”)
of companies primarily engaged in mining for gold and silver. The shares of the VanEck Vectors® Gold Miners ETF
may be subject to increased price volatility as they are linked to a single industry, market or sector and may be more susceptible
to adverse economic, market, political or regulatory occurrences affecting that industry, market or sector.
|
Because the VanEck Vectors®
Gold Miners ETF invests primarily in common stocks and ADRs of companies that are involved in the gold mining industries, the underlying
shares of the VanEck Vectors® Gold Miners ETF are subject to certain risks associated with such companies. Competitive
pressures may have a significant effect on the financial condition of such companies in the gold mining industry. Also, gold mining
companies are highly dependent on the price of gold. The price of gold is primarily affected by the global demand for and supply
of gold. The market for gold bullion is global, and gold prices are subject to volatile price movements over short periods of time
and are affected by numerous factors, including macroeconomic factors, such as the structure of and confidence in the global monetary
system, expectations regarding the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the
currency in which the price of gold is usually quoted), interest rates, gold borrowing and lending rates and global or regional
economic, financial, political, regulatory, judicial or other events. Gold prices may be affected by industry factors, such as
industrial and jewelry demand as well as lending, sales and purchases of gold by the official sector, including central banks and
other governmental agencies and multilateral institutions that hold gold. Additionally, gold prices may be affected by levels of
gold production, production costs and short-term changes in supply and demand due to trading activities in the gold market. From
time to time, above-ground inventories of gold may also influence the market. It is not possible to predict the aggregate effect
of all or any combination of these factors. The price of gold has recently been, and may continue to be, extremely volatile.
The VanEck Vectors®
Gold Miners ETF invests to a lesser extent in common stocks and ADRs of companies involved in the silver mining industry. Silver
mining companies are highly dependent on the price of silver. The price of silver is primarily affected by global demand for and
supply of silver. Silver prices can fluctuate widely and may be affected by numerous factors. These include general economic trends,
technical developments, substitution issues and regulation, as well as specific factors including industrial and jewelry demand,
expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency in which the price of
silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers, global or regional
political or economic events and production costs and disruptions in major silver-producing countries, such as Mexico, China and
Peru. The demand for and supply of silver affect silver prices, but not necessarily in the same manner as supply and demand affect
the prices of other commodities. The supply of silver consists of a combination of new mine production and existing stocks of bullion
and fabricated silver held by governments, public and private financial institutions, industrial organizations and private individuals.
In addition, the price of silver has on occasion been subject to very rapid short-term changes due to speculative activities. From
time to time, above-ground inventories of silver may also influence the market. The major end uses for silver include industrial
applications, jewelry and silverware.
|
§
|
The value and performance of the underlying shares of the VanEck Vectors® Gold Miners ETF may not completely
track the performance of the underlying index that it seeks to track or the net asset value per share of the VanEck Vectors®
Gold Miners
|
Citigroup Global Markets Holdings Inc.
|
|
ETF. The VanEck Vectors®
Gold Miners ETF 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 the VanEck Vectors® Gold Miners ETF 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 the VanEck Vectors® Gold Miners ETF and its underlying
index. In addition, corporate actions with respect to the equity securities held by the VanEck Vectors® Gold Miners
ETF (such as mergers and spin-offs) may impact the variance between the performance of the VanEck Vectors® Gold
Miners ETF and its underlying index. Finally, because the underlying shares of the VanEck Vectors® Gold Miners ETF
are traded on an exchange and are subject to market supply and investor demand, the closing value of the VanEck Vectors®
Gold Miners ETF may differ from the net asset value per share of the VanEck Vectors® Gold Miners ETF.
During periods of market volatility,
securities included in the VanEck Vectors® Gold Miners ETF’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 the VanEck Vectors®
Gold Miners ETF and the liquidity of the VanEck Vectors® Gold Miners ETF may be adversely affected. This kind of
market volatility may also disrupt the ability of market participants to create and redeem shares of the VanEck Vectors®
Gold Miners ETF. Further, market volatility may adversely affect, sometimes materially, the price at which market participants
are willing to buy and sell the underlying shares of the VanEck Vectors® Gold Miners ETF. As a result, under these
circumstances, the closing value of the VanEck Vectors® Gold Miners ETF may vary substantially from its net asset
value per share. For all of the foregoing reasons, the performance of the VanEck Vectors® Gold Miners ETF 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.
|
§
|
Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities
does not mean that we believe that investing in an instrument linked to the underlyings is likely to achieve favorable returns.
In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the
underlyings or in instruments related to the underlyings, and may publish research or express opinions, that in each case are inconsistent
with an investment linked to the underlyings. These and other activities of our affiliates may affect the closing values of the
underlyings in a way that negatively affects the value of and your return on the securities.
|
|
§
|
The closing value of an underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the
underlyings or in financial instruments related to the underlyings and may adjust such positions during the term of the securities.
Our affiliates also take positions in the underlyings or in financial instruments related to the underlyings on a regular basis
(taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions
on behalf of customers. These activities could affect the closing values of the underlyings in a way that negatively affects the
value of and your return on the securities. They could also result in substantial returns for us or our affiliates while the value
of the securities declines.
|
|
§
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities. Our affiliates engage in business activities with a wide range of companies. These activities include extending
loans, making and facilitating investments, underwriting securities offerings and providing advisory services. These activities
could involve or affect the underlyings in a way that negatively affects the value of and your return on the securities. They could
also result in substantial returns for us or our affiliates while the value of the securities declines. In addition, in the course
of this business, we or our affiliates may acquire non-public information, which will not be disclosed to you.
|
|
§
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur during the term of the securities, such as market disruption events and other events with respect to an
underlying, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return
on the securities. In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse
to your interests as a holder of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating
to All Securities—The calculation agent, which is an affiliate of ours, will make important determinations with respect to
the securities” in the accompanying product supplement.
|
|
§
|
Even if an underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required under
the securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general,
an adjustment will not be made under the terms of the securities for any cash dividend paid by an underlying unless the amount
of the dividend per share, together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the
most recent quarter by an amount equal to at least 10% of the closing value of that underlying on the date of declaration of the
dividend. Any dividend will reduce the closing value of the underlying by the amount of the dividend per share. If an underlying
pays any dividend for which an 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
|
Citigroup Global Markets Holdings Inc.
|
|
“Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying product supplement.
|
§
|
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 prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. Even if the treatment of the securities as prepaid forward contracts is respected, a security
may be treated as a “constructive ownership transaction,” with potentially adverse consequences described below under
“United States Federal Tax Considerations.” Moreover, future legislation, Treasury regulations or IRS guidance could
adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.
|
If you are a non-U.S. investor, you should review the
discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
|
|
Information About the iShares®
Silver Trust
The iShares® Silver Trust is an exchange-traded
fund that seeks to provide investment results that correspond generally to the performance of the price of silver (an “underlying
commodity”), less the iShares® Silver Trust’s expenses. The assets of the iShares® Silver
Trust consist primarily of silver held by a custodian on behalf of the iShares® Silver Trust. The iShares®
Silver Trust issues shares in exchange for deposits of silver and distributes silver in connection with the redemption of shares.
The shares of the iShares® Silver Trust are designed for investors who want a cost-effective and convenient way
to invest in silver.
The shares of the iShares® Silver Trust represent
units of fractional undivided beneficial interest in and ownership of the iShares® Silver Trust. The iShares®
Silver Trust is a passive investment vehicle and the trustee of the iShares® Silver Trust does not actively manage
the silver held by the iShares® Silver Trust. The trustee of the iShares® Silver Trust sells silver
held by the iShares® Silver Trust to pay the iShares® Silver Trust’s expenses on an as-needed
basis irrespective of then-current silver prices. Currently, the iShares® Silver Trust’s only recurring fixed
expense is iShares Delaware Trust Sponsor LLC’s fee which accrues daily at an annual rate equal to 0.50% of the daily net
asset value of the iShares® Silver Trust, in exchange for iShares Delaware Trust Sponsor LLC assuming the responsibility
to pay all ordinary fees and expenses of the iShares® Silver Trust.
Information provided to or filed with the SEC by the iShares®
Silver 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 333-237679 and 001-32863, respectively, through the SEC’s website at http://www.sec.gov.
The underlying shares of the iShares® Silver Trust trade on the NYSE Arca under the ticker symbol “SLV.”
We have derived all information regarding the iShares®
Silver Trust from publicly available information and have not independently verified any information regarding the iShares®
Silver Trust. This pricing supplement relates only to the securities and not to the iShares® Silver Trust. We make
no representation as to the performance of the iShares® Silver Trust 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 iShares® Silver Trust 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 iShares® Silver Trust
on September 28, 2020 was $22.02.
The graph below shows the closing value of the iShares®
Silver Trust for each day such value was available from January 4, 2010 to September 28, 2020. 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.
iShares® Silver Trust – Historical Closing Values
January 4, 2010 to September 28, 2020
|
|
Citigroup Global Markets Holdings Inc.
|
|
Information About the VanEck Vectors®
Gold Miners ETF
The VanEck Vectors® Gold Miners ETF is an exchange-traded
fund that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities involved primarily in the mining of gold or silver, as measured by the NYSE Arca Gold Miners Index.
The NYSE Arca Gold Miners Index is a modified market capitalization weighted index composed of publicly traded companies involved
primarily in the mining of gold or silver.
The VanEck Vectors® Gold Miners ETF is an investment
portfolio of VanEck Vectors® ETF Trust.
Information provided to or filed with the SEC by VanEck Vectors
ETF 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 333-123257 and 811-10325, 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 VanEck Vectors® Gold Miners ETF trade on the
NYSE Arca under the ticker symbol “GDX.”
We have derived all information regarding the VanEck Vectors®
Gold Miners ETF from publicly available information and have not independently verified any information regarding the VanEck Vectors®
Gold Miners ETF. This pricing supplement relates only to the securities and not to the VanEck Vectors® Gold Miners
ETF. We make no representation as to the performance of the VanEck Vectors® Gold Miners 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 VanEck Vectors® Gold Miners 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 VanEck Vectors® Gold
Miners ETF on September 28, 2020 was $38.87.
The graph below shows the closing value of the VanEck Vectors®
Gold Miners ETF for each day such value was available from January 4, 2010 to September 28, 2020. 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.
VanEck Vectors® Gold Miners ETF – Historical Closing Values
January 4, 2010 to September 28, 2020
|
|
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.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
a security should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you
agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty
regarding this treatment, and the IRS or a court might not agree with it. Moreover, our counsel’s opinion is based on market
conditions as of the date of this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange
or retirement of a security should be long-term capital gain or loss if you held the security for more than one year.
|
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain you would otherwise recognize
in respect of your securities would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying
long-term capital gain.” Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated
as accruing at a constant rate over the period you held your securities, and you would be subject to an interest charge in respect
of the deemed tax liability on the income treated as accruing in prior tax years. In addition, long-term capital gain that you
would otherwise recognize in respect of your notes up to the amount of the “net underlying long-term capital gain”
could, if you are an individual or other non-corporate investor, be subject to tax at the higher rates applicable to “collectibles”
instead of the general rates that apply to long-term capital gain. Due to the lack of governing authority under Section 1260, our
counsel is not able to opine as to whether or how Section 1260 applies to the securities. You should read the section entitled
“United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Potential Application of Section 1260
of the Code” in the accompanying product supplement for additional information and consult your tax adviser regarding the
potential application of the “constructive ownership” rule.
We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences
of ownership and disposition of the securities, including the timing and character of income recognized. In addition, the U.S.
Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future
regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative
contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and
in “United States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder
(as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding
or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”)
or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate
the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury
regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023
that do not have a “delta” of one. Based on the terms of the securities and representations provided by us as of the
date of this preliminary pricing supplement, 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). However, the final determination regarding the treatment of the
securities under Section 871(m) will be made as of the pricing date for the securities, and it is possible that the securities
will be subject to withholding tax under Section 871(m) based on the circumstances as of that date.
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
|
|
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $25.00
for each security sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected
dealers, as described in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a
variable selling concession of up to $25.00 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.
The estimated value of the securities is a function of the terms
of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement,
it is uncertain what the estimated value of the securities will be on the pricing date because certain terms of the securities
have not yet been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary pricing models will
be on the pricing date.
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.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority in the Hong Kong Special
Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are advised to exercise caution
in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus, they should obtain independent professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
|
(i)
|
to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
|
|
(ii)
|
to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
|
|
(iii)
|
in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
|
There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority of Singapore, and the
securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore (the “Securities
and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an invitation for subscription
or purchase nor may this pricing supplement or any other document or material in connection with the offer or sale or
Citigroup Global Markets Holdings Inc.
|
|
invitation for subscription or purchase of any securities be
circulated or distributed, whether directly or indirectly, to any person in Singapore other than (a) to an institutional investor
pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person under Section 275(1) of the Securities and
Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures Act and in accordance with the conditions
specified in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant to, and in accordance with the conditions
of, any other applicable provision of the Securities and Futures Act. Where the securities are subscribed or purchased under Section
275 of the Securities and Futures Act by a relevant person which is:
|
(a)
|
a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
|
|
(b)
|
a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
|
|
(i)
|
to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
|
|
(ii)
|
where no consideration is or will be given for the transfer; or
|
|
(iii)
|
where the transfer is by operation of law; or
|
|
(iv)
|
pursuant to Section 276(7) of the Securities and Futures Act; or
|
|
(v)
|
as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
|
Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 2020 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
Citigroup (NYSE:C)
Historical Stock Chart
From Mar 2024 to Apr 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Apr 2023 to Apr 2024