The information in this preliminary pricing supplement is not
complete and may be changed. This preliminary pricing supplement
and the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus are not an offer to sell these
securities, nor are they soliciting an offer to buy these
securities, in any state where the offer or sale is not
permitted.
|
Subject to
Completion. Dated February 25, 2021
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-03
|
 |
Citigroup Global Markets
Holdings Inc.
$
|
|
Buffered Equity Index Basket-Linked Notes due |
All Payments Due from Citigroup Global Markets Holdings Inc.
Fully and Unconditionally Guaranteed by Citigroup
Inc. |
Unlike
conventional debt securities, the notes offered by this pricing
supplement do not pay interest and do not repay a fixed amount of
principal at maturity. The
amount that you will be paid on your notes on the maturity date
(expected to be the second business day after the scheduled
determination date) is based on the performance of an
unequally weighted basket (the “basket”) consisting of the EURO
STOXX 50® Index (36.00% weight), the TOPIX®
Index (29.00% weight), the FTSE® 100 Index (16.00%
weight), the Swiss Market Index® (11.00% weight) and the
S&P/ASX 200 Index (8.00% weight) (each
a “basket index”) as measured from the trade date to and including
the determination date (expected to be between 25 and 28 months
after the trade date). The initial basket level is 100.00
and the final basket level on the determination date will equal the
sum of the products, as calculated for each basket index, of: (i)
(a) the final index level of that basket index divided by
(b) the initial index level of that basket index (set on the trade
date and may be an intraday level which may be higher or lower than
the actual closing level of such basket index on the trade date)
multiplied by (ii) the initial weighted value of that basket
index (which is the weight of that basket index times the
initial basket level). If
the final basket level on the determination date is greater than
the initial basket level, the return on your notes will be
positive, subject to the maximum settlement amount (set on the
trade date and expected to be between $1,205.80 and $1,242.10 for
each $1,000 stated principal amount of your notes). If the final
basket level declines from the initial basket level by up to a
buffer amount of 15.00%, you will receive the stated principal
amount of your notes. However, if the
final basket level declines from the initial basket level by more
than the 15.00% buffer amount, the return on your notes will be
negative and you will lose approximately 1.1765% of the stated
principal amount of your notes for every 1% by which that decline
exceeds the 15.00% buffer amount. You could lose your entire
investment in the notes. In
exchange for the upside participation and limited buffer features
of the notes, you must be willing to forgo (i) any return in excess
of the maximum return at maturity of 20.580% to 24.210% (set on the
trade date and results from the maximum settlement amount), (ii)
any dividends paid on the stocks included in the basket indices and
(iii) interest on the notes.
To determine
your payment at maturity, we will calculate the basket return,
which is the percentage increase or decrease in the level of the
basket from the initial basket level of 100.00 to the final basket
level on the determination date. On the maturity date, for each
$1,000 stated principal amount note you then hold, you will receive
an amount in cash equal to:
|
● |
if
the basket return is positive (the final basket level is
greater than the initial basket level), the sum of
(i) $1,000 plus (ii) the product of (a) $1,000
times (b) the upside participation rate of 150% times
(c) the basket return, subject to the maximum settlement
amount; |
|
● |
if the basket return is
zero or negative but not below -15.00% (the
final basket level is equal to or less than the
initial basket level but not by more than 15.00%), $1,000;
or |
|
● |
if the basket return is
negative and is below -15.00% (the final basket level
is less than the initial basket level by more than 15.00%),
the sum of (i) $1,000 plus (ii) the product of
(a) approximately 1.1765 times (b) the sum of the
basket return plus 15.00% times (c) $1,000.
This amount will be less than $1,000 and may be zero. |
A decrease in the level of one or more basket indices may offset
increases in the levels of one or more other basket indices. Due to
the unequal weighting of each basket index, the performances of the
EURO STOXX 50® Index, the TOPIX® Index and
the FTSE® 100 Index will have a significantly larger
impact on your return on the notes than the performances of the
Swiss Market Index® and the S&P/ASX 200
Index.
The
notes are unsecured senior debt securities issued by Citigroup
Global Markets Holdings Inc. and guaranteed by Citigroup
Inc. All payments on the notes are subject to the credit
risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If Citigroup Global Markets Holdings Inc. and Citigroup Inc.
default on their obligations, you may not receive any amount due
under the notes. The notes will not be listed on any securities
exchange and may have limited or no liquidity.
Investing in the notes involves
risks not associated with an investment in conventional debt
securities. See “Summary Risk Factors” beginning on page
PS-13.
| |
Issue Price(1) |
Underwriting Discount(2) |
Net Proceeds to Issuer |
|
Per Note: |
$1,000.00 |
- |
$1,000.00 |
|
Total: |
$ |
- |
$ |
(1) Citigroup Global Markets Holdings Inc. currently expects that
the estimated value of the notes on the trade date will be between
$973.50 and $993.50 per note, which will be less than the issue
price. The estimated value of the notes is based on proprietary
pricing models of Citigroup Global Markets Inc. (“CGMI”) 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, an affiliate of the issuer, is the underwriter for the
offering of the notes and is acting as principal. For more
information on the distribution of the notes, see “Summary
Information—Key Terms—Supplemental Plan of Distribution” in this
pricing supplement. CGMI and its affiliates may profit from
expected hedging activity related to this offering, even if the
value of the notes declines. See “Use of Proceeds and Hedging” in
the accompanying prospectus.
Neither the Securities and Exchange Commission 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.
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.
The notes are part of the Medium-Term Senior Notes, Series N of
Citigroup Global Markets Holdings Inc. This pricing supplement is a
supplement to the documents listed below and should be read
together with such documents, which are available at the following
hyperlinks:
Citigroup Global Markets
Inc.
Pricing
Supplement No. 2021-USNCH6865 dated
---------, 2021
The issue price, underwriting discount and net proceeds listed
above relate to the notes we sell initially. We may decide to sell
additional notes after the date of this pricing supplement, at
issue prices and with underwriting discounts and net proceeds that
differ from the amounts set forth above. The return (whether
positive or negative) on your investment in notes will depend in
part on the issue price you pay for such notes.
CGMI may use
this pricing supplement in the initial sale of the notes. In
addition, CGMI or any other affiliate of Citigroup Inc. may use
this pricing supplement in a market-making transaction in a note
after its initial sale.
 |
Buffered Equity Index
Basket-Linked Notes due |
|
INVESTMENT THESIS |
|
|
· For
investors who seek modified exposure to the performance of the
basket, with the opportunity to participate on a leveraged basis in
a limited range of potential appreciation of the basket and a
limited buffer against potential depreciation of the
basket.
· In
exchange for the leveraged upside exposure and limited buffer
feature, investors must be willing to forgo (i) participation in
any appreciation of the basket beyond the cap level, (ii) any
dividends that may be paid on the stocks included in the basket
indices and (iii) interest on the notes. Investors must also be
willing to lose some, and up to all, of their investment in the
notes if the basket depreciates by more than the buffer amount,
with downside exposure to that depreciation on an accelerated basis
to the extent the depreciation exceeds the buffer
amount.
· Investors
must be willing to accept the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc. and an investment that may
have limited or no liquidity.
|
|
DETERMINING THE CASH SETTLEMENT
AMOUNT |
|
At maturity, for each $1,000 stated principal amount note you then
hold, you will receive (as a percentage of the stated principal
amount):
· If
the final basket level is above 100.00% of the initial basket
level: 100.00% plus the product of the upside
participation rate of 150% times the basket return, subject
to a maximum settlement amount of between 120.58% and 124.21% of
the stated principal amount
· If
the final basket level is between 85.00% and 100.00% of the initial
basket level: 100.00%
· If
the final basket level is below 85.00% of the initial basket level:
100.00% minus approximately 1.1765% for every 1.00% that the
basket has declined below 85.00% of the initial basket
level
If the final basket level
declines by more than 15.00% from the initial basket level, the
return on the notes will be negative and you could lose your entire
investment in the notes.
|
|
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. |
|
Basket: |
Basket
Index |
Weight |
Initial
Weighted Value* |
| EURO
STOXX 50® Index (ticker: SX5E) |
36.00% |
36.00 |
| TOPIX®
Index (ticker: TPX) |
29.00% |
29.00 |
| FTSE®
100 Index (ticker: UKX) |
16.00% |
16.00 |
| Swiss
Market Index®
(ticker:
SMI) |
11.00% |
11.00 |
| S&P/ASX
200 Index (ticker: AS51) |
8.00% |
8.00 |
|
* The
initial weighted value of each basket index is equal to its weight
times the initial basket level of 100.00. |
|
Stated Principal
Amount: |
$ in the
aggregate; each note will have a stated principal amount equal to
$1,000 |
|
Trade Date: |
|
|
Settlement Date: |
Expected to be the fifth
scheduled business day following the trade date. See
“Supplemental plan of distribution” starting on page PS-5 in this
pricing supplement for additional information. |
|
Determination Date: |
To be set on the trade
date and expected to be between 25 and 28 months after the trade
date. The determination date is subject to postponement
if such date is not a scheduled trading day or if certain market
disruption events occur with respect to any basket index. |
|
Maturity Date: |
To be set on the trade
date and expected to be the second business day after the scheduled
determination date |
|
Initial Basket Level: |
100.00 |
|
Final Basket Level: |
The sum of the products,
calculated for each basket index, of: (i) (a) the final index level
of that basket index divided by (b) the initial index level
of that basket index times (ii) the initial weighted value
of that basket index |
|
Initial Index Level of the EURO STOXX 50®
Index: |
To be set on the trade
date and may be an intraday level which may be higher or lower than
the actual closing level of such basket index on the trade
date |
|
Initial Index Level of the TOPIX® Index: |
To be set on the trade
date and may be an intraday level which may be higher or lower than
the actual closing level of such basket index on the trade
date |
|
Initial Index Level of the FTSE® 100 Index: |
To be set on the trade
date and may be an intraday level which may be higher or lower than
the actual closing level of such basket index on the trade
date |
|
Initial Index Level of the Swiss
Market Index®: |
To be set on the trade
date and may be an intraday level which may be higher or lower than
the actual closing level of such basket index on the trade
date |
|
Initial Index Level of the S&P/ASX 200 Index: |
To be set on the trade
date and may be an intraday level which may be higher or lower than
the actual closing level of such basket index on the trade
date |
|
Final Index Level: |
With respect to each
basket index, the closing level of that basket index on the
determination date |
|
Basket Return: |
The quotient of
(i) the final basket level minus the initial basket level
divided by (ii) the initial basket level, expressed as a
positive or negative percentage |
|
Upside Participation Rate: |
150.00% |
|
Buffer Level: |
85.00, which is 85.00% of the initial basket
level (equal to a -15.00% basket return) |
|
Buffer Amount: |
15.00% |
|
Buffer Rate: |
The quotient of
the initial basket level divided by the buffer level, which
equals approximately 117.65% |
|
Maximum Settlement Amount: |
To be set on the trade
date and expected to be between $1,205.80 and $1,242.10 per $1,000
stated principal amount note |
|
Cap Level: |
To be set on the trade
date and expected to be between 113.72% and 116.14% of the initial
basket level |
|
CUSIP/ISIN: |
17328YVL5 / US17328YVL54 |
|
HYPOTHETICAL PAYMENT AT
MATURITY* |
|
Hypothetical Final Basket Level (as % of Initial Basket
Level) |
Hypothetical Cash Settlement Amount (as % of Stated Principal
Amount) |
|
200.000% |
120.580% |
|
175.000% |
120.580% |
|
150.000% |
120.580% |
|
113.720% |
120.580% |
|
110.000% |
115.000% |
|
105.000% |
107.500% |
|
100.000% |
100.000% |
|
95.000% |
100.000% |
|
85.000% |
100.000% |
|
75.000% |
88.235% |
|
50.000% |
58.824% |
|
25.000% |
29.412% |
|
0.000% |
0.000% |
*assumes the
cap level is set at the bottom of the cap level range of between
113.72% and 116.14% of the initial basket level
Please read the section titled “Summary Risk Factors” in this
pricing supplement as well as the more detailed description of
risks relating to an investment in the notes contained in the
section “Risk Factors Relating to the Securities” beginning on page
EA-7 in the accompanying product supplement. You should also
carefully read the risk factors included in the accompanying
prospectus supplement and in the documents incorporated by
reference in the accompanying prospectus, including Citigroup
Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to
the business of Citigroup Inc. more generally.
SUMMARY
INFORMATION
|
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 your payment at maturity, such as market disruption
events and other events affecting the basket
indices. These events and their consequences are
described in the accompanying product supplement in the sections
“Description of the Securities—Consequences of a Market Disruption
Event; Postponement of a Valuation Date” and “Description of the
Securities—Certain Additional Terms for Securities Linked to an
Underlying Index—Discontinuance or Material Modification of an
Underlying Index,” and not in this pricing supplement. The
accompanying underlying supplement contains important disclosures
regarding certain of the basket indices 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
before deciding whether to invest in the notes. Certain terms used
but not defined in this pricing supplement are defined in the
accompanying product supplement. References to
“securities” in the accompanying product supplement include the
notes. |
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.
Basket:
|
Basket Index* |
Weight |
Initial Weighted
Value** |
|
EURO STOXX 50®
Index |
36.00% |
36.00 |
|
TOPIX® Index |
29.00% |
29.00 |
|
FTSE® 100
Index |
16.00% |
16.00 |
|
Swiss Market
Index® |
11.00% |
11.00 |
|
S&P/ASX 200 Index |
8.00% |
8.00 |
* Each basket index is referred to as an “underlying index” and the
sponsor for each basket index is referred to as an “underlying
index publisher” in the accompanying product supplement.
** The initial weighted value of each basket index is equal to its
weight times the initial basket level of 100.00.
Stated principal amount: each note will have a stated
principal amount of $1,000
Purchase at amount other than the stated principal amount:
the amount we will pay you at the stated maturity date for your
notes will not be adjusted based on the issue price you pay for
your notes, so if you acquire notes at a premium (or discount) to
the stated principal amount and hold them to the stated maturity
date, it could affect your investment in a number of ways. The
return on your investment in such notes will be lower (or higher)
than it would have been had you purchased the notes at the stated
principal amount. Also, the stated buffer level would not offer the
same measure of protection to your investment as would be the case
if you had purchased the notes at the stated principal amount.
Additionally, the cap level would be triggered at a lower (or
higher) percentage return than indicated below, relative to your
initial investment. See “Summary Risk Factors — If You Purchase
Your Notes at a Premium to the Stated Principal Amount, the Return
on Your Investment Will Be Lower Than the Return on Notes Purchased
at the Stated Principal Amount and the Impact of Certain Key Terms
of the Notes Will be Negatively Affected” starting on page PS-17 of
this pricing supplement
Cash settlement amount (paid on the maturity date): on the
maturity date, for each $1,000 stated principal amount of notes you
then hold, we will pay you an amount in cash equal to:
|
● |
if the final basket level is greater than or equal
to the cap level, the maximum settlement amount; |
|
● |
if the final basket level is greater than the initial
basket level but less than the cap level, the sum of
(i) $1,000 plus (ii) the product of (a) $1,000
times (b) the upside participation rate times (c) the
basket return; |
|
● |
if the final basket level is equal to or less
than the initial basket level but greater than or
equal to the buffer level, $1,000; or |
|
● |
if the final basket level is less than the buffer level,
the sum of (i) $1,000 plus (ii) the product of
(a) the buffer rate times (b) the sum of the basket
return plus the buffer amount times (c) $1,000 |
Initial basket level: 100.00
Final basket level: the sum of the products, calculated for
each basket index, of: (i) (a) the final index level of that basket
index divided by (b) the initial index level of that basket
index times (ii) the initial weighted value of that basket
index
Initial index level of the EURO STOXX 50® Index (to
be set on the trade date and may be an intraday level which may be
higher or lower than the actual closing level of such basket index
on the trade date):
Initial index level of the TOPIX® Index (to be set on
the trade date and may be an intraday level which may be higher or
lower than the actual closing level of such basket index on the
trade date):
Initial index level of the FTSE® 100 Index (to be set
on the trade date and may be an intraday level which may be higher
or lower than the actual closing level of such basket index on the
trade date):
Initial index level of the Swiss Market Index® (to be
set on the trade date and may be an intraday level which may be
higher or lower than the actual closing level of such basket index
on the trade date):
Initial index level of the S&P/ASX 200 Index (to be set on
the trade date and may be an intraday level which may be higher or
lower than the actual closing level of such basket index on the
trade date):
Final index level: with respect to each basket index, the
closing level of that basket index on the determination date;
except in the limited circumstances described under “Description of
the Securities — Certain Additional Terms for Securities Linked to
an Underlying Index — Discontinuance or Material Modification of an
Underlying Index” on page EA-39 of the accompanying product
supplement and subject to adjustment as provided under “Description
of the Securities — Certain Additional Terms for Securities Linked
to an Underlying Index — Determining the Closing Level” on page
EA-36 of the accompanying product supplement and “Description of
the Securities — Consequences of a Market Disruption Event;
Postponement of a Valuation Date” on page EA-21 of the accompanying
product supplement.
Basket return: the quotient of (i) the final basket
level minus the initial basket level divided by (ii)
the initial basket level, expressed as a positive or negative
percentage
Upside participation rate: 150.00%
Cap level (to be set on the trade date): expected to be
between 113.72% and 116.14% of the initial basket level
Maximum settlement amount (to be set on the trade date):
expected to be between $1,205.80 and $1,242.10 per $1,000 stated
principal amount note
Buffer level: 85.00, which is 85.00% of the initial basket
level
Buffer amount: 15.00%
Buffer rate: the quotient of the initial basket level
divided by the buffer level, which equals approximately
117.65%
Trade date: ----------.
The trade date is referred to as the “pricing date” in the
accompanying product supplement.
Original issue date (settlement date) (to be set on the trade
date): expected to be the fifth scheduled business day
following the trade date. See “Supplemental plan of distribution”
below for additional information.
Determination date (to be set on the trade date): expected
to be between 25 and 28 months after the trade date. The
determination date is referred to as the “valuation date” in the
accompanying product supplement and is subject to postponement if
such date is not a scheduled trading day or if certain market
disruption events occur with respect to any basket index, as
described under “Description of the Securities — Consequences of a
Market Disruption Event; Postponement of a Valuation Date” on page
EA-21 of the accompanying product supplement. For the avoidance of
doubt, as described in the accompanying product supplement, if the
determination date is postponed for a reason that affects fewer
than all of the basket indices, the final basket level will be
calculated based on (i) for each unaffected basket index, its
closing level on the originally scheduled determination date and
(ii) for each affected basket index, its closing level on the
determination date as postponed (or, if earlier, the first
scheduled trading day for that basket index following the
originally scheduled determination date on which a market
disruption event did not occur with respect to that basket
index).
Maturity date (to be set on the trade date): expected to be
the second business day after the scheduled determination date
No interest: the notes will not bear interest
No listing: the notes will not be listed on any securities
exchange or interdealer quotation system
No redemption: the notes will not be subject to redemption
before maturity
Business day: as described under “Description of the
Securities — General” on page EA-20 in the accompanying product
supplement.
Scheduled trading day: with respect to each basket index, as
described under “Description of the Securities — Certain Additional
Terms for Securities Linked to an Underlying Index — Definitions of
Market Disruption Event and Scheduled Trading Day and Related
Definitions” on page EA-37 of the accompanying product
supplement.
Supplemental plan of distribution: Citigroup Global Markets
Holdings Inc. expects to sell to CGMI, and CGMI expects to purchase
from Citigroup Global Markets Holdings Inc., the aggregate stated
principal amount of the offered notes specified on the front cover
of this pricing supplement. CGMI proposes initially to offer the
notes to the public and to certain unaffiliated securities dealers
at the issue price set forth on the cover page of this pricing
supplement. CGMI and its affiliates may profit from expected
hedging activity related to this offering, even if the value of the
notes declines. See “Use of Proceeds and Hedging” in the
accompanying prospectus.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when
distributing the securities 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.
Secondary market sales of securities typically settle two business
days after the date on which the parties agree to the sale. Because
the settlement date for the notes is more than two business days
after the trade date, investors who wish to sell the notes at any
time prior to the second business day preceding the original issue
date will be required to specify an alternative settlement date for
the secondary market sale to prevent a failed settlement. Investors
should consult their own investment advisors in this regard.
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 expect to hedge
our obligations under the notes through CGMI or other of our
affiliates, or through a dealer participating in this offering or
its affiliates. CGMI or such other of our affiliates or such dealer
or its affiliates may profit from this expected hedging activity
even if the value of the notes declines. This hedging activity
could affect the closing levels of the basket indices 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.
Prohibition of Sales to EEA Retail Investors
The notes may not be offered, sold or otherwise made available to
any retail investor in the European Economic Area. For the
purposes of this provision:
|
(a) |
the expression “retail investor” means a person who is one (or
more) of the following: |
|
(i) |
a retail client as defined in point (11) of Article 4(1) of
Directive 2014/65/EU (as amended, “MiFID II”); or |
|
(ii) |
a customer within the meaning of Directive 2002/92/EC, where
that customer would not qualify as a professional client as defined
in point (10) of Article 4(1) of MiFID II; or |
|
(iii) |
not a qualified investor as defined in Directive 2003/71/EC;
and |
|
(b) |
the expression “offer” includes the communication in any form
and by any means of sufficient information on the terms of the
offer and the notes offered so as to enable an investor to decide
to purchase or subscribe the notes. |
ERISA: as described under “Benefit Plan Investor
Considerations” on pages EA-52 and EA-53 in the accompanying
product supplement.
Calculation Agent: CGMI
CUSIP: 17328YVL5
ISIN: US17328YVL54
Prospectus: The first sentence of “Description of Debt
Securities— Events of Default and Defaults” in the accompanying
prospectus shall be amended to read in its entirety as follows:
Events of default under the indenture are:
|
|
• |
|
failure of Citigroup Global Markets Holdings or Citigroup to pay
required interest on any debt security of such series for 30
days; |
| |
• |
|
failure of Citigroup Global Markets Holdings or Citigroup to pay
principal, other than a scheduled installment payment to a sinking
fund, on any debt security of such series for 30 days; |
| |
• |
|
failure of Citigroup Global Markets Holdings or Citigroup to make
any required scheduled installment payment to a sinking fund for 30
days on debt securities of such series; |
| |
• |
|
failure of Citigroup Global Markets Holdings to perform for 90 days
after notice any other covenant in the indenture applicable to it
other than a covenant included in the indenture solely for the
benefit of a series of debt securities other than such series;
and |
| |
• |
|
certain events of bankruptcy or insolvency of Citigroup Global
Markets Holdings, whether voluntary or not (Section
6.01). |
HYPOTHETICAL
EXAMPLES
The table, chart and examples below are provided for purposes of
illustration only. They should not be taken as an indication or
prediction of future investment results and are intended merely to
illustrate the impact that various hypothetical final basket levels
on the determination date could have on the cash settlement amount
at maturity.
The table, chart and examples below are based on a range of final
basket levels that are entirely hypothetical; no one can predict
what the basket level will be on any day throughout the life of
your notes, and no one can predict what the final basket level will
be on the determination date. The basket indices have been highly
volatile in the past — meaning that the levels of the basket
indices have changed considerably in relatively short periods — and
their performances cannot be predicted for any future period.
Investors in the notes will not receive any dividends on the stocks
that constitute the basket indices. The table and chart below do
not show any effect of lost dividend yield over the term of the
notes. See “Summary Risk Factors—Investing in the Notes Is Not
Equivalent to Investing in the Basket Indices or the Stocks that
Constitute the Basket Indices” below.
The information in the table, chart and examples below reflects
hypothetical returns on the notes assuming that they are purchased
on the original issue date at the stated principal amount and held
to the maturity date. If you sell your notes in a secondary market
prior to the maturity date, your return will depend upon the value
of your notes at the time of sale, which may be affected by a
number of factors that are not reflected in the table, chart or
examples below such as interest rates, the volatility of the basket
indices, the correlation among the basket indices and our and
Citigroup Inc.’s creditworthiness. Please read “Summary Risk
Factors—The Value of the Notes Prior to Maturity Will Fluctuate
Based on Many Unpredictable Factors” in this pricing supplement. It
is likely that any secondary market price for the notes will be
less than the issue price.
The information in the table, chart and examples also reflects the
key terms and assumptions in the box below.
|
Key Terms and Assumptions |
|
Stated principal amount |
$1,000 |
|
Cap level |
113.72, which is 113.72% of the initial basket level |
|
Maximum settlement amount |
$1,205.80 per $1,000 stated principal amount note |
|
Upside participation rate |
150.00% |
|
Buffer level |
85.00, which is 85.00% of the initial basket level |
|
Buffer rate |
approximately 117.65% |
|
Buffer amount |
15.00% |
|
Neither a
market disruption event nor a non-scheduled trading day with
respect to any basket index occurs on the originally scheduled
determination date
No change in
or affecting any of the stocks comprising the basket indices or the
method by which the sponsors of the basket indices calculate the
basket indices
Notes
purchased on original issue date at the stated principal amount and
held to the stated maturity date
|
Moreover, we have not yet set the initial EURO STOXX 50®
Index level, the initial TOPIX® Index level, the initial
FTSE® 100 Index level, the initial Swiss Market
Index® level or the initial S&P/ASX 200 Index level
that will serve as the baselines for determining the basket return
and the amount, if any, that we will pay on your notes at maturity.
We will not do so until the trade date. As a result, the actual
initial EURO STOXX 50® Index level, the initial
TOPIX® Index level, the initial FTSE® 100
Index level, the initial Swiss Market Index® level and
the initial S&P/ASX 200 Index level may differ substantially
from the current level of such basket index prior to the trade date
and may be higher or lower than the actual closing level of each
basket index on the trade date. They may also differ substantially
from the level of such basket index at the time you purchase your
notes.
For these reasons, the actual performance of the basket over the
life of your notes, as well as the amount payable at maturity, if
any, may bear little relation to the hypothetical examples shown
below or to the historical basket index levels shown elsewhere in
this pricing supplement. For information about the historical
levels of the basket indices during recent periods, see “The Basket
and the Basket Indices” below. Before investing in the offered
notes, you should consult publicly available information to
determine the levels of the basket indices between the date of this
pricing supplement and the date of your purchase of the offered
notes.
The levels in the left column of the table below represent
hypothetical final basket levels and are expressed as percentages
of the initial basket level. The amounts in the right column
represent the hypothetical cash settlement amounts, based on the
corresponding hypothetical final basket level (expressed as a
percentage of the initial basket level), and are expressed as
percentages of the stated principal amount of a note (rounded to
the nearest one-thousandth of a percent). Thus, a hypothetical cash
settlement amount of 100.000% means that the value of the cash
payment that we would deliver for each $1,000 of the outstanding
stated principal amount of the notes on the maturity date would
equal 100.000% of the stated principal amount of a note, based on
the corresponding hypothetical final basket level (expressed as a
percentage of the initial basket level) and the assumptions noted
above.
|
Hypothetical Final Basket Level (as Percentage of Initial Basket
Level) |
Hypothetical Cash Settlement Amount (as Percentage of Stated
Principal Amount) |
| 200.000% |
120.580% |
| 175.000% |
120.580% |
| 150.000% |
120.580% |
|
113.720% |
120.580% |
| 110.000% |
115.000% |
| 105.000% |
107.500% |
|
100.000% |
100.000% |
| 95.000% |
100.000% |
|
85.000% |
100.000% |
| 75.000% |
88.235% |
| 50.000% |
58.824% |
| 25.000% |
29.412% |
| 0.000% |
0.000% |
If, for example, the final basket level were determined to be
25.000% of the initial basket level, the cash settlement amount
that we would deliver on your notes at maturity would be
approximately 29.412% of the stated principal amount of your notes,
as shown in the table above. As a result, if you purchased your
notes on the original issue date at the stated principal amount and
held them to the maturity date, you would lose approximately
70.588% of your investment. In addition, if the final basket level
were determined to be 200.000% of the initial basket level, the
cash settlement amount that we would deliver on your notes at
maturity would be capped at the maximum settlement amount
(expressed as a percentage of the stated principal amount), or
120.580% of each $1,000 stated principal amount of your notes, as
shown in the table above. As a result, you would not benefit from
any increase in the final basket level over 113.720% of the initial
basket level.
The table above demonstrates the diminishing benefit of the buffer
feature of the notes the lower the final basket level. For example,
if the final basket level were determined to be 75.000% of the
initial basket level, the cash settlement amount that we would
deliver on your notes at maturity would be approximately 88.235% of
the stated principal amount of your notes, resulting in an
effective buffer (i.e., the difference between the basket return
and your return on the notes) of approximately 13.235%. However, if
the final basket level were determined to be 50.000% of the initial
basket level, the cash settlement amount that we would deliver on
your notes at maturity would be approximately 58.824% of the stated
principal amount of your notes, resulting in an effective buffer of
only approximately 8.824%. The lower the final basket level, the
lower the effective buffer provided by the notes will be.
The following chart also shows a graphical illustration of the
hypothetical cash settlement amounts that we would pay on your
notes on the maturity date, if the final basket level (expressed as
a percentage of the initial basket level) were any of the
hypothetical levels shown on the horizontal axis. The chart shows
that any hypothetical final basket level (expressed as a percentage
of the initial basket level) of less than 85.000% (the section left
of the 85.000% marker on the horizontal axis) would result in a
hypothetical cash settlement amount of less than 100.000% of the
stated principal amount of your notes (the section below the
100.000% marker on the vertical axis) and, accordingly, in a loss
of principal to the holder of the notes. The chart also shows that
any hypothetical final basket level (expressed as a percentage of
the initial basket level) of greater than or equal to 113.720% (the
section right of the 113.720% marker on the horizontal axis) would
result in a capped return on your investment.
Set forth below are five examples of cash settlement amount
calculations, reflecting a hypothetical maximum settlement amount
of $1,205.80 per $1,000 stated principal amount note and assuming
final index levels for each basket index as indicated in the
examples. These examples are for purposes of illustration only and
the values used in the examples may have been rounded for ease of
analysis.
The levels in Column A represent the hypothetical initial index
levels for each basket index, and the levels in Column B represent
the hypothetical final index levels for each basket index. The
percentages in Column C represent the hypothetical final index
levels in Column B expressed as percentages of the corresponding
hypothetical initial index levels in Column A. The amounts in
Column D represent the applicable initial weighted value for each
basket index, and the amounts in Column E represent the
products of the percentages in Column C times the
corresponding amounts in Column D. The final basket level for each
example is shown beneath each example, and will equal the
sum of the five products shown in Column E. The basket
return for each example is shown beneath the final basket level for
such example, and will equal the quotient of (i) the
final basket level for such example minus the initial basket
level divided by (ii) the initial basket level,
expressed as a positive or negative percentage.
The hypothetical initial index level for each basket index of
100.00 has been chosen for illustrative purposes only and may not
represent a likely initial index level for that basket index. For
historical data regarding the actual historical levels of the
basket indices, please see the historical information set forth
below under “The Basket and the Basket Indices.”
Example 1: The final basket level is greater than the cap
level.
|
|
Column
A |
Column
B |
Column
C |
Column
D |
Column
E |
|
Basket
Index |
Hypothetical
Initial Index Level |
Hypothetical
Final Index Level |
Column
B / Column A (expressed as
a percentage) |
Initial
Weighted
Value |
Column
C × Column D |
|
EURO
STOXX 50® Index |
100.00 |
150.00 |
150.00% |
36.00 |
54.00 |
|
TOPIX®
Index |
100.00 |
155.00 |
155.00% |
29.00 |
44.95 |
|
FTSE®
100 Index |
100.00 |
160.00 |
160.00% |
16.00 |
25.60 |
|
Swiss
Market Index® |
100.00 |
170.00 |
170.00% |
11.00 |
18.70 |
|
S&P/ASX
200 Index |
100.00 |
175.00 |
175.00% |
8.00 |
14.00 |
|
|
|
|
Final
Basket Level |
157.25 |
|
|
|
|
Basket
Return |
57.25% |
In this example, the hypothetical final index level of each basket
index is greater than its hypothetical initial index level, which
results in the hypothetical final basket level being greater than
the initial basket level of 100.00. Because the hypothetical final
basket level is 157.25, which is greater than the hypothetical cap
level of 113.72, the
hypothetical cash settlement amount would be capped at the
hypothetical maximum settlement amount of $1,205.80 per note.
Example 2: The final basket level is greater than the initial
basket level but less than the cap level.
|
|
Column
A |
Column
B |
Column
C |
Column
D |
Column
E |
|
Basket
Index |
Hypothetical
Initial Index Level |
Hypothetical
Final Index Level |
Column
B / Column A (expressed as
a percentage) |
Initial
Weighted
Value |
Column
C × Column D |
|
EURO
STOXX 50® Index |
100.00 |
105.00 |
105.00% |
36.00 |
37.80 |
|
TOPIX®
Index |
100.00 |
105.00 |
105.00% |
29.00 |
30.45 |
|
FTSE®
100 Index |
100.00 |
110.00 |
110.00% |
16.00 |
17.60 |
|
Swiss
Market Index® |
100.00 |
103.00 |
103.00% |
11.00 |
11.33 |
|
S&P/ASX
200 Index |
100.00 |
107.75 |
107.75% |
8.00 |
8.62 |
|
|
|
|
Final
Basket Level |
105.80 |
|
|
|
|
Basket
Return |
5.80% |
In this example, the hypothetical final index level of each basket
index is greater than its hypothetical initial index level, which
results in the hypothetical final basket level being greater than
the initial basket level of 100.00. Because the hypothetical final
basket level is 105.80, which is less than the hypothetical cap
level of 113.72, the
hypothetical cash settlement amount per note would equal:
Cash settlement amount = $1,000 + ($1,000 × 150.00% × 5.80%) =
$1,087.00
Example 3: The final basket level is less than the initial
basket level but greater than the buffer level.
|
|
Column
A |
Column
B |
Column
C |
Column
D |
Column
E |
|
Basket
Index |
Hypothetical
Initial Index Level |
Hypothetical
Final Index Level |
Column
B / Column A (expressed as
a percentage) |
Initial
Weighted
Value |
Column
C × Column D |
|
EURO
STOXX 50® Index |
100.00 |
101.08 |
101.08% |
36.00 |
36.39 |
|
TOPIX®
Index |
100.00 |
90.00 |
90.00% |
29.00 |
26.10 |
|
FTSE®
100 Index |
100.00 |
85.00 |
85.00% |
16.00 |
13.60 |
|
Swiss
Market Index® |
100.00 |
95.00 |
95.00% |
11.00 |
10.45 |
|
S&P/ASX
200 Index |
100.00 |
110.00 |
110.00% |
8.00 |
8.80 |
|
|
|
|
Final
Basket Level |
95.34 |
|
|
|
|
Basket
Return |
-4.66% |
In this
example, even though the hypothetical final index levels for the
EURO STOXX 50® Index and the S&P/ASX 200 Index are
greater than their hypothetical initial index levels, the negative
returns of the TOPIX® Index, the FTSE® 100
Index and the Swiss Market Index® more than offset the
positive returns on the EURO STOXX 50® Index and the
S&P/ASX 200 Index, which results in the hypothetical final
basket level being less than the initial basket level of 100.00.
Since the hypothetical final basket level of 95.34 is greater than
the buffer level of 85.00, the hypothetical cash settlement amount
would equal $1,000.00 per note.
Example 4: The final basket level is less than the buffer
level.
|
|
Column
A |
Column
B |
Column
C |
Column
D |
Column
E |
|
Basket
Index |
Hypothetical
Initial Index Level |
Hypothetical
Final Index Level |
Column
B / Column A (expressed as
a percentage) |
Initial
Weighted
Value |
Column
C × Column D |
|
EURO
STOXX 50® Index |
100.00 |
42.00 |
42.00% |
36.00 |
15.12 |
|
TOPIX®
Index |
100.00 |
65.00 |
65.00% |
29.00 |
18.85 |
|
FTSE®
100 Index |
100.00 |
75.00 |
75.00% |
16.00 |
12.00 |
|
Swiss
Market Index® |
100.00 |
77.00 |
77.00% |
11.00 |
8.47 |
|
S&P/ASX
200 Index |
100.00 |
65.00 |
65.00% |
8.00 |
5.20 |
|
|
|
|
Final
Basket Level |
59.64 |
|
|
|
|
Basket
Return |
-40.36% |
In this example, the hypothetical final index level of each basket
index is less than its hypothetical initial index level, which
results in the hypothetical final basket level being less than the
initial basket level of 100.00. Because the hypothetical final
basket level is 59.64 and is less than the buffer level of 85.00,
the hypothetical cash settlement amount per note would equal:
Cash settlement amount = $1,000 + [$1,000 × (100.00/85.00) ×
(-40.36% + 15.00%)] = $701.65
Example 5: The final basket level is less than the buffer
level.
|
|
Column
A |
Column
B |
Column
C |
Column
D |
Column
E |
|
Basket
Index |
Hypothetical
Initial Index Level |
Hypothetical
Final Index Level |
Column
B / Column A (expressed as
a percentage) |
Initial
Weighted
Value |
Column
C × Column D |
|
EURO
STOXX 50® Index |
100.00 |
40.00 |
40.00% |
36.00 |
14.40 |
|
TOPIX®
Index |
100.00 |
102.00 |
102.00% |
29.00 |
29.58 |
|
FTSE®
100 Index |
100.00 |
101.00 |
101.00% |
16.00 |
16.16 |
|
Swiss
Market Index® |
100.00 |
130.00 |
130.00% |
11.00 |
14.30 |
|
S&P/ASX
200 Index |
100.00 |
130.00 |
130.00% |
8.00 |
10.40 |
|
|
|
|
Final
Basket Level |
84.84 |
|
|
|
|
Basket
Return |
-15.16% |
In this example, the hypothetical final index level of the EURO
STOXX 50® Index is less than its hypothetical initial
index level, while the hypothetical final index levels of the other
four basket indices are each greater than their hypothetical
initial index levels.
Because the basket is unequally weighted, increases in the lower
weighted basket indices will be offset by decreases in the higher
weighted basket indices. In this example, the large decline in the
level of the EURO STOXX 50® Index results in the
hypothetical final basket level being less than 100.00 even though
the levels of the other basket indices increased.
Since the hypothetical final basket level is 84.84 and is less than
the buffer level of 85.00, the hypothetical cash settlement amount
per note would equal:
Cash settlement amount = $1,000 + [$1,000 × (100.00/85.00) ×
(-15.16% + 15.00%)] = $998.12
The cash settlement amounts shown above are entirely hypothetical;
they are based on levels of the basket indices that may not be
achieved on the determination date. The actual cash settlement
amount you receive on the maturity date may bear little relation to
the hypothetical cash settlement amounts shown above, and these
amounts should not be viewed as an indication of the financial
return on an investment in the notes. The actual market value of
your notes on the stated maturity date or at any other time,
including any time you may wish to sell your notes, may bear little
relation to the hypothetical cash settlement amounts shown above,
and these amounts should not be viewed as an indication of the
financial return on an investment in the offered notes. The
hypothetical cash settlement amounts on notes held to the stated
maturity date in the examples above assume you purchased your notes
at their stated principal amount and have not been adjusted to
reflect the actual issue price you pay for your notes. The return
on your investment (whether positive or negative) in your notes
will be affected by the amount you pay for your notes. If you
purchase your notes for a price other than the stated principal
amount, the return on your investment will differ from, and may be
significantly lower than, the hypothetical returns suggested by the
above examples. Please read “Summary Risk Factors — The Value of
the Notes Prior to Maturity Will Fluctuate Based on Many
Unpredictable Factors” on page PS-15 of this pricing
supplement.
|
We cannot predict the actual final
basket level or what the value of your notes will be on any
particular day, nor can we predict the relationship between the
level of each basket index and the value of your notes at any time
prior to the maturity date. The actual amount that you
will receive, if any, at maturity and the return on the notes will
depend on the cap level and the maximum settlement amount, which we
will set on the trade date, and the actual final basket level
determined by the calculation agent as described
above. Moreover, the assumptions on which the
hypothetical returns are based may turn out to be
inaccurate. Consequently, the amount of cash to be paid
in respect of your notes, if any, on the maturity date may be very
different from the information reflected in the table, chart and
examples above. |
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 the basket indices. 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
Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors
included in the accompanying prospectus supplement and in the
documents incorporated by reference in the accompanying prospectus,
including Citigroup Inc.’s most recent Annual Report on Form 10-K
and any subsequent Quarterly Reports on Form 10-Q, which describe
risks relating to the business of Citigroup Inc. more
generally.
|
You May Lose Some or All of Your Investment
Unlike conventional debt securities, the notes do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity
will depend on the performance of the basket. If the basket
depreciates by more than the buffer amount, you will receive less
than the stated principal amount of your notes at maturity. You
should understand that any depreciation of the basket beyond the
buffer amount will result in a loss of more than 1% of the stated
principal amount for each 1% by which the depreciation exceeds the
buffer amount, which will progressively offset any protection that
the buffer amount would offer. Accordingly, the lower the final
basket level, the less benefit you will receive from the buffer.
There is no minimum payment at maturity, and you may lose up to all
of your investment.
The Initial Index Level of Each Basket Index Will Be Determined
at the Discretion of CGMI, as the Calculation Agent
The initial index level of each basket index may be an intraday
level of that basket index on the trade date, as determined by the
calculation agent in its sole discretion, and may not be based on
the closing level of that basket index on the trade date. The
initial index level of any or each basket index may be higher or
lower than its actual closing level on the trade date. Although the
calculation agent will determine the initial index level of each
basket index in good faith, the discretion exercised by the
calculation agent in determining the initial index levels could
have an impact (positive or negative) on the value of your notes.
The calculation agent is under no obligation to consider your
interests as a holder of the notes in taking any actions that might
affect the value of your notes, including the determination of the
initial index levels.
The Notes Do Not Pay Interest
Unlike conventional debt securities, the notes do not pay interest
or any other amounts prior to maturity. You should not invest in
the notes if you seek current income during the term of the
notes.
Your Potential Return On the Notes Is Limited
Your potential total return on the notes at maturity is limited by
the maximum settlement amount. Any increase in the final basket
level over the cap level will not increase your return on the notes
and will progressively reduce the effective degree of your
participation in the appreciation of the basket.
The Determination Date of the Notes Is a Pricing Term and Will
Be Determined by the Issuer on the Trade Date
We will not determine the determination date until the trade
date, so you will not know the exact term of, or the maturity date
for, the notes at the time that you make your investment decision.
The term of the notes could be as short as the shorter end of the
determination date range described on PS-5, and as long as the
longer end of the determination date range. You should be willing
to hold your notes until the latest possible maturity date
contemplated by the determination date range. The determination
date selected by us could have an impact on the value of the notes.
Assuming no changes in other economic terms of the notes, the value
of the notes would likely be lower if the term of the notes is at
the longer end of the determination date range, rather than the
shorter end of the determination date range.
Investing in the Notes Is Not Equivalent to Investing in the
Basket Indices or the Stocks that Constitute the Basket
Indices
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 basket indices. The payment scenarios described
in this pricing supplement do not show any effect of lost dividend
yield over the term of the notes.
Your Payment at Maturity Depends on the Closing Levels of the
Basket Indices on a Single Day
Because your payment at maturity depends on the closing levels of
the basket indices solely on the determination date, you are
subject to the risk that the closing levels of the basket indices
on that day may be lower, and possibly significantly lower, than on
one or more other dates during the term of the notes. If you had
invested in another instrument linked to the basket indices that
you could sell for full value at a time selected by you, or if the
payment at maturity were based on an average of closing levels of
the basket indices, you might have achieved better returns.
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.
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.
The Estimated Value of the Notes on the Trade Date, Based on
CGMI’s Proprietary Pricing Models and Our Internal Funding Rate,
Will Be 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) hedging and other costs
incurred by us and our affiliates in connection with the offering
of the notes and (ii) 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 also include a fee paid to SIMON Markets LLC, an electronic
platform affiliated with Goldman Sachs & Co. LLC, who is acting
as a dealer in connection with the distribution of 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.
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 and correlation among the
basket indices, dividend yields on the stocks that constitute the
basket indices 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.
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 an interest rate that we will pay to
investors in the notes, which do not bear interest.
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.
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.
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 basket indices and a number of
other factors, including the price and volatility of the stocks
that constitute the basket indices, the correlation among the
basket indices, the dividend yields on the stocks that constitute
the basket indices, the volatility of the exchange rate between the
U.S. dollar and each of the currencies in which the stocks included
in the basket indices trade, the correlation between those exchange
rates and the level of the applicable basket index, interest rates
generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate.
Changes in the levels of the basket indices 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.
If the Level of the Basket Changes, the Market Value of Your
Notes May Not Change in the Same Manner
Your notes may trade quite differently from the performance of the
basket. Changes in the level of the basket may not result in a
comparable change in the market value of your notes. We discuss
some of the reasons for this disparity under “— The Value of the
Notes Prior to Maturity Will Fluctuate Based on Many Unpredictable
Factors” above.
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.
The Basket Indices May Offset Each Other
The performance of one basket index may not correlate with the
performance of the other basket indices. If one or more basket
indices appreciate, one or more other basket indices may not
appreciate as much or may even depreciate. In such event, the
appreciation of any appreciating basket indices may be moderated,
wholly offset or more than offset by lesser appreciation or by
depreciation in the levels of the other basket indices.
The Basket Indices Are Unequally Weighted
The basket indices are unequally weighted. Accordingly, the
performance of the basket indices with the higher weighting (in
this case, the EURO STOXX 50® Index and, to a lesser
extent, the TOPIX® Index and the FTSE® 100
Index) will influence the cash settlement amount to a greater
degree than the performance of the basket indices with the lower
weighting (in this case, the Swiss Market Index® and S&P/ASX 200 Index).
If the basket indices with the higher weightings perform poorly,
their poor performances could negate or diminish the effect on the
basket return of any positive performances by the lower-weighted
basket indices.
The Basket Indices are Subject to Risks Associated With Foreign
Equity Securities
Investments in securities linked to the value of foreign equity
securities involve risks associated with the securities markets in
those countries, including risks of volatility in those markets,
governmental intervention in those markets and cross-shareholdings
in companies in certain countries. Also, there is generally less
publicly available information about foreign companies than about
U.S. companies that are subject to the reporting requirements of
the SEC, and foreign companies are generally subject to accounting,
auditing and financial reporting standards and requirements and
securities trading rules that are different from those applicable
to U.S. reporting companies. The prices of securities issued in
foreign markets may be affected by political, economic, financial
and social factors in those countries, or global regions, including
changes in government, economic and fiscal policies and currency
exchange laws. Moreover, the economies in such countries may differ
favorably or unfavorably from the economy of the United States in
such respects as growth of gross national product, rate of
inflation, capital reinvestment, resources and
self-sufficiency.
The Performance of the Basket Indices Will Not Be Adjusted for
Changes in Currency Exchange Rates
The EURO STOXX 50® Index is composed of stocks traded in
euro, the TOPIX® Index is composed of stocks traded in
Japanese yen, the FTSE® 100 Index is composed of stocks
traded in pound sterling, the Swiss Market Index® is
composed of stocks traded in Swiss franc and the S&P/ASX 200
Index is composed of stocks traded in Australian
dollars. The value of each of these foreign currencies may each be
subject to a high degree of fluctuation relative to the U.S.
dollar. However, the performance of the basket indices and the
value of your notes will not be adjusted for exchange rate
fluctuations. If the euro, Japanese yen, pound sterling, Swiss
franc and/or the Australian dollar appreciates relative to the U.S.
dollar over the term of the notes, your return on the notes will
underperform an alternative investment that offers exposure to that
appreciation in addition to the changes in the levels of the basket
indices.
An Investment in the Notes is Not a Diversified
Investment
The fact that the notes are linked to a basket does not mean that
the notes represent a diversified investment. First, although the
basket indices differ in important respects, they each track the
performance of developed non-U.S. equity markets, and each may
perform poorly if there is a global downturn in equity markets
generally or in developed non-U.S. equity markets in particular.
Second, the notes are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc. No amount of
diversification that may be represented by the basket indices will
offset the risk that we and Citigroup Inc. may default on our
obligations.
Our Offering of the Notes Does Not Constitute a Recommendation
of the Basket or the Basket Indices
The fact that we are offering the notes does not mean that we
believe that investing in an instrument linked to the basket or any
of the basket indices 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 basket indices or in instruments related
to the basket indices or such stocks and may publish research or
express opinions, that in each case are inconsistent with an
investment linked to the basket indices. These and other activities
of our affiliates may affect the levels of the basket indices in a
way that has a negative impact on your interests as a holder of the
notes.
The Level of a Basket 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, or through a dealer participating in this
offering or its affiliates, who may take positions directly in the
stocks that constitute the basket indices and other financial
instruments related to the basket indices or such stocks and may
adjust such positions during the term of the notes. Our affiliates
also trade the stocks that constitute the basket indices and other
financial instruments related to the basket indices 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. Any dealer
participating in the offering of the notes or its affiliates may
engage in similar activities. These activities could affect the
levels of the basket indices in a way that negatively affects the
value of the notes. They could also result in substantial returns
for us or our affiliates or any dealer or its affiliates while the
value of the notes declines. If the dealer from which you purchase
notes is to conduct hedging activities for us in connection with
the notes, that dealer may profit in connection with such hedging
activities and such profit, if any, will be in addition to the
compensation that the dealer receives for the sale of the notes to
you. You should be aware that the potential to earn fees in
connection with hedging activities may create a further incentive
for the dealer to sell the notes to you in addition to the
compensation they would receive for the sale of the notes.
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 basket
indices, 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. Any
dealer participating in the offering of the notes or its affiliates
may engage in similar activities.
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 a basket index, CGMI, as calculation agent, will
be required to make discretionary judgments that could
significantly affect your payment at maturity. In making these
judgments, the calculation agent’s interests as an affiliate of
ours could be adverse to your interests as a holder of the
notes.
Adjustments to the Basket Indices May Affect the Value of Your
Notes
The sponsors of the basket indices may add, delete or substitute
the stocks that constitute the basket indices or make other
methodological changes that could affect the levels of the basket
indices. The sponsors of the basket indices may discontinue or
suspend calculation or publication of the basket indices at any
time without regard to your interests as holders of the notes.
We May Sell an Additional Aggregate Stated Principal Amount of
the Notes at a Different Issue Price
At our sole option, we may decide to sell an additional aggregate
stated principal amount of the notes subsequent to the date of this
pricing supplement. The issue price of the notes in the subsequent
sale may differ substantially (higher or lower) from the original
issue price you paid as provided on the cover of this pricing
supplement.
If You Purchase Your Notes at a Premium to the Stated Principal
Amount, the Return on Your Investment Will Be Lower Than the Return
on Notes Purchased at the Stated Principal Amount and the Impact of
Certain Key Terms of the Notes Will be Negatively Affected
The cash settlement amount will not be adjusted based on the issue
price you pay for the notes. If you purchase notes at a price that
differs from the stated principal amount of the notes, then the
return on your investment in such notes held to the stated maturity
date will differ from, and may be substantially less than, the
return on notes purchased at the stated principal amount. If you
purchase your notes at a premium to the stated principal amount and
hold them to the stated maturity date, the return on your
investment in the notes will be lower than it would have been had
you purchased the notes at the stated principal amount or a
discount to the stated principal amount. In addition, the impact of
the buffer level and the cap level on the return on your investment
will depend upon the price you pay for your notes relative to the
stated principal amount. For example, if you purchase your notes at
a premium to the stated principal amount, the cap level will only
permit a lower percentage increase in your investment in the notes
than would have been the case for notes purchased at the stated
principal amount or a discount to the stated principal amount.
Similarly, the buffer level, while still providing some protection
for the return on the notes, will allow a greater percentage
decrease in your investment in the notes than would have been the
case for notes purchased at the stated principal amount or a
discount to the stated principal amount.
The U.S. Federal Tax Consequences of an Investment in the Notes
Are Unclear
There is no direct legal authority regarding the proper U.S.
federal tax treatment of the notes, and we do not plan to request a
ruling from the Internal Revenue Service (the “IRS”). Consequently,
significant aspects of the tax treatment of the notes are
uncertain, and the IRS or a court might not agree with the
treatment of the notes as prepaid forward contracts. If the IRS
were successful in asserting an alternative treatment of the notes,
the tax consequences of the ownership and disposition of the notes
might be materially and adversely affected. Moreover, future
legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the notes, possibly
retroactively.
If you are a non-U.S. investor, you should review the discussion of
withholding tax issues in “United States Federal Tax
Considerations—Non-U.S. Holders” below.
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the
Securities” in the accompanying product supplement and “United
States Federal Tax Considerations” in this pricing supplement. You
should also consult your tax adviser regarding the U.S. federal tax
consequences of an investment in the notes, as well as tax
consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
THE BASKET AND THE BASKET
INDICES
The Basket
The basket consists of five basket indices with the following
weights within the basket: the EURO STOXX 50® Index
(36.00%), the TOPIX® Index (29.00%), the
FTSE® 100 Index (16.00%), the Swiss Market
Index® (11.00%) and the S&P/ASX 200 Index
(8.00%).
Historical Information
Because the basket exists solely for purposes of these notes,
historical information on the performance of the basket does not
exist for dates prior to the pricing date for these notes. The
graph below sets forth the hypothetical historical daily levels of
the basket for the period from January 4, 2016 to February 24,
2021, assuming that the basket was created on January 5, 2015 with
the same basket indices and corresponding weights in the basket and
with a level of 100.00 on that date. The hypothetical performance
of the basket is based on the actual closing levels of the basket
indices on the applicable dates. We obtained these closing levels
from Bloomberg L.P., without independent verification. Any
historical trend in the level of the basket during the period shown
below is not an indication of the performance of the basket during
the term of the notes.
EURO STOXX 50® Index
The EURO STOXX 50® Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO
STOXX® Supersector indices, which represent the Eurozone
portion of the STOXX Europe 600® Supersector indices.
The STOXX Europe 600® Supersector indices contain the
600 largest stocks traded on the major exchanges of 18 European
countries. The EURO STOXX 50® Index is reported by
Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”) and its licensors and CGMI have entered
into a non-exclusive license agreement providing for the license to
CGMI and its affiliates, in exchange for a fee, of the right to use
the EURO STOXX 50® Index, which is owned and published
by STOXX, in connection with certain financial instruments,
including the notes. For more information, see “Equity Index
Descriptions—The STOXX Benchmark Indices—License Agreement” in the
accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The STOXX
Benchmark Indices” in the accompanying underlying supplement for
important disclosures regarding the EURO STOXX 50®
Index. In addition, information about the EURO STOXX 50®
Index may be obtained from other sources including, but not limited
to, press releases, newspaper articles and other publicly
disseminated documents and the index sponsor’s website: stoxx.com,
(including information regarding (i) the top ten constituents and
their respective weightings, (ii) the sector weightings and (iii)
the country weightings). We are not incorporating by reference into
this document the website or any material it includes. Neither the
issuer nor the agent makes any representation that such publicly
available documents or any other publicly available information
regarding the index is accurate or complete.
Historical Closing Levels of the EURO STOXX 50®
Index
The closing level of the EURO STOXX 50® Index has
fluctuated in the past and may, in the future, experience
significant fluctuations. Any historical upward or downward trend
in the closing level of the EURO STOXX 50® Index during
the period shown below is not an indication that the EURO STOXX
50® Index is more or less likely to increase or decrease
at any time during the life of your notes.
You should not take the historical levels of the EURO STOXX
50® Index as an indication of the future performance of
the EURO STOXX 50® Index. We cannot give you any
assurance that the future performance of the EURO STOXX
50® Index will result in your receiving an amount
greater than (or equal to) the stated principal amount of your
notes on the maturity date.
Neither we nor any of our affiliates make any representation to you
as to the performance of the EURO STOXX 50® Index. The
actual performance of the EURO STOXX 50® Index over the
life of the notes, as well as the cash settlement amount, may bear
little relation to the historical levels shown below.
The graph below shows the closing levels of the EURO STOXX
50® Index for each day such level was available from
January 4, 2016 to February 24, 2021. We obtained the closing
levels from Bloomberg L.P., without independent verification.
The closing level of the EURO STOXX 50® Index on
February 24, 2021 was 3,705.99.
TOPIX® Index
The TOPIX® Index tracks the Tokyo Stock Exchange and is
a commonly used statistical indicator of trends in the Japanese
stock market. It comprises all domestic common stocks listed on the
TSE First Section. Stocks listed on the TSE First Section are
generally large companies with longer established and more actively
traded issues. The TOPIX® Index is calculated and
maintained by the Tokyo Stock Exchange. The TOPIX® Index
is reported by Bloomberg L.P. under the ticker symbol “TPX.”
The TOPIX® Trademarks, including “TOPIX®” and
“TOPIX® Index,” are subject to the intellectual property
rights owned by the Tokyo Stock Exchange, Inc., and have been
licensed for use by Citigroup Inc. and its affiliates. For more
information, see “Equity Index Descriptions—The TOPIX®
Index—License Agreement” in the accompanying underlying
supplement.
Please refer to the section “Equity Index Descriptions—The
TOPIX® Index” in the accompanying underlying supplement
for important disclosures regarding the TOPIX® Index. In
addition, information about the TOPIX® Index may be
obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated
documents and the index sponsor’s website:
jpx.co.jp/english/markets/indices/topix/, (including information
regarding (i) the top ten constituents and their respective
weightings, and (ii) the sector weightings. We are not
incorporating by reference into this document the website or any
material it includes. Neither the issuer nor the agent makes any
representation that such publicly available documents or any other
publicly available information regarding the index is accurate or
complete.
Historical Closing Levels of the TOPIX® Index
The closing level of the TOPIX® Index has fluctuated in
the past and may, in the future, experience significant
fluctuations. Any historical upward or downward trend in the
closing level of the TOPIX® Index during the period
shown below is not an indication that the TOPIX® Index
is more or less likely to increase or decrease at any time during
the life of your notes.
You should not take the historical levels of the
TOPIX® Index as an indication of the future performance
of the TOPIX® Index. We cannot give you any
assurance that the future performance of the TOPIX®
Index will result in your receiving an amount greater than (or
equal to) the stated principal amount of your notes on the maturity
date.
Neither we nor any of our affiliates make any representation to you
as to the performance of the TOPIX® Index. The actual
performance of the TOPIX® Index over the life of the
notes, as well as the cash settlement amount, may bear little
relation to the historical levels shown below.
The graph below shows the closing levels of the TOPIX®
Index for each day such level was available from January 4, 2016 to
February 24, 2021. We obtained the closing levels from Bloomberg
L.P., without independent verification.
The closing level of the TOPIX® Index on February 24,
2021 was 1,903.07.
FTSE® 100 Index
The FTSE® 100 Index measures the composite price
performance of stocks of the largest 100 companies (determined on
the basis of market capitalization) traded on the London Stock
Exchange. The FTSE® 100 Index is reported by Bloomberg
L.P. under the ticker symbol “UKX.”
FTSE International Limited (“FTSE”) and its licensors and CGMI have
entered into a non-exclusive license agreement providing for the
license to Citigroup Inc. and its affiliates, in exchange for a
fee, of the right to use the FTSE® 100 Index, which is
owned and published by FTSE, in connection with certain financial
instruments, including the notes. For more information, see “Equity
Index Descriptions—The FTSE® 100 Index—License
Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity
Index Descriptions—The FTSE® 100 Index” in the
accompanying underlying supplement for important disclosures
regarding the FTSE® 100 Index. In addition, information
about the FTSE® 100 Index may be obtained from other
sources including, but not limited to, press releases, newspaper
articles and other publicly disseminated documents and the index
sponsor’s website: ftse.com/products/indices/uk, (including
information regarding (i) the top five constituents and their
respective weightings and (ii) the sector weightings). We are not
incorporating by reference into this document the website or any
material it includes. Neither the issuer nor the agent makes any
representation that such publicly available documents or any other
publicly available information regarding the index is accurate or
complete.
In addition to the eligibility criteria discussed under “Equity
Index Descriptions—The FTSE® 100 Index” in the
accompanying underlying supplement, in order to be included in the
FTSE® 100 Index, a company is required to have greater
than 5% of its voting rights (aggregated across all of its equity
securities, including, where identifiable, those that are not
listed or trading) in the hands of unrestricted shareholders.
Current constituents of the FTSE® 100 Index who do not
meet this requirement will have until the September 2022 review to
meet the requirement or they will be removed from the
FTSE® 100 Index.
Historical Closing Levels of the FTSE® 100
Index
The closing level of the FTSE® 100 Index has fluctuated
in the past and may, in the future, experience significant
fluctuations. Any historical upward or downward trend in the
closing level of the FTSE® 100 Index during the period
shown below is not an indication that the FTSE® 100
Index is more or less likely to increase or decrease at any time
during the life of your notes.
You should not take the historical levels of the
FTSE® 100 Index as an indication of the future
performance of the FTSE® 100 Index. We cannot give
you any assurance that the future performance of the
FTSE® 100 Index will result in your receiving an amount
greater than (or equal to) the stated principal amount of your
notes on the maturity date.
Neither we nor any of our affiliates make any representation to you
as to the performance of the FTSE® 100 Index. The actual
performance of the FTSE® 100 Index over the life of the
notes, as well as the cash settlement amount, may bear little
relation to the historical levels shown below.
The graph below shows the closing levels of the FTSE®
100 Index for each day such level was available from January 4,
2016 to February 24, 2021. We obtained the closing levels from
Bloomberg L.P., without independent verification.
The closing level of the FTSE® 100 Index on February 24,
2021 was 6,658.97.
Swiss Market Index®
We obtained all information contained in this pricing supplement
regarding the Swiss Market Index (SMI®), including,
without limitation, its make-up, method of calculation and changes
in its components, from publicly available information. This
information reflects the policies of, and is subject to change by,
SIX Swiss Exchange AG, the sponsor of the Swiss Market Index
(SMI®) (“SSE”). SSE has no obligation to continue to
publish, and may discontinue publication of, the Swiss Market Index
(SMI®) at any time. We have not independently verified
the accuracy or completeness of any information with respect to the
Swiss Market Index (SMI®) in connection with the offer
and sale of notes.
The Swiss Market Index (SMI®) does not reflect the
payment of dividends on the stocks underlying it and therefore the
payment on the notes will not produce the same return you would
receive if you were able to purchase such underlying stocks and
hold them until maturity.
General
The Swiss Market Index (SMI®) represents approximately
85% of the free float capitalization of the Swiss equity market.
The Swiss Market Index (SMI®) is a free-float adjusted
market capitalization-weighted price return index of the Swiss
equity market. The Swiss Market Index (SMI®) was
standardized on June 30, 1988 with an initial baseline value of
1,500 points.
Composition of the Swiss Market Index (SMI®)
The Swiss Market Index (SMI®) comprises the 20 most
highly capitalized and liquid stocks of the Swiss Performance
Index®. The Swiss Performance Index® is
intended to represent Switzerland’s overall stock market. The Swiss
Market Index (SMI®) is updated in real time after each
transaction and published every second.
The Swiss Market Index (SMI®) comprises the 20 highest
ranked securities traded on the Swiss Performance
Index®. The ranking of each security is determined by a
combination of the following criteria:
|
· |
Average free-float market capitalization (compared to the
capitalization of the entire Swiss Performance Index®);
and |
|
· |
Cumulated on order book turnover (compared to the total
turnover of the Swiss Performance Index®). |
The average market capitalization in percent and the turnover in
percent are each given a weighting of 50% and yield the weighted
market share. A security is admitted to the Swiss Market Index
(SMI®) if it ranks 18 or better in the selection list. A
share ranked 19 or 20 is admitted only if a share included in the
Swiss Market Index (SMI®) meets the exclusion criteria
directly (position 23 or lower) and no other share that either
meets the admission criteria directly (position 18 or higher) or is
rated higher has moved up in its place. A security is excluded from
the Swiss Market Index (SMI®) if it ranked 23 or lower
in the selection list. A share ranked 21 or 22 is excluded only if
a share meets the admission criteria directly (position 18 or
higher) and no other share that either meets the exclusion criteria
directly (position 23 or lower) or is rated lower has been excluded
in its place.
Standards for Admission and Exclusion
To ensure that the composition of the Swiss Market Index
(SMI®) maintains a high level of continuity, the stocks
contained within it are subject to a special admission and
exclusion procedure. This is based on the criteria of free-float
market capitalization and liquidity. The index-basket adjustments
which arise from this procedure are, as a rule, made once per
year.
Changes to the index-basket composition will be made once a year
after prior notice of at least two months on the third Friday in
September after close of trading. The number of securities and
free-float shares are adjusted on four ordinary adjustment dates a
year: the third Friday in March (after close of trading), the third
Friday in June (after close of trading), the third Friday in
September (after close of trading) and the third Friday in December
(after close of trading).
Capped Weightings and Intra-Quarter Breaches
The weight of any index constituent that exceeds a weight of 18%
within the index is reduced to that value at each ordinary
quarterly adjustment date by applying a capping factor to the
calculation of such constituent’s free float market capitalization.
A constituent’s number of shares and free float figure are used to
determine its capping factor. The excess weight (the difference of
the original weight minus the capped weight) is distributed
proportionally across the other index constituents. The
constituents are also capped to 18% as soon as two index
constituents exceed a weight of 20% (an “intra-quarter breach”). If
an intra-quarter breach is observed after the close of the markets,
the new capping factors are implemented after the close of the
following trading day. The weights of the largest components are
therefore set again to 18% effective after the close of the
following trading day. If an issuer is represented in the index by
more than one security, the free float market capitalization of
those securities is cumulated for the calculation of the capping
factors.
Computation of the Swiss Market Index (SMI®)
The Swiss Market Index (SMI®) is calculated using the
Laspeyres method with the weighted arithmetic mean of a defined
number of securities issues. The index level is calculated by
dividing the market capitalizations of all securities included in
the Swiss Market Index (SMI®) by a divisor:
where t is current day; s is current time on day
t; Is is the current index level at time s;
Dt is the divisor on day t; M is the number of
issues in the Swiss Market Index (SMI®);
pi,s is the last-paid price of security i;
xi, t is the number of shares of security i
on day t; fi,t is the free float for
security i on day t; rs is the
current CHF exchange rate at time s; and C is the
capping factor for security i on day t.
The divisor is a technical number used to calculate the Swiss
Market Index (SMI®). If the market capitalization
changes due to a corporate event, the divisor changes while the
index value remains the same. The new divisor is calculated on the
evening of the day before the corporate event takes effect. Regular
cash dividend payments do not result in adjustments to the divisor.
Repayments of capital through the reduction of a share's par value,
which can take the place of a regular cash dividend or constitute a
component of the regular distribution, are treated in the same way
as a normal dividend payment (i.e., no adjustment to the divisor).
Distributions (e.g., special dividends and anniversary bonuses)
that, contrary to a company's usual dividend policy, are paid out
or declared extraordinary dividends, are not deemed dividends in
the above sense. These distributions are considered corporate
events and also result in adjustments to the divisor.
License Agreement with SIX Swiss Exchange AG
“SIX Swiss Exchange AG (“SIX Swiss Exchange”) and its licensors
(“Licensors”) have no relationship to Citigroup Global Markets
Holdings Inc., other than the licensing of the Swiss Market Index
(SMI®) and the related trademarks for use in connection
with the notes.
SIX Swiss Exchange and its Licensors do
not:
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sponsor, endorse, sell or promote the notes. |
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recommend that any person invest in the notes. |
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have any responsibility or liability for or make any
decisions about the timing, amount or pricing of the
notes. |
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have any responsibility or liability for the administration,
management or marketing of the notes. |
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consider the needs of the notes or the owners of the notes
in determining, composing or calculating the Swiss Market Index
(SMI®) or have any obligation to do so. |
SIX Swiss Exchange and its Licensors give no warranty, and
exclude any liability (whether in negligence or otherwise), in
connection with the notes or their performance.
SIX Swiss Exchange does not assume any contractual relationship
with the purchasers of the notes or any other third
parties.
Specifically,
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SIX Swiss Exchange and its Licensors do not give any
warranty, express or implied, and exclude any liability
for: |
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The results to be obtained by the notes, the owner of the
notes or any other person in connection with the use of the Swiss
Market Index (SMI®) and the data included in the Swiss
Market Index (SMI®); |
|
o |
The accuracy, timeliness, and completeness of the Swiss
Market Index (SMI®) and its data; |
|
o |
The merchantability and the fitness for a particular purpose
or use of the Swiss Market Index (SMI®) and its
data; |
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The performance of the notes generally. |
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SIX Swiss Exchange and its Licensors give no warranty and
exclude any liability, for any errors, omissions or interruptions
in the Swiss Market Index (SMI®) or its data; |
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Under no circumstances will SIX Swiss Exchange or its
Licensors be liable (whether in negligence or otherwise) for any
lost profits or indirect, punitive, special or consequential
damages or losses, arising as a result of such errors, omissions or
interruptions in the Swiss Market Index (SMI®) or its
data or generally in relation to the notes, even in circumstances
where SIX Swiss Exchange or its Licensors are aware that such loss
or damage may occur. |
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The licensing Agreement between Citigroup Global Markets
Holdings Inc. and SIX Swiss Exchange is solely for their benefit
and not for the benefit of the owners of the notes or any other
third parties.” |
In addition, information about the Swiss Market Index®
may be obtained from other sources including, but not limited to,
press releases, newspaper articles and other publicly disseminated
documents and the index sponsor’s website: .
six-swiss-exchange.com/indices/data_centre/shares/smi_en.html,
(including information regarding (i) the top ten constituents and
their respective weightings and (ii) the sector weightings). We are
not incorporating by reference into this document the website or
any material it includes. Neither the issuer nor the agent makes
any representation that such publicly available documents or any
other publicly available information regarding the index is
accurate or complete.
Historical Closing Levels of the Swiss Market
Index®
The closing level of the Swiss Market Index® has
fluctuated in the past and may, in the future, experience
significant fluctuations. Any historical upward or downward trend
in the closing level of the Swiss Market Index® during
the period shown below is not an indication that the Swiss Market
Index® is more or less likely to increase or decrease at
any time during the life of your notes.
You should not take the historical levels of the Swiss Market
Index® as an indication of the future performance
of the Swiss Market Index®. We cannot give
you any assurance that the future performance of the Swiss Market
Index will result in your receiving an amount greater than (or
equal to) the stated principal amount of your notes on the maturity
date.
Neither we nor any of our affiliates make any representation to you
as to the performance of the Swiss Market Index®. The
actual performance of the Swiss Market Index® over the
life of the notes, as well as the cash settlement amount, may bear
little relation to the historical levels shown below.
The graph below shows the closing levels of the Swiss Market
Index® for each day such level was available from
January 4, 2016 to February 24, 2021. We obtained the closing
levels from Bloomberg L.P., without independent verification.
The closing level of the Swiss Market Index® on February
24, 2021 was 10,727.70.
S&P/ASX 200 Index
The S&P/ASX 200 Index measures the performance of the 200
largest index-eligible stocks listed on the Australian Securities
Exchange (the “ASX”) by float-adjusted market capitalization, and
is widely considered Australia’s benchmark index. The index is
float-adjusted, covering approximately 80% of Australian equity
market capitalization. The A&P/ASX 200 Index is reported by
Bloomberg L.P. under the ticker symbol “AS51.”
S&P Dow Jones and Citigroup Global Markets Inc. have entered
into a non-exclusive license agreement providing for the license to
Citigroup Inc. and its other affiliates, in exchange for a fee, of
the right to use indices owned and published by S&P Dow Jones
in connection with certain financial products, including the notes.
For more information, see “Equity Index Descriptions—The
S&P/ASX 200 Index—License Agreement” in the accompanying
underlying supplement.
Please refer to the section “Equity Index Descriptions— The
S&P/ASX 200 Index” in the accompanying underlying supplement
for important disclosures regarding the S&P/ASX 200
Index. In addition, information about the SPX/ASX 200 Index
may be obtained from other sources including, but not limited to,
press releases, newspaper articles and other publicly disseminated
documents and the index sponsor’s website: .us.spindices.com/indices/equity/sp-asx-200
(including information regarding (i) the top ten constituents, (ii)
the sector weightings and (iii) the country weightings). We are not
incorporating by reference into this document the website or any
material it includes. Neither the issuer nor the agent makes any
representation that such publicly available documents or any other
publicly available information regarding the index is accurate or
complete.
Historical Closing Levels of the S&P/ASX 200 Index
The closing level of the S&P/ASX 200 Index has fluctuated in
the past and may, in the future, experience significant
fluctuations. Any historical upward or downward trend in the
closing level of the S&P/ASX 200 Index during the period shown
below is not an indication that the S&P/ASX 200 Index is more
or less likely to increase or decrease at any time during the life
of your notes.
You should not take the historical levels of the S&P/ASX 200
Index as an indication of the future performance of the S&P/ASX
200 Index. We cannot give you any assurance that the future
performance of the S&P/ASX 200 Index will result in your
receiving an amount greater than (or equal to) the stated principal
amount of your notes on the maturity date.
Neither we nor any of our affiliates make any representation to you
as to the performance of the S&P/ASX 200 Index. The actual
performance of the S&P/ASX 200 Index over the life of the
notes, as well as the cash settlement amount, may bear little
relation to the historical levels shown below.
The graph below shows the closing levels of the S&P/ASX 200
Index for each day such level was available from January 4, 2016 to
February 24, 2021. We obtained the closing levels from Bloomberg
L.P., without independent verification.
The closing level of the S&P/ASX 200 Index on February 24, 2021
was 6,777.817.
UNITED STATES FEDERAL TAX
CONSIDERATIONS
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the
Securities” in the accompanying product supplement and “Summary
Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, a
note should be treated as a prepaid forward contract for U.S.
federal income tax purposes. By purchasing a note, you agree (in
the absence of an administrative determination or judicial ruling
to the contrary) to this treatment. There is uncertainty regarding
this treatment, and the IRS or a court might not agree with it.
Moreover, our counsel’s opinion is based on market conditions as of
the date of this preliminary pricing supplement and is subject to
confirmation on the pricing date.
Assuming this treatment of the notes is respected and subject to
the discussion in “United States Federal Tax Considerations” in the
accompanying product supplement, the following U.S. federal income
tax consequences should result under current law:
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You
should not recognize taxable income over the term of the notes
prior to maturity, other than pursuant to a sale or
exchange. |
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Upon a
sale or exchange of a note (including retirement at maturity), you
should recognize capital gain or loss equal to the difference
between the amount realized and your tax basis in the note. Such
gain or loss should be long-term capital gain or loss if you held
the note for more than one year. |
We do not plan to request a ruling from the IRS regarding the
treatment of the notes. An alternative characterization of the
notes could materially and adversely affect the tax consequences of
ownership and disposition of the notes, including the timing and
character of income recognized. In addition, the U.S. Treasury
Department and the IRS have requested comments on various issues
regarding the U.S. federal income tax treatment of “prepaid forward
contracts” and similar financial instruments and have indicated
that such transactions may be the subject of future regulations or
other guidance. Furthermore, members of Congress have proposed
legislative changes to the tax treatment of derivative contracts.
Any legislation, Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the notes, possibly
with retroactive effect. You should consult your tax adviser
regarding possible alternative tax treatments of the notes and
potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in
“United States Federal Tax Considerations” in the accompanying
product supplement, if you are a Non-U.S. Holder (as defined in the
accompanying product supplement) of the notes, you generally should
not be subject to U.S. federal withholding or income tax in respect
of any amount paid to you with respect to the 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.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product
supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30%
withholding tax on dividend equivalents paid or deemed paid to
Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities (“U.S. Underlying Equities”) or indices
that include U.S. Underlying Equities. Section 871(m) generally
applies to instruments that substantially replicate the economic
performance of one or more U.S. Underlying Equities, as determined
based on tests set forth in the applicable Treasury regulations.
However, the regulations, as modified by an IRS notice, exempt
financial instruments issued prior to January 1, 2023 that do not
have a “delta” of one. Based on the terms of the notes and
representations provided by us as of the date of this preliminary
pricing supplement, 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). However, the final
determination regarding the treatment of the notes under Section
871(m) will be made as of the pricing date for the notes, and it is
possible that the notes will be subject to withholding tax under
Section 871(m) based on the circumstances as of that date.
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.
You should read the section entitled “United States Federal Tax
Considerations” in the accompanying product supplement. The
preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP
regarding the material U.S. federal tax consequences of owning and
disposing of the notes.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an
investment in the notes and any tax consequences arising under the
laws of any state, local or non-U.S. taxing jurisdiction.
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.
The estimated value of the notes is a function of the terms of the
notes and the inputs to CGMI’s proprietary pricing models. The
range for the estimated value of the notes set forth on the cover
page of this preliminary pricing supplement reflects terms of the
notes that have not yet been fixed as well as uncertainty on the
date of this preliminary pricing supplement about the inputs to
CGMI’s proprietary pricing models on the trade date.
For a period of approximately three 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 three-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.”
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