|
Citigroup Global Markets Holdings
Inc. |
February 23, 2021
Medium-Term Senior Notes, Series
N
Pricing Supplement No.
2021—USNCH6717
Filed Pursuant to Rule
424(b)(2)
Registration Statement Nos. 333-
224495 and 333-
224495-03
|
Callable Fixed to Float CMS Spread
Range Accrual Notes Contingent on the S&P 500® Index
Due February 26, 2041
|
§ |
Variable
coupon. The notes will pay interest at a fixed rate specified
below for the first year following issuance. After the first year,
contingent interest will accrue on the notes during each accrual
period at a rate based on the CMS spread described below, but
only for each elapsed day during that accrual period on
which the accrual condition is satisfied. The accrual condition
will be satisfied on an elapsed day only if the closing
level of the underlying index on that day is greater than or equal
to the accrual barrier level. Accordingly, contingent interest
during each accrual period, if any, will depend on the CMS spread
and the level of the underlying index. The amount of interest
payable on the notes may be adversely affected by adverse movements
in either one of these variables, regardless of the
performance of the other. The notes may pay low or no interest for
extended periods of time or even throughout the entire term after
the first year. |
|
§ |
Call
right. We have the right to call the notes for mandatory
redemption on any coupon payment date beginning approximately one
year after the issue date. |
|
§ |
The
notes offered by this pricing supplement are unsecured debt
securities issued by Citigroup Global Markets Holdings Inc. and
guaranteed by Citigroup Inc. Investors must be willing to accept
(i) an investment that may have limited or no liquidity and (ii)
the risk of not receiving any amount due under the notes if we and
Citigroup Inc. default on our obligations. All payments on the
notes 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 notes are
fully and unconditionally guaranteed by Citigroup Inc. |
|
Stated principal amount: |
$1,000 per note |
|
Underlying index: |
S&P 500®
Index |
|
CMS spread: |
On any CMS spread determination
date, the 30-year constant maturity swap rate (“CMS30”)
minus the 2-year constant maturity swap rate (“CMS2”) on
that day. See “Information About the CMS Spread” in this
pricing supplement. |
|
CMS spread determination date: |
For any accrual period commencing
on or after February 26, 2022, the second U.S. government
securities business day prior to the first day of that accrual
period |
|
Pricing date: |
February 23, 2021 |
|
Issue date: |
February 26, 2021 |
|
Maturity date: |
Unless earlier redeemed, February
26, 2041 |
|
Payment at maturity: |
Unless
earlier redeemed, $1,000 per note plus the coupon payment
due at maturity, if any |
|
Coupon payments: |
On each coupon payment date occurring
during the first year following issuance of the notes, the
notes will pay a fixed coupon of 7.00% per annum, regardless of the
CMS spread or the level of the underlying index.
On each coupon payment date after
the first year (beginning in May 2022), you will receive a
coupon payment at an annual rate equal to the variable coupon rate
for that coupon payment date. The variable coupon rate for any
coupon payment date after the first year will be determined as
follows:
|
| |
relevant contingent rate per
annum × |
number of accrual days during the
related accrual period
|
|
| number of elapsed days during the related accrual
period |
|
|
Each coupon payment per note will be
equal to (i) $1,000 multiplied by the applicable coupon rate
per annum divided by (ii) 4.
If the number of accrual days in a
given accrual period is less than the number of elapsed days in
that accrual period, the variable coupon rate for the related
coupon payment date will be less than the full relevant contingent
rate, and if there are no accrual days in a given accrual period,
the variable coupon rate for the related coupon payment date will
be 0%.
|
|
Relevant contingent rate: |
The relevant contingent rate for any
coupon payment date after the first year following issuance of the
notes means:
5.00 × the CMS spread (as of the CMS
spread determination date for the related accrual period), subject
to a minimum relevant contingent rate of 0.00% per annum and a
maximum relevant contingent rate of 7.00% per annum.
If the CMS spread for any CMS
spread determination date is less than or equal to 0.00%, the
relevant contingent rate for that accrual period will be 0.00% and
you will not receive any coupon payment on the related coupon
payment date. The relevant contingent rate will in no event exceed
the maximum relevant contingent rate.
|
|
Initial index level: |
3,881.37, the closing
level of the underlying index on the pricing date |
|
Accrual barrier level: |
2,522.891, 65% of the
initial index level |
|
Listing: |
The notes 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
note: |
$1,000 |
$50 |
$950 |
|
Total: |
$1,678,000 |
$55,541.80 |
$1,622,458.20 |
(Key Terms continued on next
page)
(1) On the date of this pricing
supplement, the estimated value of the notes is $851 per note,
which is less than the issue price. The estimated value of the
notes 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 notes from you at any time after issuance. See “Valuation
of the Notes” in this pricing supplement.
(2) CGMI will receive an underwriting
fee of up to $50 for each note 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 notes, 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 notes
declines. See “Use of Proceeds and Hedging” in the accompanying
prospectus.
(3) The per note proceeds to issuer
indicated above represent the minimum per note proceeds to issuer
for any note, assuming the maximum per note underwriting fee. As
noted above, the underwriting fee is variable.
Investing in the notes involves
risks not associated with an investment in conventional debt
securities. See “Summary Risk Factors” beginning on page
PS-5.
Neither the
Securities and Exchange Commission (the “SEC”) nor any state
securities commission has approved or disapproved of the notes or
determined that this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement
and prospectus are truthful or complete. Any representation to the
contrary is a criminal offense. You should read this pricing supplement together
with the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus, which can be accessed via the
following hyperlinks:
Product Supplement No. IE-06-06 dated June 4,
2019 Underlying
Supplement No. 9 dated October 30, 2020
Prospectus Supplement and Prospectus
each dated May 14, 2018
The
notes 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) |
|
|
Coupon payment dates: |
The 26th day of each February,
May, August and November beginning on May 26, 2021, except that the
final coupon payment date will be the maturity date (or the earlier
date on which we redeem the notes, if applicable) |
|
Accrual period: |
For each coupon payment date after
the first year following issuance of the notes, the period from and
including the immediately preceding coupon payment date to but
excluding such coupon payment date |
|
Accrual day: |
An elapsed day on which the
accrual condition is satisfied |
|
Elapsed day: |
Calendar day |
|
Accrual condition: |
The accrual condition will be
satisfied on an elapsed day if, and only if, the closing level of
the underlying index is greater than or equal to the accrual
barrier level on that elapsed day. For purposes of determining
whether the accrual condition is satisfied on any elapsed day, if
the closing level of the underlying index is not available for any
reason on that day (including weekends and holidays), the closing
level of the underlying index will be assumed to be the same as on
the immediately preceding elapsed day (subject to the discussion in
the section “Description of the Notes—Terms Related to the
Underlying Index—Discontinuance or Material Modification of the
Underlying Index” in the accompanying product supplement). In
addition, for all elapsed days from and including the
fourth-to-last day that is a scheduled trading day for the
underlying index in an accrual period to and including the last
elapsed day of that accrual period, the closing level of the
underlying index will not be observed and will be assumed to be the
same as on the elapsed day immediately preceding such unobserved
days. |
|
Early redemption: |
We have
the right to redeem the notes, in whole and not in part, on any
coupon payment date on or after February 26, 2022 upon not less
than five business days’ notice for an amount in cash equal to 100%
of the stated principal amount of your notes plus the coupon
payment due on the date of redemption, if any. |
|
CUSIP / ISIN: |
17328YSU9 / US17328YSU90 |
Additional Information
General. The terms of the notes 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, certain events may occur that
could affect the amount of any variable coupon payment you receive.
These events and their consequences are described in the
accompanying product supplement in the sections “Description of the
Notes—Terms Related to the Underlying Index—Discontinuance or
Material Modification of the Underlying Index” and not in this
pricing supplement. In addition, the accompanying underlying
supplement contains important disclosures regarding the underlying
index that are not repeated in this pricing supplement. It is
important that you read the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus
together with this pricing supplement in connection with your investment
in the notes. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
Prospectus. The first sentence of “Description of Debt
Securities— Events of Default and Defaults” in the accompanying
prospectus shall be amended to read in its entirety as follows:
Events of default under the indenture are:
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|
• |
|
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 Examples
Variable Coupon
Payments
The sections below provide
examples of how the variable coupon payments on the notes will be
determined. The first section, “—Determining the Hypothetical
Relevant Contingent Rate,” provides a limited number of
hypothetical examples of how the relevant contingent rate for any
accrual period will be determined based on hypothetical CMS spread
values, as determined on the second U.S. government securities
business day prior to the beginning of the applicable accrual
period. The second section, “—Determining the Hypothetical Variable
Coupon Rates and Variable Coupon Payments,” provides a limited
number of hypothetical examples of how the coupon payments on the
notes will be determined based on a limited number of hypothetical
relevant contingent interest rates and a limited number of
hypothetical accrual days during a hypothetical accrual period. The
figures below have been rounded for ease of analysis.
Determining the
Hypothetical Relevant Contingent Rate
The table below presents
examples of hypothetical relevant contingent rates based on various
hypothetical CMS spread values.
|
Example |
Hypothetical CMS Spread* |
Hypothetical Relevant Contingent Rate per
Annum** |
|
1 |
-1.00% |
0.00% |
|
2 |
-0.80% |
0.00% |
|
3 |
-0.60% |
0.00% |
|
4 |
-0.40% |
0.00% |
|
5 |
-0.20% |
0.00% |
|
6 |
0.00% |
0.00% |
|
7 |
0.10% |
0.50% |
|
8 |
0.20% |
1.00% |
|
9 |
0.30% |
1.50% |
|
10 |
0.40% |
2.00% |
|
11 |
0.50% |
2.50% |
|
12 |
0.60% |
3.00% |
|
13 |
0.80% |
4.00% |
|
14 |
1.00% |
5.00% |
|
15 |
1.20% |
6.00% |
|
16 |
1.40% |
7.00% |
|
17 |
1.60% |
7.00% |
|
18 |
1.80% |
7.00% |
|
19 |
2.00% |
7.00% |
|
20 |
2.20% |
7.00% |
|
21 |
2.40% |
7.00% |
|
22 |
2.60% |
7.00% |
_______________________________
* Hypothetical CMS spread =
(CMS30 – CMS2), where CMS30 and CMS2 are determined on the second
U.S. government securities business day prior to the beginning of
the applicable accrual period.
** Hypothetical relevant
contingent rate per annum for the accrual period = 5.00 ×
hypothetical CMS spread, subject to a minimum of 0.00% and a
maximum of 7.00% per annum.
Determining the Hypothetical Variable Coupon Rates and Variable
Coupon Payments
The tables below present
examples of the hypothetical variable coupon rate and hypothetical
variable coupon payments after the first year following issuance of
the notes based on the number of accrual days in a particular
accrual period and different assumptions about the CMS spread. For
illustrative purposes only, the tables assume an accrual period
that contains 90 elapsed days and that the notes have not
previously been redeemed. The actual coupon payment for any coupon
payment date after the first year will depend on the actual number
of accrual days and elapsed days during the related accrual period
and the actual CMS spread on the CMS spread determination date for
that accrual period. The variable coupon rate for each accrual
period will apply only to that accrual period.
|
Citigroup Global Markets Holdings
Inc. |
|
Assuming the CMS spread is
0.10% on the applicable CMS spread determination
date:
|
Hypothetical Number of Accrual Days in Accrual
Period* |
Hypothetical Relevant Contingent Rate per
Annum** |
Hypothetical Variable Coupon Rate per Annum*** |
Hypothetical Variable Coupon Payment per
Note**** |
|
0 |
0.500% |
0.000% |
$0.00 |
|
15 |
0.500% |
0.083% |
$0.21 |
|
30 |
0.500% |
0.167% |
$0.42 |
|
45 |
0.500% |
0.250% |
$0.63 |
|
60 |
0.500% |
0.333% |
$0.83 |
|
75 |
0.500% |
0.417% |
$1.04 |
|
90 |
0.500% |
0.500% |
$1.25 |
Assuming the CMS spread is
2.00% on the applicable CMS spread determination
date:
|
Hypothetical Number of Accrual Days in Accrual
Period* |
Hypothetical Relevant Contingent Rate per
Annum** |
Hypothetical Variable Coupon Rate per Annum*** |
Hypothetical Variable Coupon Payment per
Note**** |
|
0 |
7.00% |
0.000% |
$0.00 |
|
15 |
7.00% |
1.167% |
$2.92 |
|
30 |
7.00% |
2.333% |
$5.83 |
|
45 |
7.00% |
3.500% |
$8.75 |
|
60 |
7.00% |
4.667% |
$11.67 |
|
75 |
7.00% |
5.833% |
$14.58 |
|
90 |
7.00% |
7.000% |
$17.50 |
Assuming the CMS spread is
0.00% on the applicable CMS spread determination
date:
|
Hypothetical Number of Accrual Days in Accrual
Period* |
Hypothetical Relevant Contingent Rate per
Annum** |
Hypothetical Variable Coupon Rate per Annum*** |
Hypothetical Variable Coupon Payment per
Note**** |
|
0 |
0.00% |
0.000% |
$0.00 |
|
15 |
0.00% |
0.000% |
$0.00 |
|
30 |
0.00% |
0.000% |
$0.00 |
|
45 |
0.00% |
0.000% |
$0.00 |
|
60 |
0.00% |
0.000% |
$0.00 |
|
75 |
0.00% |
0.000% |
$0.00 |
|
90 |
0.00% |
0.000% |
$0.00 |
_______________________________
* An accrual day is an
elapsed day on which the accrual condition is satisfied (i.e., on
which the closing level of the underlying index is greater than or
equal to the accrual barrier level)
** The hypothetical relevant
contingent rate is equal to 5.00 × CMS spread (as of the CMS spread
determination date for the related accrual period), subject to a
minimum of 0.00% and a maximum of 7.00% per annum
*** The hypothetical variable
coupon rate per annum is equal to (i) the hypothetical relevant
contingent rate per annum multiplied by (ii) (a) the
hypothetical number of accrual days in the related accrual period,
divided by (b) 90
**** The hypothetical
variable coupon payment per note is equal to (i) $1,000
multiplied by the hypothetical variable coupon rate per
annum, divided by (ii) 4
|
Citigroup Global Markets Holdings
Inc. |
|
Summary Risk Factors
An investment in the notes is significantly riskier than an
investment in conventional debt securities. The notes 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 notes, and are also subject to risks
associated with CMS30, CMS2 and the underlying index. Accordingly,
the notes are suitable only for investors who are capable of
understanding the complexities and risks of the notes. You should
consult your own financial, tax and legal advisors as to the risks
of an investment in the notes and the suitability of the notes in
light of your particular circumstances.
The following is a summary of certain key risk factors for
investors in the notes. You should read this summary together with
the more detailed description of risks relating to an investment in
the notes contained in the section “Risk Factors Relating to the
Notes” beginning on page EA-6 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.
|
§ |
The notes offer a variable coupon rate after the first year
following issuance, and you may not receive any coupon payment on
one or more coupon payment dates. Any variable coupon payment
you receive will be paid at a per annum rate equal to the relevant
contingent rate for the applicable coupon payment date only
if the accrual condition is satisfied on each elapsed
day during the related accrual period. The accrual condition will
be satisfied on any elapsed day only if the closing level of
the underlying index on that elapsed day is greater than or equal
to the accrual barrier level. If, on any elapsed day during an
accrual period, the accrual condition is not satisfied, the
applicable variable coupon payment will be paid at a rate that is
less, and possibly significantly less, than the relevant contingent
rate. If, on each elapsed day during an accrual period, the accrual
condition is not satisfied, no variable coupon payment will be made
on the related coupon payment date. Accordingly, there can be no
assurance that you will receive a variable coupon payment on any
coupon payment date or that any variable coupon payment you do
receive will be calculated at the full relevant contingent rate.
Furthermore, because the relevant contingent rate is a floating
rate determined by reference to the CMS spread, the notes are
subject to a contingency associated with the CMS spread. The
relevant contingent rate will vary based on fluctuations in the CMS
spread. If the CMS spread narrows, the relevant contingent rate
will be reduced. The relevant contingent rate may be as low as zero
for any coupon payment date. If the relevant contingent rate is
zero for any coupon payment date, you will not receive any variable
coupon payment on that coupon payment date even if the accrual
condition is satisfied on each elapsed day in the related accrual
period. Thus, the notes are not a suitable investment for investors
who require regular fixed income payments. |
|
§ |
Although the notes
provide for the repayment of the stated principal amount at
maturity, you may nevertheless suffer a loss on your investment in
the notes, in real value terms, if you receive below-market or no
variable coupon payments after the first year of the term of the
notes. This is because inflation may cause the real value of
the stated principal amount to be less at maturity than it is at
the time you invest, and because an investment in the notes
represents a forgone opportunity to invest in an alternative asset
that does generate a positive real return. You should carefully
consider whether an investment that may not provide for any return
on your investment, or may provide a return that is lower than the
return on alternative investments, is appropriate for
you. |
|
§ |
The relevant contingent rate may decline, possibly to 0.00%, if
short-term interest rates rise. Although there is no single
factor that determines CMS spreads, CMS spreads have historically
tended to fall when short-term interest rates rise. Short-term
interest rates have historically been highly sensitive to the
monetary policy of the Federal Reserve Board. Accordingly, one
significant risk assumed by investors in the notes is that the
Federal Reserve Board may pursue a policy of raising short-term
interest rates, which, if historical patterns hold, would lead to a
decrease in the CMS spread. In that event, the relevant contingent
rate would be reduced, and may be 0.00%, and the floating rate
payable on the notes would also decline significantly, possibly to
0.00%. It is important to understand, however, that short-term
interest rates are affected by many factors and may increase even
in the absence of a Federal Reserve Board policy to increase
short-term interest rates. Furthermore, it is important to
understand that the CMS spread may decrease even in the absence of
an increase in short-term interest rates because it, too, is
influenced by many complex factors. |
|
§ |
The relevant contingent rate on the notes may be lower than
other market interest rates. The relevant contingent rate on
the notes will not necessarily move in line with general U.S.
market interest rates or even CMS rates and, in fact, may move
inversely with general U.S. market interest rates. For example, if
there is a general increase in CMS rates but shorter-term rates
rise more than longer-term rates, the CMS spread will decrease, as
will the relevant contingent rate. Accordingly, the notes are not
appropriate for investors who seek floating interest payments based
on general market interest rates. |
|
§ |
The relevant contingent rate on the notes is subject to a
cap. As a result, the notes may pay interest at a lower rate
than an alternative instrument that is not so capped. |
|
§ |
The higher potential yield offered by the notes is
associated with greater risk that the notes will pay a low or no
coupon on one or more coupon payment dates. The notes
offer coupon payments with the potential to result in a higher
yield than the yield on our conventional debt securities of the
same maturity. You should understand that, in exchange for this
potentially higher yield, you will be exposed to significantly
greater risks than investors in our conventional debt securities
(guaranteed by Citigroup Inc.). These risks include the risk that
the variable coupon payments you receive, if any, will result in a
yield on the notes that is lower, and perhaps significantly lower,
than the yield on our conventional debt securities of the same
maturity that are guaranteed by Citigroup Inc. The volatility of
the CMS spread and the underlying index, and the correlation
between the CMS spread and the underlying index, are important
factors affecting this risk. Greater expected volatility and/or
lower expected correlation as of the pricing date |
|
Citigroup Global Markets Holdings
Inc. |
|
may contribute to the higher yield potential, but would also
represent a greater expected likelihood as of the pricing date
that, after the first year, you will receive low or no coupon
payments on the notes.
|
§ |
The
notes are subject to risks associated with the CMS spread and the
underlying index and may be negatively affected by adverse
movements in either one of these variables, regardless of
the performance of the other. The amount of any variable coupon
payments you receive will depend on the performance of the CMS
spread and the underlying index. If the CMS spread is low or zero, causing the relevant
contingent rate to be low or zero, the notes will pay a low
or no coupon even if the closing level of the underlying index is
consistently greater than the accrual barrier level. Conversely,
even if the CMS spread is high, causing the relevant contingent
rate to be high, the notes will pay no coupon if the closing level
of the underlying index is consistently less than the accrual
barrier level. Accordingly, you will be subject to risks associated
with the CMS spread and the underlying index, and your return on
the notes will depend significantly on the relationship between
such risks over the term of the notes. If either one performs
sufficiently poorly, you may receive low or no variable coupon
payments for an extended period of time, or even throughout the
entire period following the first year of the term of the notes,
even if the other performs favorably. |
|
§ |
The
variable coupon payments depend on multiple variables, and you are
therefore exposed to greater risks of receiving no variable coupon
payments after the first year than if the notes were linked to just
one variable. The risk that you will receive no variable coupon
payment on one or more coupon payment dates after the first year is
greater if you invest in the notes as opposed to substantially
similar securities that are linked to the performance of just one
variable. With multiple variables, it is more likely that the notes
will accrue low or no interest during an accrual period than if
payments on the notes were contingent on only one
variable. |
|
§ |
The
notes will be subject to risks associated with the CMS spread.
The relevant contingent rate for any coupon payment date after the
first year following issuance of the notes will depend on the CMS
spread as of the CMS spread determination date for the related
accrual period. |
The relevant contingent rate will not depend on the absolute level
of either CMS30 or CMS2, but rather on the relationship between
CMS30 and CMS2—specifically, whether CMS30 is greater than CMS2.
Many factors affect CMS30 and CMS2, such that future values of
CMS30 and CMS2 and their relationship are impossible to predict. If
the CMS spread for any CMS spread determination date is less than
or equal to 0.00%, the relevant contingent rate for that accrual
period will be 0.00% and you will not receive any coupon payment on
the related coupon payment date.
Although there is no single factor that determines the CMS spread,
the CMS spread has historically tended to fall when short-term
interest rates rise. As with CMS rates, short-term interest rates
are influenced by many complex factors, and it is impossible to
predict their future performance. However, historically short-term
interest rates have been highly sensitive to the monetary policy of
the Federal Reserve Board. Accordingly, one significant risk
assumed by investors in the notes is that the Federal Reserve Board
may pursue a policy of raising short-term interest rates, which, if
historical patterns hold, would lead to a decrease in the CMS
spread, possibly to a level that is below 0.00%. It is important to
understand that, although the policies of the Federal Reserve Board
have historically had a significant influence on short-term
interest rates, short-term interest rates are affected by many
factors and may increase even in the absence of a Federal Reserve
Board policy to increase short-term interest rates. For example,
short-term interest rates tend to rise when there is a worsening of
the perceived creditworthiness of the banks that participate in the
interest rate swap and London interbank markets and when there is a
worsening of general economic and credit conditions. Furthermore,
it is important to understand that the CMS spread may decrease even
in the absence of an increase in short-term interest rates because
it, too, is influenced by many complex factors. Another
circumstance when the CMS spread has historically tended to fall
and become negative is when the market expects an economic
recession. Accordingly, another significant risk assumed by
investors in the notes is that the market may anticipate a
recession or that there may be a recession.
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The notes may be called for mandatory redemption at our option
after the first year of their term, which limits your ability to
receive variable coupon payments if the CMS spread and the
underlying index performs favorably. In determining whether to
redeem the notes, we will consider various factors, including then
current market interest rates and our expectations about payments
we will be required to make on the notes in the future. If we call
the notes for mandatory redemption, we will do so at a time that is
advantageous to us and without regard to your interests. We are
more likely to redeem the notes at a time when the CMS spread and
underlying index are performing favorably from your perspective and
when we expect them to continue to do so. Therefore, although the
notes offer variable coupon payments after the first year following
issuance of the notes with the potential to result in a higher
yield than the yield on our conventional debt securities of the
same maturity, if the notes are paying that higher yield and we
expect them to continue to do so, it is more likely that we would
redeem the notes. Accordingly, the redemption feature of the notes
is likely to limit the benefits you receive from the variable
coupon payments. If we exercise our redemption right 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. Alternatively, if the CMS spread and/or the underlying index
is performing unfavorably from your perspective or when we expect
it to do so in the future, we are less likely to call the notes, so
that you may continue to hold notes paying below-market or no
interest for an extended period of time. |
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The closing level of the underlying index will not be
observed on certain days and will be assumed to be the same as on
earlier days, which will cause certain days to have a greater
weight in determining the variable coupon rate. With respect to
an elapsed day on which the closing level of the underlying index
is not available, the closing level of such underlying index for
that day will be deemed to be the same as on the immediately
preceding elapsed day on which the level is available. In addition,
for purposes of determining whether the accrual condition is
satisfied, for all elapsed days from and including the
fourth-to-last day that is a scheduled trading day for the
underlying index in an accrual period to and including the last
elapsed day of that accrual period, the closing level of the
underlying index will not be observed and will be assumed to be the
same as on the elapsed day immediately preceding such unobserved
days. The relative weighting of the applicable preceding elapsed
day will be magnified for purposes of determining whether such
elapsed day qualifies as an accrual day. Under these circumstances,
if the applicable preceding elapsed day is not an accrual day, each
successive day on which the closing level of that underlying index
is not observed will also not qualify |
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Citigroup Global Markets Holdings
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as an accrual day. As a result, to the extent that such preceding
elapsed day is not an accrual day, such preceding elapsed day will
have a greater weight in determining the number of accrual days
during an accrual period. This could adversely affect the amount of
any variable coupon payment.
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The return on the notes will be limited. The return on
the notes will be limited to the sum of your coupon payments, even
if the closing level of the underlying index greatly exceeds its
initial index level at one or more times during the term of the
notes. The maximum possible return on the notes after the first
year is the maximum relevant contingent rate indicated on the cover
of this pricing supplement, which would be achieved only if (i) the
relevant contingent rate is the maximum relevant contingent rate
for each accrual period and (ii) the closing level of the
underlying index is greater than or equal to the accrual barrier
level on each elapsed day during the term of the notes after the
first year. You will not receive the dividend yield on, or share in
any appreciation of, any underlying index over the term of the
notes. |
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You may not be adequately compensated for assuming the risks
of the notes. The fixed coupon payments during the first year
following issuance of the notes and the variable coupon payments
you receive on the notes, if any, after the first year are the
compensation you receive for assuming the risks of the notes,
including interest rate risk, the risk that we may call the notes
and our and Citigroup Inc.’s credit risk. That compensation is
effectively “at risk” and may, therefore, be less than you
currently anticipate. The actual yield you realize on the notes
could be lower than you anticipate because the coupon payments
after the first year are variable and you may not receive any
variable coupon payment after the first year. If the risks of the
notes increase or are otherwise greater than you currently
anticipate, the coupon payments may turn out to be inadequate to
compensate you for all the risks of the notes. |
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The notes are subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc. If we default on our
obligations under the notes and Citigroup Inc. defaults on its
guarantee obligations, you may not receive anything owed to you
under the notes. |
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The notes will not be listed on any securities exchange and
you may not be able to sell them prior to maturity. The notes
will not be listed on any securities exchange. Therefore, there may
be little or no secondary market for the notes. CGMI currently
intends to make a secondary market in relation to the notes and to
provide an indicative bid price for the notes on a daily basis. Any
indicative bid price for the notes 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 notes 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 notes because it is
likely that CGMI will be the only broker-dealer that is willing to
buy your notes prior to maturity. Accordingly, an investor must be
prepared to hold the notes until maturity. |
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Sale of the notes
prior to maturity may result in a loss of principal. You will
be entitled to receive at least the full stated principal amount of
your notes, subject to the credit risk of Citigroup Global Markets
Holdings Inc. and Citigroup Inc., only if you hold the notes to
maturity. The value of the notes may fluctuate during the term of
the notes, and if you are able to sell your notes prior to
maturity, you may receive less than the full stated principal
amount of your notes. |
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The notes may be riskier than notes with a shorter term.
The notes have a relatively long term to maturity, subject to our
right to call the notes for mandatory redemption prior to maturity.
By purchasing notes with a longer term, you are more exposed to
fluctuations in market interest rates and equity markets than if
you purchased notes with a shorter term. Specifically, you will be
negatively affected if the CMS spread decreases or if the closing
level of the underlying index falls below the accrual barrier
level. If either (i) the CMS spread decreases to a value that is
equal to or less than 0.00% per annum or (ii) the closing level of
the underlying index is less than the accrual barrier level on each
day during an entire accrual period, you will be holding a
long-dated note that does not pay any coupon. |
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The estimated value of the notes 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
notes that are included in the issue price. These costs include (i)
the selling concessions paid in connection with the offering of the
notes, (ii) hedging and other costs incurred by us and our
affiliates in connection with the offering of the notes 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 notes. These costs adversely affect the
economic terms of the notes because, if they were lower, the
economic terms of the notes would be more favorable to you. The
economic terms of the notes are also likely to be adversely
affected by the use of our internal funding rate, rather than our
secondary market rate, to price the notes. See “The estimated value
of the notes would be lower if it were calculated based on our
secondary market rate” below. |
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The estimated value of the notes was determined for us by
our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing
supplement from its proprietary pricing models. In doing so, it may
have made discretionary judgments about the inputs to its models,
such as the volatility of the underlying index and the CMS spread,
the correlation between the underlying index and the CMS spread,
dividend yields on the stocks that constitute the underlying index
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 notes. Moreover, the
estimated value of the notes set forth on the cover page of this
pricing supplement may differ from the value that we or our
affiliates may determine for the notes for other purposes,
including for accounting purposes. You should not invest in the
notes because of the estimated value of the notes. Instead, you
should be willing to hold the notes to maturity irrespective of the
initial estimated value. |
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Citigroup Global Markets Holdings
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The estimated value of the notes would be lower if it were
calculated based on our secondary market rate. The estimated
value of the notes 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
notes. 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 notes for purposes of any purchases of
the notes 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 notes, which are generally
higher than the costs associated with conventional debt securities,
and our liquidity needs and preferences. Our internal funding rate
is not the same as the coupon that is payable on the notes. |
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 notes,
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 notes prior to maturity.
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The estimated value of the notes is not an indication of the
price, if any, at which CGMI or any other person may be willing to
buy the notes from you in the secondary market. Any such
secondary market price will fluctuate over the term of the notes
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 notes 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
notes than if our internal funding rate were used. In addition, any
secondary market price for the notes will be reduced by a bid-ask
spread, which may vary depending on the aggregate stated principal
amount of the notes 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 notes will be less than the issue price. |
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The value of the notes prior to maturity will fluctuate
based on many unpredictable factors. The value of your notes
prior to maturity will fluctuate based on the level and volatility
of the underlying index and the CMS spread and a number of other
factors, including the dividend yields on the stocks that
constitute the underlying index, expectations of future values of
the CMS spread, interest rates generally, the positive or negative
correlation between the CMS spread and the underlying index, the
time remaining to maturity of the notes and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate.
Changes in the levels of the CMS spread and/or the underlying index
may not result in a comparable change in the value of your notes.
You should understand that the value of your notes at any time
prior to maturity may be significantly less than the issue
price. |
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Immediately following issuance, any secondary market bid
price provided by CGMI, and the value that will be indicated on any
brokerage account statements prepared by CGMI or its affiliates,
will reflect a temporary upward adjustment. The amount of this
temporary upward adjustment will steadily decline to zero over the
temporary adjustment period. See “Valuation of the Notes” in this
pricing supplement. |
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The relationship between CMS30 and CMS2 may be different
than the relationship between CMS rates of different
maturities. The relevant contingent rate may be lower than it
would be if it were based on a CMS rate with a longer maturity than
30 years or a shorter maturity than 2 years. |
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CMS30 and CMS2 will
be affected by a number of factors and may be highly volatile.
CMS30 and CMS2 are influenced by many factors,
including: |
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· |
the
monetary policies of the Federal Reserve Board; |
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· |
current
market expectations about future interest rates; |
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· |
current
market expectations about inflation; |
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· |
the
volatility of the foreign exchange markets; |
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· |
the
availability of relevant hedging instruments; |
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· |
the
perceived general creditworthiness of the banks that participate in
the interest rate swap market and the London interbank loan market;
and |
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· |
general
credit and economic conditions in global markets, and particularly
in the United States. |
As a result of these factors, CMS30 and CMS2 may be highly
volatile. Because CMS30 and CMS2 are market rates and are
influenced by many factors, it is impossible to predict the future
values of CMS30 and CMS2.
The CMS spread will be influenced by a number of complex economic
factors, including those that affect CMS rates generally. However,
the CMS spread depends not on how the relevant economic factors
affect any one CMS rate or even CMS rates generally, but rather on
how those factors affect CMS rates of different maturities (i.e.,
CMS30 and CMS2) differently.
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The
manner in which CMS rates are calculated may change in the
future. The method by which CMS rates are calculated may change
in the future, as a result of governmental actions, actions by the
publisher of CMS rates or otherwise. We cannot predict |
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Citigroup Global Markets Holdings
Inc. |
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whether the method by which CMS rates are calculated will change or
what the impact of any such change might be. Any such change could
affect CMS rates in a way that has a significant adverse effect on
the notes.
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Our
offering of the notes is not a recommendation of the CMS spread or
the underlying index. The fact that we are offering the notes
does not mean that we believe that investing in an instrument
linked to the CMS spread and the underlying index 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 stocks that constitute the underlying index
or in instruments related to the CMS spread or the underlying index
or such stocks, and may publish research or express opinions, that
in each case are inconsistent with an investment linked to the CMS
spread and the underlying index. These and other activities of our
affiliates may affect the CMS spread or the level of the underlying
index in a way that has a negative impact on your interests as a
holder of the notes. |
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Investing in the
notes is not equivalent to investing in the underlying index or the
stocks that constitute the underlying index. You will not have
voting rights, rights to receive dividends or other distributions
or any other rights with respect to the stocks that constitute the
underlying index. You will not participate in any appreciation of
the underlying index over the term of the notes. |
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Adjustments to any
underlying index may affect the value of your notes. The
sponsor of the underlying index may add, delete or substitute the
stocks that constitute the underlying index or make other
methodological changes that could affect the level of the
underlying index. The sponsor of the underlying index may
discontinue or suspend calculation or publication of the underlying
index at any time without regard to your interests as a holder of
the notes. |
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Since August 2019,
CMS30 and CMS2 have not been published on a significant number of
scheduled publication days. If CMS30 or CMS2 is not published and
at least three reference bank quotations are not provided, the
relevant CMS rate will be determined by the calculation agent.
Since August 2019, ICE Benchmark Administration Limited has not
published CMS30 and CMS2 on a significant number of scheduled
publication days. For example, in March and April 2020, CMS30 and
CMS2 were not published on any of the scheduled publication days.
It is possible that such non-publication may continue and that the
frequency of non-publication may increase. If, with respect to any
CMS spread determination date during the term of the notes, CMS30
or CMS2 is not published and at least three reference bank
quotations are not provided as further described under “Information
About the CMS Spread” in this pricing supplement, the relevant CMS
rate will be determined by the calculation agent in good faith and
in a commercially reasonable manner. As a result, any such increase
in the frequency of non-publication may increase the likelihood
that CMS30 or CMS2 for one or more CMS spread determination dates
will be so determined by the calculation agent. See also “—The
calculation agent, which is an affiliate of ours, will make
important determinations with respect to the notes.” |
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Uncertainty about
the future of LIBOR may affect CMS rates in a way that adversely
affects the return on and the value of the notes. A CMS
rate is a market rate for the fixed leg of a fixed-for-floating
interest rate swap, where the floating leg is based on 3-month U.S.
dollar LIBOR. As a result, CMS rates are significantly
influenced by 3-month U.S. dollar LIBOR and expectations about
future levels of 3-month U.S. dollar LIBOR. On July 27, 2017,
the Chief Executive of the U.K. Financial Conduct Authority (the
“FCA”), which regulates LIBOR, announced that the FCA intends to
stop persuading or compelling banks to submit rates for the
calculation of LIBOR to the LIBOR administrator. The announcement
indicates that the continuation of LIBOR on the current basis
cannot and will not be guaranteed after 2021. It is impossible to
predict whether and to what extent banks will continue to provide
LIBOR submissions to the administrator of LIBOR, whether LIBOR
rates will cease to be published or supported before or after 2021
or whether any additional reforms to LIBOR may be enacted in the
United Kingdom or elsewhere. It is also impossible to predict
the impact of any LIBOR-related developments on the method of
calculation or the values of CMS rates. At this time, no
consensus exists as to what rate or rates may become accepted
alternatives to LIBOR, including for purposes of the interest rate
swaps underlying CMS rates, and it is impossible to predict the
effect of any such alternatives on the value of securities, such as
the notes, that are linked to CMS rates. Any changes to
3-month U.S. dollar LIBOR or the calculation of CMS rates, and any
uncertainty at what these changes may be, may affect CMS rates in a
way that adversely affects your return on and value of the
notes. |
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§ |
CMS
rates and the level of the underlying index may be adversely
affected by our or our affiliates’ hedging and other trading
activities. We expect to hedge our obligations under the notes
through CGMI or other of our affiliates, who may take positions
directly in the interest rate swaps that are used to determine CMS
rates and/or in stocks that constitute the underlying index and
other financial instruments related to such interest rate swaps,
the underlying index or such stocks and may adjust such positions
during the term of the notes. Our affiliates also trade the
interest rate swaps that are used to determine CMS rates and the
stocks that constitute the underlying index and other financial
instruments related to such interest rate swaps, the underlying
index or such stocks 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 CMS rates and/or the level
of the underlying index in a way that negatively affects the value
of the notes. They could also result in substantial returns for us
or our affiliates while the value of the notes
declines. |
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§ |
We
and our affiliates may have economic interests that are adverse to
yours as a result of our affiliates’ business activities. Our
affiliates may currently or from time to time engage in business
with the issuers of the stocks that constitute the underlying
index, including extending loans to, making equity investments in
or providing advisory services to such issuers. In the course of
this business, we or our affiliates may acquire non-public
information about such issuers, which we will not disclose to you.
Moreover, if any of our affiliates is or becomes a creditor of any
such issuer, they may exercise any remedies against such issuer
that are available to them without regard to your
interests. |
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§ |
The calculation agent, which is an affiliate of ours, will
make important determinations with respect to the notes. If
certain events occur, such as market disruption events or the
discontinuance of the underlying index or a CMS rate, CGMI, as
calculation agent, will be required to make discretionary judgments
that could significantly affect your return on the notes. Any of
these determinations made by Citibank, N.A. in its capacity as
calculation agent may adversely affect any variable interest
payment owed to you under the notes or the amount paid to you at
maturity. |
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Citigroup Global Markets Holdings
Inc. |
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Information About the CMS Spread
The “CMS spread” on any day is equal to
the 30-year constant maturity swap rate (“CMS30”) minus the
2-year constant maturity swap rate (“CMS2”) on that day. We refer
to each of CMS30 and CMS2 as a “CMS rate”.
At any time, each CMS rate is a market
rate for the fixed leg of a conventional fixed-for-floating U.S.
dollar interest rate swap entered into at that time with the
relevant maturity (30 years for CMS30 and 2 years for CMS2). A
conventional fixed-for-floating U.S. dollar interest rate swap is
an agreement between two parties to exchange payment streams in
U.S. dollars over a given period of time, where one party pays a
fixed rate (the “fixed leg”) and the other party pays a floating
rate that is reset periodically based on 3-month U.S. dollar LIBOR
(the “floating leg”). For example, CMS30 at any given time is a
market rate for the fixed leg of a fixed-for-floating U.S. dollar
interest rate swap with a maturity of 30 years and a floating rate
reset periodically based on 3-month U.S. dollar LIBOR. 3-month U.S.
dollar LIBOR is a measure of the rate at which banks lend U.S.
dollars to each other for a period of 3 months in the London
interbank market.
The relevant contingent rate is based on
the CMS spread, on not on the absolute level of either CMS30 or
CMS2. The relevant contingent rate for any coupon payment date
after the first year following issuance of the notes will depend on
the CMS spread as of the CMS spread determination date for the
related accrual period. If the CMS spread for any CMS spread
determination date is less than or equal to 0.00%, the relevant
contingent rate for that accrual period will be 0.00% and you will
not receive any coupon payment on the related coupon payment
date.
The CMS spread is a measure of the
difference, or spread, between two CMS rates of different
maturities. The spread between two CMS rates of different
maturities may be affected by numerous complex economic factors. It
is not possible to predict whether the spread will be positive or
negative at any time in the future. Investors in the notes are
taking the risk that the spread between CMS30 and CMS2 will be zero
or negative, meaning that CMS30 is equal to or less than
CMS2.
Although there is no single factor that
determines CMS spreads, CMS spreads have historically tended to
fall when short-term interest rates rise. As with CMS rates,
short-term interest rates are influenced by many complex factors,
and it is impossible to predict their future performance. However,
historically short-term interest rates have been highly sensitive
to the monetary policy of the Federal Reserve Board. Accordingly,
one significant risk assumed by investors in the notes is that the
Federal Reserve Board may pursue a policy of raising short-term
interest rates, which, if historical patterns hold, would lead to a
decrease in the CMS spread, possibly to a level that is below
0.00%. It is important to understand that, although the policies of
the Federal Reserve Board have historically had a significant
influence on short-term interest rates, short-term interest rates
are affected by many factors and may increase even in the absence
of a Federal Reserve Board policy to increase short-term interest
rates. For example, short-term interest rates tend to rise when
there is a worsening of the perceived creditworthiness of the banks
that participate in the interest rate swap and London interbank
markets and when there is a worsening of general economic and
credit conditions. Furthermore, it is important to understand that
the CMS spread may decrease even in the absence of an increase in
short-term interest rates because it, too, is influenced by many
complex factors. Another circumstance when the CMS spread has
historically tended to fall and become negative is when the market
expects an economic recession. Accordingly, another significant
risk assumed by investors in the notes is that the market may
anticipate a recession or that there may be a recession.
Determination of a CMS Rate
A CMS rate of a given maturity on any date of determination is the
rate for U.S. dollar interest rate swaps with that maturity (i.e.,
30 years in the case of CMS30 and 2 years in the case of CMS2)
appearing on Reuters page “ICESWAP1” (or any successor page as
determined by the calculation agent) as of 11:00 a.m. (New York
City time) on that date of determination.
If, however, the applicable CMS rate is not published on Reuters
page “ICESWAP1” (or any successor page as determined by the
calculation agent) on any U.S. government securities business day
on which such CMS rate is required, then the calculation agent will
request mid-market semi-annual swap rate quotations from the
principal New York City office of five leading swap dealers in the
New York City interbank market (the “reference banks”) at
approximately 11:00 a.m., New York City time, on that day. For this
purpose, the mid-market semi-annual swap rate means the mean of the
bid and offered rates for the semi-annual fixed leg, calculated on
a 30/360 day count basis, of a fixed-for-floating U.S. dollar
interest rate swap transaction with the applicable maturity,
commencing on that day and in a representative amount with an
acknowledged dealer of good credit in the swap market, where the
floating leg, calculated on an actual/360 day count basis, is
equivalent to U.S. dollar LIBOR with a designated maturity of three
months. If at least three quotations are provided, the applicable
CMS rate for that day will be the arithmetic mean of the
quotations, eliminating the highest quotation (or, in the event of
equality, one of the highest) and the lowest quotation (or, in the
event of equality, one of the lowest). If fewer than three
quotations are provided as requested, the applicable CMS rate will
be determined by the calculation agent in good faith and using its
reasonable judgment.
A “U.S. government securities business day” means any day that is
not a Saturday, a Sunday or a day on which The Securities Industry
and Financial Markets Association’s U.S. holiday schedule
recommends that the fixed income departments of its members be
closed for the entire day for purposes of trading in U.S.
government securities.
CMS rates are calculated by ICE Benchmark Administration Limited
based on tradable quotes for U.S. dollar fixed-for-floating
interest rate swaps with the applicable maturity that are sourced
from electronic trading venues.
Discontinuance of a CMS Rate
If the calculation and publication of a CMS rate is permanently
canceled, then the calculation agent may identify an alternative
rate that it determines, in its sole discretion, represents the
same or a substantially similar measure or benchmark as the
applicable CMS rate, and the calculation agent may deem that rate
(the “successor CMS rate”) to be the applicable CMS rate. Upon the
selection of any successor CMS rate by the calculation agent
pursuant to this paragraph, references in this pricing supplement
to the original CMS rate will no longer be deemed to refer to the
original CMS rate and will be deemed instead to refer to that
successor CMS rate for all purposes. In such event,
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Citigroup Global Markets Holdings
Inc. |
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the calculation agent will make such adjustments, if any, to any
value of the applicable CMS rate that is used for purposes of the
notes as it determines are appropriate in the circumstances. Upon
any selection by the calculation agent of a successor CMS rate, the
calculation agent will cause notice to be furnished to us and the
trustee.
If the calculation and publication of a CMS rate is permanently
canceled and no successor CMS rate is chosen as described above,
then the calculation agent will calculate the value of the
applicable CMS rate on each subsequent date of determination in
good faith and using its reasonable judgment. Such value, as
calculated by the calculation agent, will be the relevant CMS rate
for all purposes.
Notwithstanding these alternative arrangements, the cancellation of
a CMS rate may adversely affect coupon payments on, and the value
of, the notes.
Historical Information
The rate for CMS30 at 11:00 a.m. (New York time) on February 22,
2021 was 1.907%. The rate for CMS2 at 11:00 a.m. (New York time) on
February 22, 2021 was 0.205%. As a result, the CMS spread on
February 22, 2021 was 1.702%.
The graph below shows the daily value of the CMS spread from
January 3, 2011 to February 22, 2021. For days on which CMS30 or
CMS2 was not published by Reuters, the graph repeats the CMS spread
from the last scheduled publication date on which both CMS30 and
CMS2 were published by Reuters. Since August 2019, CMS30 and CMS2
have not been published on a significant number of scheduled
publication days. We obtained the values below from Bloomberg L.P.,
without independent verification. You should not take the
historical values of the CMS spread as an indication of the future
values of the CMS spread during the term of the notes.
Historical CMS Spread (%)
January 3, 2011 to February 22, 2021 |
 |
|
Citigroup Global Markets Holdings
Inc. |
|
Information About the S&P 500® Index
The S&P 500® Index consists of the common stocks of
500 issuers selected to provide a performance benchmark for the
large capitalization segment of the U.S. equity markets. It is
calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—The S&P
U.S. Indices” in the accompanying underlying supplement for
additional information.
We have derived all information regarding the S&P
500® Index from publicly available information and have
not independently verified any information regarding the S&P
500® Index. This pricing supplement relates only to the
notes and not to the S&P 500® Index. We make no
representation as to the performance of the S&P 500®
Index over the term of the notes.
The notes represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of
the S&P 500® Index is not involved in any way in
this offering and has no obligation relating to the notes or to
holders of the notes.
Historical Information
The closing level of the S&P 500® Index on February
23, 2021 was 3,881.37.
The graph below shows the closing level of the S&P
500® Index for each day such level was available from
January 3, 2011 to February 23, 2021. We obtained the closing
levels from Bloomberg L.P., without independent verification. You
should not take the historical closing levels of the S&P
500® Index as an indication of future performance.
S&P 500® Index — Historical Closing Levels
January 3, 2011 to February 23, 2021 |
 |
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Citigroup Global Markets Holdings
Inc. |
|
United States Federal Tax Considerations
In the opinion of our counsel, Davis Polk & Wardwell LLP, based
on the terms of the notes and representations provided by us, the
notes should be treated as “contingent payment debt instruments”
for U.S. federal income tax purposes, as described in the section
of the accompanying prospectus supplement called “United States
Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes
Treated as Contingent Payment Debt Instruments,” and the remaining
discussion is based on this treatment. The discussion herein does
not address the consequences to taxpayers subject to special tax
accounting rules under Section 451(b) of the Internal Revenue Code
of 1986, as amended (the “Code”).
If you are a U.S. Holder (as defined in the accompanying prospectus
supplement), you will be required to recognize interest income
during the term of the notes at the “comparable yield,” which
generally is the yield at which we could issue a fixed-rate debt
instrument with terms similar to those of the notes, including the
level of subordination, term, timing of payments and general market
conditions, but excluding any adjustments for the riskiness of the
contingencies or the liquidity of the notes. We are required to
construct a “projected payment schedule” in respect of the notes
representing a payment or a series of payments the amount and
timing of which would produce a yield to maturity on the notes
equal to the comparable yield. The amount of interest you include
in income in each taxable year based on the comparable yield will
be adjusted upward or downward to reflect the difference, if any,
between the actual and projected payments on the notes as
determined under the projected payment schedule.
Although it is not entirely
clear how the comparable yield and projected payment schedule must
be determined when a debt instrument may be redeemed by the issuer
prior to maturity, we have determined that the comparable yield for
a note is a rate of 2.973%, compounded quarterly, and that the
projected payment schedule with respect to a note consists of the
following payments (subject to the applicable business day
convention):
|
May 26, 2021 |
$17.500 |
May 26, 2026 |
$6.506 |
May 26, 2031 |
$3.890 |
May 26, 2036 |
$3.400 |
|
August 26, 2021 |
$17.500 |
August 26, 2026 |
$6.506 |
August 26, 2031 |
$3.890 |
August 26, 2036 |
$3.400 |
|
November 26, 2021 |
$17.500 |
November 26, 2026 |
$6.506 |
November 26, 2031 |
$3.890 |
November 26, 2036 |
$3.400 |
|
February 26, 2022 |
$17.500 |
February 26, 2027 |
$6.506 |
February 26, 2032 |
$3.890 |
February 26, 2037 |
$3.400 |
|
May 26, 2022 |
$19.125 |
May 26, 2027 |
$5.558 |
May 26, 2032 |
$3.792 |
May 26, 2037 |
$3.367 |
|
August 26, 2022 |
$19.125 |
August 26, 2027 |
$5.558 |
August 26, 2032 |
$3.792 |
August 26, 2037 |
$3.367 |
|
November 26, 2022 |
$19.125 |
November 26, 2027 |
$5.558 |
November 26, 2032 |
$3.792 |
November 26, 2037 |
$3.367 |
|
February 26, 2023 |
$19.125 |
February 26, 2028 |
$5.558 |
February 26, 2033 |
$3.792 |
February 26, 2038 |
$3.367 |
|
May 26, 2023 |
$17.686 |
May 26, 2028 |
$4.838 |
May 26, 2033 |
$3.661 |
May 26, 2038 |
$3.302 |
|
August 26, 2023 |
$17.686 |
August 26, 2028 |
$4.838 |
August 26, 2033 |
$3.661 |
August 26, 2038 |
$3.302 |
|
November 26, 2023 |
$17.686 |
November 26, 2028 |
$4.838 |
November 26, 2033 |
$3.661 |
November 26, 2038 |
$3.302 |
|
February 26, 2024 |
$17.686 |
February 26, 2029 |
$4.838 |
February 26, 2034 |
$3.661 |
February 26, 2039 |
$3.302 |
|
May 26, 2024 |
$10.984 |
May 26, 2029 |
$4.413 |
May 26, 2034 |
$3.596 |
May 26, 2039 |
$3.171 |
|
August 26, 2024 |
$10.984 |
August 26, 2029 |
$4.413 |
August 26, 2034 |
$3.596 |
August 26, 2039 |
$3.171 |
|
November 26, 2024 |
$10.984 |
November 26, 2029 |
$4.413 |
November 26, 2034 |
$3.596 |
November 26, 2039 |
$3.171 |
|
February 26, 2025 |
$10.984 |
February 26, 2030 |
$4.413 |
February 26, 2035 |
$3.596 |
February 26, 2040 |
$3.171 |
|
May 26, 2025 |
$8.304 |
May 26, 2030 |
$4.086 |
May 26, 2035 |
$3.498 |
May 26, 2040 |
$3.138 |
|
August 26, 2025 |
$8.304 |
August 26, 2030 |
$4.086 |
August 26, 2035 |
$3.498 |
August 26, 2040 |
$3.138 |
|
November 26, 2025 |
$8.304 |
November 26, 2030 |
$4.086 |
November 26, 2035 |
$3.498 |
November 26, 2040 |
$3.138 |
|
February 26, 2026 |
$8.304 |
February 26, 2031 |
$4.086 |
February 26, 2036 |
$3.498 |
February 26, 2041 |
$1,003.138 |
Neither the comparable yield nor the projected payment schedule
constitutes a representation by us regarding the actual amounts
that we will pay on the notes.
Upon the sale or exchange of the notes (including retirement upon
early redemption or at maturity), you generally will recognize gain
or loss equal to the difference between the proceeds received and
your adjusted tax basis in the notes. Your adjusted tax basis will
equal
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Citigroup Global Markets Holdings
Inc. |
|
your purchase price for the notes increased by interest income
previously included on the notes (without regard to the adjustments
described above) and decreased by prior payments according to the
projected payment schedule. Any gain generally will be treated as
ordinary income, and any loss generally will be treated as ordinary
loss to the extent of prior net interest inclusions on the note and
as capital loss thereafter.
Non-U.S. Holders. Subject to the discussions below regarding
Section 871(m) and in “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” and “—FATCA” in the accompanying
prospectus supplement, if you are a Non-U.S. Holder (as defined in
the accompanying prospectus supplement) of the notes, under current
law you generally will not be subject to U.S. federal withholding
or income tax in respect of any payment on or any amount received
on the sale, exchange or retirement of the notes, provided that (i)
income in respect of the notes is not effectively connected with
your conduct of a trade or business in the United States, and (ii)
you comply with the applicable certification requirements. See
“United States Federal Tax Considerations—Tax Consequences to
Non-U.S. Holders” in the accompanying prospectus supplement for a
more detailed discussion of the rules applicable to Non-U.S.
Holders of the notes.
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 Internal Revenue Service (“IRS”)
notice, exempt financial instruments issued prior to January 1,
2023 that do not have a “delta” of one. Based on the terms of the
notes and representations provided by us, our counsel is of the
opinion that the notes 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 notes 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 notes.
If withholding tax applies to the notes, we will not be required to
pay any additional amounts with respect to amounts withheld.
FATCA. You should review the section entitled “United States
Federal Tax Considerations—FATCA” in the accompanying prospectus
supplement regarding withholding rules under the “FATCA” regime.
The discussion in that section is hereby modified to reflect
regulations proposed by the U.S. Treasury Department indicating an
intent to eliminate the requirement under FATCA of withholding on
gross proceeds of the disposition of affected financial
instruments. The U.S. Treasury Department has indicated that
taxpayers may rely on these proposed regulations pending their
finalization.
You should read the section entitled “United States Federal Tax
Considerations” in the accompanying prospectus supplement. 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 notes.
You should also consult your tax adviser regarding all aspects
of the U.S. federal tax consequences of an investment in the notes
and any tax consequences arising under the laws of any state, local
or non-U.S. taxing jurisdiction.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and
the underwriter of the sale of the notes, is acting as principal
and will receive an underwriting fee of up to $50 for each note
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 $50 for each note they sell. For the avoidance
of doubt, the fees and selling concessions described in this
pricing supplement will not be rebated if the notes are redeemed
prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when
distributing the notes of an affiliate set forth in Rule 5121 of
the Financial Industry Regulatory Authority. Client accounts over
which Citigroup Inc. or its subsidiaries have investment discretion
will not be permitted to purchase the notes, either directly or
indirectly, without the prior written consent of the client.
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.
A
portion of the net proceeds from the sale of the notes will be used
to hedge our obligations under the notes. We have hedged our
obligations under the notes through CGMI or other of our
affiliates. CGMI or such other of our affiliates may profit from
this hedging activity even if the value of the notes declines. This
hedging activity could affect CMS30 or CMS2 or the closing level of
the underlying index and, therefore, the value of and your return
on the notes. For additional information on the ways in which our
counterparties may hedge our obligations under the notes, see “Use
of Proceeds and Hedging” in the accompanying prospectus.
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Citigroup Global Markets Holdings
Inc. |
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Valuation of the Notes
CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical
package of financial instruments that would replicate the payout on
the notes, which consists of a fixed-income bond (the “bond
component”) and one or more derivative instruments underlying the
economic terms of the notes (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 notes 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 six months following issuance of the
notes, the price, if any, at which CGMI would be willing to buy the
notes from investors, and the value that will be indicated for the
notes 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 notes. The amount of this temporary
upward adjustment will decline to zero on a straight-line basis
over the six-month temporary adjustment period. However, CGMI is
not obligated to buy the notes from investors at any time. See
“Summary Risk Factors—The notes will not be listed on any
securities exchange and you may not be able to sell them prior to
maturity.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement
and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s
Republic of China (“Hong Kong”). Investors are advised to exercise
caution in relation to the offer. If investors are in any doubt
about any of the contents of this pricing supplement and the
accompanying product supplement, underlying supplement, prospectus
supplement and prospectus, they should obtain independent
professional advice.
The notes 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
notes 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 notes are not insured by any
governmental agency. These notes are not bank deposits and are not
covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have
not been registered as a prospectus with the Monetary Authority of
Singapore, and the notes will be offered pursuant to exemptions
under the Securities and Futures Act, Chapter 289 of Singapore (the
“Securities and Futures Act”). Accordingly, the notes may not be
offered or sold or made the subject of an invitation for
subscription or purchase nor may this pricing supplement or any
other document or material in connection with the offer or sale or
invitation for subscription or purchase of any notes 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
notes 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 |
|
Citigroup Global Markets Holdings
Inc. |
|
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 notes 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 notes are not insured by any
governmental agency. These notes are not bank deposits. These notes
are not insured products subject to the provisions of the Deposit
Insurance and Policy Owners’ Protection Schemes Act 2011 of
Singapore and are not eligible for deposit insurance coverage under
the Deposit Insurance Scheme.
Validity of the
Notes
In the opinion of Davis Polk
& Wardwell LLP, as special products counsel to Citigroup Global
Markets Holdings Inc., when the notes 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 notes
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 Scott L. Flood, General Counsel
and Secretary of Citigroup Global Markets Holdings Inc., and
Barbara Politi, Assistant General Counsel—Capital Markets of
Citigroup Inc. In addition, this opinion is subject to the
assumptions set forth in the letter of Davis Polk & Wardwell
LLP dated May 17, 2018, which has been filed as an exhibit to a
Current Report on Form 8-K filed by Citigroup Inc. on May 17, 2018,
that the indenture has been duly authorized, executed and delivered
by, and is a valid, binding and enforceable agreement of, the
trustee and that none of the terms of the notes nor the issuance
and delivery of the notes and the related guarantee, nor the
compliance by Citigroup Global Markets Holdings Inc. and Citigroup
Inc. with the terms of the notes and the related guarantee
respectively, will result in a violation of any provision of any
instrument or agreement then binding upon Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable, or any restriction
imposed by any court or governmental body having jurisdiction over
Citigroup Global Markets Holdings Inc. or Citigroup Inc., as
applicable.
In the opinion of Scott L.
Flood, Secretary and General Counsel of Citigroup Global Markets
Holdings Inc., (i) the terms of the notes 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 notes 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
notes offered by this pricing supplement by Citigroup Global
Markets Holdings Inc., and the performance by Citigroup Global
Markets Holdings Inc. of its obligations thereunder, are within its
corporate powers and do not contravene its certificate of
incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is
limited to the laws of the State of New York.
Scott L. Flood, or other
internal attorneys with whom he has consulted, has examined and is
familiar with originals, or copies certified or otherwise
identified to his satisfaction, of such corporate records of
Citigroup Global Markets Holdings Inc., certificates or documents
as he has deemed appropriate as a basis for the opinions expressed
above. In such examination, he or such persons has assumed the
legal capacity of all natural persons, the genuineness of all
signatures (other than those of officers of Citigroup Global
Markets Holdings Inc.), the authenticity of all documents submitted
to him or such persons as originals, the conformity to original
documents of all documents submitted to him or such persons as
certified or photostatic copies and the authenticity of the
originals of such copies.
In the opinion of Barbara
Politi, Assistant General Counsel—Capital Markets of Citigroup
Inc., (i) the Board of Directors (or a duly authorized committee
thereof) of Citigroup Inc. has duly authorized the guarantee of
such notes 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,
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Citigroup Global Markets Holdings
Inc. |
|
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.
