Citigroup Global Markets Holdings
Inc. |
February 23, 2021
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2021-USNCH6516
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-03
|
Autocallable Contingent Coupon Equity Linked Securities Linked to
the Worst Performing of the S&P 500® Index and the
VanEck Vectors® Gold Miners ETF Due February 28,
2023
|
▪ |
The securities offered by this pricing supplement are unsecured
debt securities issued by Citigroup Global Markets Holdings Inc.
and guaranteed by Citigroup Inc. The securities offer the potential
for periodic contingent coupon payments at an annualized rate that,
if all are paid, would produce a yield that is generally higher
than the yield on our conventional debt securities of the same
maturity. In exchange for this higher potential yield, you must be
willing to accept the risks that (i) your actual yield may be lower
than the yield on our conventional debt securities of the same
maturity because you may not receive one or more, or any,
contingent coupon payments, (ii) the value of what you receive at
maturity may be significantly less than the stated principal amount
of your securities, and (iii) the securities may be automatically
called for redemption prior to maturity beginning on the first
potential autocall date specified below. Each of these risks will
depend solely on the performance of the worst performing of
the underlyings specified below. |
|
▪ |
You will be subject to risks associated with each of the
underlyings and will be negatively affected by adverse movements in
any one of the underlyings. Although you will have downside
exposure to the worst performing underlying, you will not receive
dividends with respect to any underlying or participate in any
appreciation of any underlying. |
|
▪ |
Investors in the securities must be willing to accept (i) an
investment that may have limited or no liquidity and (ii) the risk
of not receiving any payments due under the securities if we and
Citigroup Inc. default on our obligations. All payments on the
securities are subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc. |
KEY TERMS |
Issuer: |
Citigroup Global Markets Holdings Inc., a wholly
owned subsidiary of Citigroup Inc. |
Guarantee: |
All
payments due on the securities are fully and unconditionally
guaranteed by Citigroup Inc. |
Underlyings: |
Underlying |
Initial underlying
value* |
Coupon barrier
value** |
Final buffer
value*** |
|
S&P 500®
Index |
3,881.37 |
2,911.028 |
3,299.165 |
|
VanEck Vectors® Gold
Miners ETF |
$33.44 |
$25.080 |
$28.424 |
|
*For each underlying, its closing value on the pricing
date
**For each underlying, 75.00% of its initial underlying
value
***For each underlying, 85.00% of its initial underlying
value
|
Stated principal
amount: |
$1,000 per
security |
Pricing
date: |
February 23,
2021 |
Issue
date: |
February 26,
2021 |
Valuation
dates: |
March 23, 2021, April
23, 2021, May 24, 2021, June 23, 2021, July 23, 2021, August 23,
2021, September 23, 2021, October 25, 2021, November 23, 2021,
December 23, 2021, January 24, 2022, February 23, 2022, March 23,
2022, April 25, 2022, May 23, 2022, June 23, 2022, July 25, 2022,
August 23, 2022, September 23, 2022, October 24, 2022, November 23,
2022, December 23, 2022, January 23, 2023 and February 23, 2023
(the “final valuation date”), each subject to postponement if such
date is not a scheduled trading day or certain market disruption
events occur |
Maturity
date: |
Unless earlier
redeemed, February 28, 2023 |
Contingent
coupon payment dates: |
The third business
day after each valuation date, except that the contingent coupon
payment date following the final valuation date will be the
maturity date |
Contingent
coupon: |
On each contingent
coupon payment date, unless previously redeemed, the securities
will pay a contingent coupon equal to 0.666667% of the stated
principal amount of the securities (equivalent to a contingent
coupon rate of 8.00% per annum) if and only if the closing
value of the worst performing underlying on the immediately
preceding valuation date is greater than or equal to its coupon
barrier value. If the closing value of the worst performing
underlying on any valuation date is less than its coupon barrier
value, you will not receive any contingent coupon payment on the
immediately following contingent coupon payment
date. |
Payment at
maturity: |
If the securities are not automatically redeemed prior to maturity,
you will receive at maturity for each security you then hold (in
addition to the final contingent coupon payment, if
applicable):
§ If the final
underlying value of the worst performing underlying on the final
valuation date is greater than or equal to its final buffer
value: $1,000
§ If the final
underlying value of the worst performing underlying on the final
valuation date is less than its final buffer value:
$1,000 + [$1,000 × (the underlying return of the worst performing
underlying on the final valuation date + the buffer
percentage)]
If the securities are not automatically redeemed prior to
maturity and the final underlying value of the worst performing
underlying on the final valuation date is less than its final
buffer value, which means that the worst performing underlying on
the final valuation date has depreciated from its initial
underlying value by more than the buffer percentage, you will lose
1% of the stated principal amount of your securities at maturity
for every 1% by which that depreciation exceeds the buffer
percentage.
|
Buffer
percentage: |
15.00% |
Listing: |
The securities will
not be listed on any securities exchange |
Underwriter: |
Citigroup Global
Markets Inc. (“CGMI”), an affiliate of the issuer,
acting as principal |
Underwriting fee and issue
price: |
Issue
price(1) |
Underwriting
fee(2) |
Proceeds to
issuer(3) |
Per
security: |
$1,000.00 |
$29.50 |
$970.50 |
Total: |
$74,000.00 |
$1,850.00 |
$72,150.00 |
(Key Terms continued on next
page)
(1) On the date of this pricing
supplement, the estimated value of the securities is $948.90 per
security, which is less than the issue price. The estimated value
of the securities is based on CGMI’s proprietary pricing models and
our internal funding rate. It is not an indication of actual profit
to CGMI or other of our affiliates, nor is it an indication of the
price, if any, at which CGMI or any other person may be willing to
buy the securities from you at any time after issuance. See
“Valuation of the Securities” in this pricing
supplement.
(2) CGMI will receive an underwriting
fee of up to $29.50 for each security sold in this offering. The
total underwriting fee and proceeds to issuer in the table above
give effect to the actual total underwriting fee. For more
information on the distribution of the securities, see
“Supplemental Plan of Distribution” in this pricing supplement. In
addition to the underwriting fee, CGMI and its affiliates may
profit from hedging activity related to this offering, even if the
value of the securities declines. See “Use of Proceeds and Hedging”
in the accompanying prospectus.
(3) The per security proceeds to
issuer indicated above represent the minimum per security proceeds
to issuer for any security, assuming the maximum per security
underwriting fee. As noted above, the underwriting fee is
variable.
Investing in the securities involves risks not associated with
an investment in conventional debt securities. See “Summary Risk
Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission nor any state
securities commission has approved or disapproved of the securities
or determined that this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement
and prospectus are truthful or complete. Any representation to the
contrary is a criminal offense.
You should read this pricing supplement together with the
accompanying product supplement, underlying supplement, prospectus
supplement and prospectus, which can be accessed via the hyperlinks
below:
Product Supplement No. EA-04-08 dated February
15, 2019 Underlying Supplement No. 9 dated October 30,
2020
Prospectus Supplement and Prospectus each dated
May 14, 2018
The securities are not bank deposits and are not insured or
guaranteed by the Federal Deposit Insurance Corporation or any
other governmental agency, nor are they obligations of, or
guaranteed by, a bank.
Citigroup Global Markets Holdings
Inc. |
|
KEY
TERMS (continued) |
Automatic
early redemption: |
If, on any potential autocall date, the
closing value of the worst performing underlying on that potential
autocall date is greater than or equal to its initial underlying
value, each security you then hold will be automatically called on
that potential autocall date for redemption on the immediately
following contingent coupon payment date for an amount in cash
equal to $1,000.00 plus the related contingent coupon
payment. The automatic early redemption feature may
significantly limit your potential return on the securities. If the
worst performing underlying performs in a way that would otherwise
be favorable, the securities are likely to be automatically called
for redemption prior to maturity, cutting short your opportunity to
receive contingent coupon payments. The securities may be
automatically called for redemption as early as the first potential
autocall date specified below. |
Potential autocall
dates: |
The valuation dates scheduled to occur on August 23, 2021,
November 23, 2021, February 23, 2022, May 23, 2022, August 23, 2022
and November 23, 2022 |
Final underlying
value: |
For each underlying, its closing value on the final valuation
date |
Worst performing
underlying: |
For any valuation date, the underlying with the lowest
underlying return determined as of that valuation date |
Underlying
return: |
For each underlying on any valuation date, (i) its closing
value on that valuation date minus its initial underlying
value, divided by (ii) its initial underlying value |
CUSIP / ISIN: |
17328YJA3 / US17328YJA38 |
Citigroup Global Markets Holdings
Inc. |
|
Additional Information
General. The terms of the securities are set forth in the
accompanying product supplement, prospectus supplement and
prospectus, as supplemented by this pricing supplement. The
accompanying product supplement, prospectus supplement and
prospectus contain important disclosures that are not repeated in
this pricing supplement. For example, the accompanying product
supplement contains important information about how the closing
value of each underlying will be determined and about adjustments
that may be made to the terms of the securities upon the occurrence
of market disruption events and other specified events with respect
to each underlying. The accompanying underlying supplement contains
information about each underlying that is not repeated in this
pricing supplement. It is important that you read the accompanying
product supplement, underlying supplement, prospectus supplement
and prospectus together with this pricing supplement in deciding
whether to invest in the securities. Certain terms used but not
defined in this pricing supplement are defined in the accompanying
product supplement.
Closing Value. The “closing value” of an underlying on any
date is (i) in the case of an underlying that is an underlying
index, its closing level on such date and (ii) in the case of an
underlying that is an underlying ETF, the closing price of its
underlying shares on such date, as provided in the accompanying
product supplement. The “underlying shares” of an underlying ETF
are its shares that are traded on a U.S. national securities
exchange. Please see the accompanying product supplement for more
information.
Prospectus. The first sentence of “Description of Debt
Securities— Events of Default and Defaults” in the accompanying
prospectus shall be amended to read in its entirety as follows:
Events of default under the indenture are:
|
· |
failure of Citigroup Global Markets Holdings or Citigroup to
pay required interest on any debt security of such series for 30
days; |
|
· |
failure of Citigroup Global Markets Holdings or Citigroup to
pay principal, other than a scheduled installment payment to a
sinking fund, on any debt security of such series for 30 days; |
|
· |
failure of Citigroup Global Markets Holdings or Citigroup to
make any required scheduled installment payment to a sinking fund
for 30 days on debt securities of such series; |
|
· |
failure of Citigroup Global Markets Holdings to perform for 90
days after notice any other covenant in the indenture applicable to
it other than a covenant included in the indenture solely for the
benefit of a series of debt securities other than such series;
and |
|
· |
certain events of bankruptcy or insolvency of Citigroup Global
Markets Holdings, whether voluntary or not (Section
6.01). |
Citigroup Global Markets Holdings
Inc. |
|
Hypothetical Examples
The examples in the first section below illustrate how to determine
whether a contingent coupon will be paid and whether the securities
will be automatically called for redemption following a valuation
date that is also a potential autocall date. The examples in the
second section below illustrate how to determine the payment at
maturity on the securities, assuming the securities are not
automatically redeemed prior to maturity. The examples are solely
for illustrative purposes, do not show all possible outcomes and
are not a prediction of any payment that may be made on the
securities.
The examples below are based on the following hypothetical values
and do not reflect the actual initial underlying values, coupon
barrier values or final buffer values of the underlyings. For the
actual initial underlying value, coupon barrier value and final
buffer value of each underlying, see the cover page of this pricing
supplement. We have used these hypothetical values, rather than the
actual values, to simplify the calculations and aid understanding
of how the securities work. However, you should understand that the
actual payments on the securities will be calculated based on the
actual initial underlying value, coupon barrier value and final
buffer value of each underlying, and not the hypothetical values
indicated below. For ease of analysis, figures below have been
rounded.
Underlying |
Hypothetical initial underlying
value |
Hypothetical coupon barrier
value |
Hypothetical final buffer
value |
S&P 500® Index |
100.00 |
75.00 (75.00% of its hypothetical initial underlying value) |
85.00 (85.00% of its hypothetical initial underlying value) |
VanEck Vectors® Gold Miners ETF |
$100.00 |
$75.00 (75.00% of its hypothetical initial underlying value) |
$85.00 (85.00% of its hypothetical initial underlying value) |
Hypothetical Examples of Contingent Coupon Payments and any
Payment upon Automatic Early Redemption Following a Valuation Date
that is also a Potential Autocall Date
The three hypothetical examples below illustrate how to determine
whether a contingent coupon will be paid and whether the securities
will be automatically redeemed following a hypothetical valuation
date that is also a potential autocall date, assuming that the
closing values of the underlyings on the hypothetical valuation
date are as indicated below.
|
Hypothetical closing value of the S&P 500® Index
on hypothetical valuation date |
Hypothetical closing value of the VanEck Vectors®
Gold Miners ETF on hypothetical valuation date |
Hypothetical payment per $1,000.00 security on related
contingent coupon payment date |
Example 1 |
120
(underlying return =
(120 - 100) / 100 = 20%) |
$85
(underlying return =
($85 - $100) / $100 = -15%) |
$6.6667
(contingent coupon is paid; securities not redeemed) |
Example 2 |
45
(underlying return =
(45 - 100) / 100 = -55%) |
$120
(underlying return =
($120 - $100) / $100 = 20%) |
$0.00
(no contingent coupon; securities not redeemed) |
Example 3 |
110
(underlying return =
(110 - 100) / 100 = 10%) |
$115
(underlying return =
($115 - $100) / $100 = 15%) |
$1,006.6667
(contingent coupon is paid; securities redeemed) |
Example 1: On the
hypothetical valuation date, the VanEck Vectors® Gold
Miners ETF has the lowest underlying return and, therefore, is the
worst performing underlying on the hypothetical valuation date. In
this scenario, the closing value of the worst performing underlying
on the hypothetical valuation date is greater than its coupon
barrier value but less than its initial underlying value. As a
result, investors in the securities would receive the contingent
coupon payment on the related contingent coupon payment date and
the securities would not be automatically redeemed.
Example 2: On the
hypothetical valuation date, the S&P 500® Index has
the lowest underlying return and, therefore, is the worst
performing underlying on the hypothetical valuation date. In this
scenario, the closing value of the worst performing underlying on
the hypothetical valuation date is less than its coupon barrier
value. As a result, investors would not receive any payment on the
related contingent coupon payment date and the securities would not
be automatically redeemed.
Investors in the securities will not receive a contingent coupon
on the contingent coupon payment date following a valuation date if
the closing value of the worst performing underlying on that
valuation date is less than its coupon barrier value. Whether a
contingent coupon is paid following a valuation date depends solely
on the closing value of the worst performing underlying on that
valuation date.
Example 3: On the
hypothetical valuation date, the S&P 500® Index has
the lowest underlying return and, therefore, is the worst
performing underlying on the hypothetical valuation date. In this
scenario, the closing value of the worst performing underlying on
the hypothetical valuation date is greater than both its coupon
barrier value and its initial underlying value. As a result, the
securities would be automatically redeemed on the related
contingent coupon payment date for an amount in cash equal to
$1,000.00 plus the related contingent coupon payment.
If the hypothetical valuation date were not also a potential
autocall date, the securities would not be automatically redeemed
on the related contingent coupon payment date.
Citigroup Global Markets Holdings
Inc. |
|
Hypothetical Examples of the Payment at Maturity on the
Securities
The next three hypothetical examples illustrate the calculation of
the payment at maturity on the securities, assuming that the
securities have not been earlier automatically redeemed and that
the final underlying values of the underlyings are as indicated
below.
|
Hypothetical final underlying value of the S&P
500® Index |
Hypothetical final underlying value of the VanEck
Vectors® Gold Miners ETF |
Hypothetical payment at maturity per $1,000.00 security |
Example 4 |
110
(underlying return =
(110 - 100) / 100 = 10%) |
$120
(underlying return =
($120 - $100) / $100 = 20%) |
$1,006.6667
(contingent coupon is paid) |
Example 5 |
110
(underlying return =
(110 - 100) / 100 = 10%) |
$50
(underlying return =
($50 - $100) / $100 = -50%) |
$650.00 |
Example 6 |
20
(underlying return =
(20 - 100) / 100 = -80%) |
$55
(underlying return =
($55 - $100) / $100 = -45%) |
$350.00 |
Example 4: On the final
valuation date, the S&P 500® Index has the lowest
underlying return and, therefore, is the worst performing
underlying on the final valuation date. In this scenario, the final
underlying value of the worst performing underlying on the final
valuation date is greater than its final buffer value. Accordingly,
at maturity, you would receive the stated principal amount of the
securities plus the contingent coupon payment due at
maturity, but you would not participate in the appreciation of any
of the underlyings.
Example 5: On the final
valuation date, the VanEck Vectors® Gold Miners ETF has
the lowest underlying return and, therefore, is the worst
performing underlying on the final valuation date. In this
scenario, the final underlying value of the worst performing
underlying on the final valuation date is less than its final
buffer value. Accordingly, at maturity, you would receive a payment
per security calculated as follows:
Payment at maturity = $1,000.00 + [$1,000.00 × (the underlying
return of the worst performing underlying on the final valuation
date + the buffer percentage)]
=
$1,000.00 + [$1,000.00 × (-50.00% + 15.00%)]
=
$1,000.00 + ($1,000.00 × -35.00%)
=
$1,000.00 + -$350.00
=
$650.00
In this scenario, because the final underlying value of the worst
performing underlying on the final valuation date is less than its
final buffer value, you would lose a portion of your investment in
the securities. Your payment at maturity would reflect a loss of 1%
of the stated principal amount of your securities for every 1% by
which the depreciation of the worst performing underlying on the
final valuation date has exceeded the buffer percentage. In
addition, because the final underlying value of the worst
performing underlying on the final valuation date is below its
coupon barrier value, you would not receive any contingent coupon
payment at maturity.
Example 6: On the final
valuation date, the S&P 500® Index has the lowest
underlying return and, therefore, is the worst performing
underlying on the final valuation date. In this scenario, the final
underlying value of the worst performing underlying on the final
valuation date is less than its final buffer value. Accordingly, at
maturity, you would receive a payment per security calculated as
follows:
Payment at maturity = $1,000.00 + [$1,000.00 × (the underlying
return of the worst performing underlying on the final valuation
date + the buffer percentage)]
=
$1,000.00 + [$1,000.00 × (-80.00% + 15.00%)]
=
$1,000.00 + ($1,000.00 × -65.00%)
=
$1,000.00 + -$650.00
=
$350.00
In this scenario, because the final underlying value of the worst
performing underlying on the final valuation date is less than its
final buffer value, you would lose a significant portion of your
investment in the securities. Your payment at maturity would
reflect a loss of 1% of the stated principal amount of your
securities for every 1% by which the depreciation of the worst
performing underlying on the final valuation date has exceeded the
buffer percentage. In addition, because the final underlying value
of the worst performing underlying on the final valuation date is
below its coupon barrier value, you would not receive any
contingent coupon payment at maturity.
It is possible that the closing value of the worst performing
underlying will be less than its coupon barrier value on each
valuation date and less than its final buffer value on the final
valuation date, such that you will not receive any contingent
coupon payments over the term of the securities and will receive
significantly less than the stated principal amount of your
securities at maturity.
Citigroup Global Markets Holdings
Inc. |
|
Summary Risk Factors
An investment in the securities is significantly riskier than an
investment in conventional debt securities. The securities are
subject to all of the risks associated with an investment in our
conventional debt securities (guaranteed by Citigroup Inc.),
including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks
associated with each underlying. Accordingly, the securities are
suitable only for investors who are capable of understanding the
complexities and risks of the securities. You should consult your
own financial, tax and legal advisors as to the risks of an
investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for
investors in the securities. You should read this summary together
with the more detailed description of risks relating to an
investment in the securities contained in the section “Risk Factors
Relating to the Securities” beginning on page EA-7 in the
accompanying product supplement. You should also carefully read the
risk factors included in the accompanying prospectus supplement and
in the documents incorporated by reference in the accompanying
prospectus, including Citigroup Inc.’s most recent Annual Report on
Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which
describe risks relating to the business of Citigroup Inc. more
generally.
|
§ |
You may lose a significant portion of your investment.
Unlike conventional debt securities, the securities do not provide
for the repayment of the stated principal amount at maturity in all
circumstances. If the securities are not automatically redeemed
prior to maturity, your payment at maturity will depend on the
final underlying value of the worst performing underlying on the
final valuation date. If the final underlying value of the worst
performing underlying on the final valuation date is less than its
final buffer value, which means that the worst performing
underlying on the final valuation date has depreciated from its
initial underlying value by more than the buffer percentage, you
will lose 1% of the stated principal amount of your securities for
every 1% by which that depreciation exceeds the buffer
percentage. |
|
§ |
You will not receive any contingent coupon on the contingent
coupon payment date following any valuation date on which the
closing value of the worst performing underlying on that valuation
date is less than its coupon barrier value. A contingent coupon
payment will be made on a contingent coupon payment date if and
only if the closing value of the worst performing underlying on the
immediately preceding valuation date is greater than or equal to
its coupon barrier value. If the closing value of the worst
performing underlying on any valuation date is less than its coupon
barrier value, you will not receive any contingent coupon payment
on the immediately following contingent coupon payment date. If the
closing value of the worst performing underlying on each valuation
date is below its coupon barrier value, you will not receive any
contingent coupon payments over the term of the securities. |
|
§ |
Higher contingent coupon rates are associated with greater
risk. The securities offer contingent coupon payments at an
annualized rate that, if all are paid, would produce a yield that
is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is
associated with greater levels of expected risk as of the pricing
date for the securities, including the risk that you may not
receive a contingent coupon payment on one or more, or any,
contingent coupon payment dates and the risk that the value of what
you receive at maturity may be significantly less than the stated
principal amount of your securities. The volatility of, and
correlation between, the closing values of the underlyings are
important factors affecting these risks. Greater expected
volatility of, and lower expected correlation between, the closing
values of the underlyings as of the pricing date may result in a
higher contingent coupon rate, but would also represent a greater
expected likelihood as of the pricing date that the closing value
of the worst performing underlying on one or more valuation dates
will be less than its coupon barrier value, such that you will not
receive one or more, or any, contingent coupon payments during the
term of the securities and that the final underlying value of the
worst performing underlying on the final valuation date will be
less than its final buffer value, such that you will not be repaid
the stated principal amount of your securities at maturity. |
|
§ |
The securities are subject to heightened risk because they
have multiple underlyings. The securities are more risky than
similar investments that may be available with only one underlying.
With multiple underlyings, there is a greater chance that any one
underlying will perform poorly, adversely affecting your return on
the securities. |
|
§ |
The securities are subject to the risks of each of the
underlyings and will be negatively affected if any one underlying
performs poorly. You are subject to risks associated with each
of the underlyings. If any one underlying performs poorly, you will
be negatively affected. The securities are not linked to a basket
composed of the underlyings, where the blended performance of the
underlyings would be better than the performance of the worst
performing underlying alone. Instead, you are subject to the full
risks of whichever of the underlyings is the worst performing
underlying. |
|
§ |
You will not benefit in any way from the performance of any
better performing underlying. The return on the securities
depends solely on the performance of the worst performing
underlying, and you will not benefit in any way from the
performance of any better performing underlying. |
|
§ |
You will be subject to risks relating to the relationship
between the underlyings. It is preferable from your perspective
for the underlyings to be correlated with each other, in the sense
that their closing values tend to increase or decrease at similar
times and by similar magnitudes. By investing in the securities,
you assume the risk that the underlyings will not exhibit this
relationship. The less correlated the underlyings, the more likely
it is that any one of the underlyings will perform poorly over the
term of the securities. All that is necessary for the securities to
perform poorly is for one of the underlyings to perform poorly. It
is impossible to predict what the relationship between the
underlyings will be over the term of the securities. The
underlyings differ in significant ways and, therefore, may not be
correlated with each other. |
|
§ |
You may not be adequately compensated for assuming the
downside risk of the worst performing underlying. The potential
contingent coupon payments on the securities are the compensation
you receive for assuming the downside risk of the worst performing
underlying, as well as all the other risks of the securities. That
compensation is effectively “at risk” and may, therefore, be less
than you currently anticipate. First, the actual yield you realize
on the securities could be lower than you anticipate because the
coupon is |
Citigroup Global Markets Holdings
Inc. |
|
“contingent” and you may not receive a contingent coupon payment on
one or more, or any, of the contingent coupon payment dates.
Second, the contingent coupon payments are the compensation you
receive not only for the downside risk of the worst performing
underlying, but also for all of the other risks of the securities,
including the risk that the securities may be automatically
redeemed prior to maturity, interest rate risk and our and
Citigroup Inc.’s credit risk. If those other risks increase or are
otherwise greater than you currently anticipate, the contingent
coupon payments may turn out to be inadequate to compensate you for
all the risks of the securities, including the downside risk of the
worst performing underlying.
|
§ |
The securities may be automatically redeemed prior to
maturity, limiting your opportunity to receive contingent coupon
payments. On any potential autocall date, the securities will
be automatically called for redemption if the closing value of the
worst performing underlying on that potential autocall date is
greater than or equal to its initial underlying value. As a result,
if the worst performing underlying performs in a way that would
otherwise be favorable, the securities are likely to be
automatically redeemed, cutting short your opportunity to receive
contingent coupon payments. If the securities are automatically
redeemed prior to maturity, you may not be able to reinvest your
funds in another investment that provides a similar yield with a
similar level of risk. |
|
§ |
The securities offer downside exposure to the worst
performing underlying, but no upside exposure to any
underlying. You will not participate in any appreciation in the
value of any underlying over the term of the securities.
Consequently, your return on the securities will be limited to the
contingent coupon payments you receive, if any, and may be
significantly less than the return on any underlying over the term
of the securities. In addition, as an investor in the securities,
you will not receive any dividends or other distributions or have
any other rights with respect to any of the underlyings. |
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The performance of the securities will depend on the closing
values of the underlyings solely on the valuation dates, which
makes the securities particularly sensitive to volatility in the
closing values of the underlyings on or near the valuation
dates. Whether the contingent coupon will be paid on any given
contingent coupon payment date and whether the securities will be
automatically redeemed prior to maturity will depend on the closing
values of the underlyings solely on the applicable valuation dates,
regardless of the closing values of the underlyings on other days
during the term of the securities. If the securities are not
automatically redeemed prior to maturity, what you receive at
maturity will depend solely on the closing value of the worst
performing underlying on the final valuation date, and not on any
other day during the term of the securities. Because the
performance of the securities depends on the closing values of the
underlyings on a limited number of dates, the securities will be
particularly sensitive to volatility in the closing values of the
underlyings on or near the valuation dates. You should understand
that the closing value of each underlying has historically been
highly volatile. |
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The securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc. If we default
on our obligations under the securities and Citigroup Inc. defaults
on its guarantee obligations, you may not receive anything owed to
you under the securities. |
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The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity. The
securities will not be listed on any securities exchange.
Therefore, there may be little or no secondary market for the
securities. CGMI currently intends to make a secondary market in
relation to the securities and to provide an indicative bid price
for the securities on a daily basis. Any indicative bid price for
the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and
other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may
suspend or terminate making a market and providing indicative bid
prices without notice, at any time and for any reason. If CGMI
suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI
will be the only broker-dealer that is willing to buy your
securities prior to maturity. Accordingly, an investor must be
prepared to hold the securities until maturity. |
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The estimated value of the securities on the pricing date,
based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is
attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price.
These costs include (i) any selling concessions or other fees paid
in connection with the offering of the securities, (ii) hedging and
other costs incurred by us and our affiliates in connection with
the offering of the securities and (iii) the expected profit (which
may be more or less than actual profit) to CGMI or other of our
affiliates in connection with hedging our obligations under the
securities. These costs adversely affect the economic terms of the
securities because, if they were lower, the economic terms of the
securities would be more favorable to you. The economic terms of
the securities are also likely to be adversely affected by the use
of our internal funding rate, rather than our secondary market
rate, to price the securities. See “The estimated value of the
securities would be lower if it were calculated based on our
secondary market rate” below. |
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The estimated value of the securities was determined for us
by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing
supplement from its proprietary pricing models. In doing so, it may
have made discretionary judgments about the inputs to its models,
such as the volatility of, and correlation between, the closing
values of the underlyings, dividend yields on the underlyings and
interest rates. CGMI’s views on these inputs may differ from your
or others’ views, and as an underwriter in this offering, CGMI’s
interests may conflict with yours. Both the models and the inputs
to the models may prove to be wrong and therefore not an accurate
reflection of the value of the securities. Moreover, the estimated
value of the securities set forth on the cover page of this pricing
supplement may differ from the value that we or our affiliates may
determine for the securities for other purposes, including for
accounting purposes. You should not invest in the securities
because of the estimated value of the securities. Instead, you
should be willing to hold the securities to maturity irrespective
of the initial estimated value. |
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The estimated value of the securities would be lower if it
were calculated based on our secondary market rate. The
estimated value of the securities included in this pricing
supplement is calculated based on our internal funding rate, which
is the rate at which we are willing to borrow funds through the
issuance of the securities. Our internal funding rate is generally
lower than our secondary market rate, which is the rate that CGMI
will use in determining the value of the securities for purposes of
any purchases of the securities from you in the secondary market.
If the estimated value included in this pricing supplement were
based on our secondary market rate, rather |
Citigroup Global Markets Holdings
Inc. |
|
than our internal funding rate, it would likely be lower. We
determine our internal funding rate based on factors such as the
costs associated with the securities, which are generally higher
than the costs associated with conventional debt securities, and
our liquidity needs and preferences. Our internal funding rate is
not an interest rate that is payable on the securities.
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our
secondary market rate based on the market price of traded
instruments referencing the debt obligations of Citigroup Inc., our
parent company and the guarantor of all payments due on the
securities, but subject to adjustments that CGMI makes in its sole
discretion. As a result, our secondary market rate is not a
market-determined measure of our creditworthiness, but rather
reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as
CGMI’s preferences with respect to purchasing the securities prior
to maturity.
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The estimated value of the securities is not an indication
of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term of the
securities based on the market and other factors described in the
next risk factor. Moreover, unlike the estimated value included in
this pricing supplement, any value of the securities determined for
purposes of a secondary market transaction will be based on our
secondary market rate, which will likely result in a lower value
for the securities than if our internal funding rate were used. In
addition, any secondary market price for the securities will be
reduced by a bid-ask spread, which may vary depending on the
aggregate stated principal amount of the securities to be purchased
in the secondary market transaction, and the expected cost of
unwinding related hedging transactions. As a result, it is likely
that any secondary market price for the securities will be less
than the issue price. |
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The value of the securities prior to maturity will fluctuate
based on many unpredictable factors. The value of your
securities prior to maturity will fluctuate based on the closing
values of the underlyings, the volatility of, and correlation
between, the closing values of the underlyings, dividend yields on
the underlyings, interest rates generally, the time remaining to
maturity and our and Citigroup Inc.’s creditworthiness, as
reflected in our secondary market rate, among other factors
described under “Risk Factors Relating to the Securities—Risk
Factors Relating to All Securities—The value of your securities
prior to maturity will fluctuate based on many unpredictable
factors” in the accompanying product supplement. Changes in the
closing values of the underlyings may not result in a comparable
change in the value of your securities. You should understand that
the value of your securities at any time prior to maturity may be
significantly less than the issue price. |
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Immediately following issuance, any secondary market bid
price provided by CGMI, and the value that will be indicated on any
brokerage account statements prepared by CGMI or its affiliates,
will reflect a temporary upward adjustment. The amount of this
temporary upward adjustment will steadily decline to zero over the
temporary adjustment period. See “Valuation of the Securities” in
this pricing supplement. |
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The VanEck Vectors® Gold Miners ETF is subject to
risks associated with non-U.S. markets. Investments linked to
the value of non-U.S. stocks involve risks associated with the
securities markets in those countries, including risks of
volatility in those markets, governmental intervention in those
markets and cross-shareholdings in companies in certain countries.
Also, there is generally less publicly available information about
companies in some of these jurisdictions than about U.S. companies
that are subject to the reporting requirements of the SEC. Further,
non-U.S. companies are generally subject to accounting, auditing
and financial reporting standards and requirements and securities
trading rules that are different from those applicable to U.S.
reporting companies. The prices of securities in foreign markets
may be affected by political, economic, financial and social
factors in those countries, or global regions, including changes in
government, economic and fiscal policies and currency exchange
laws. Moreover, the economies in such countries may differ
favorably or unfavorably from the economy of the United States in
such respects as growth of gross national product, rate of
inflation, capital reinvestment, resources and
self-sufficiency. |
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Fluctuations in exchange rates will affect the closing value
of the VanEck Vectors® Gold Miners ETF. Because the
VanEck Vectors® Gold Miners ETF includes stocks that
trade outside the United States and the closing value of the VanEck
Vectors® Gold Miners ETF is based on the U.S. dollar
value of those stocks, the VanEck Vectors® Gold Miners
ETF is subject to currency exchange rate risk with respect to each
of the currencies in which such stocks trade. Exchange rate
movements may be volatile and may be driven by numerous factors
specific to the relevant countries, including the supply of, and
the demand for, the applicable currencies, as well as government
policy and intervention and macroeconomic factors. Exchange rate
movements may also be influenced significantly by speculative
trading. In general, if the U.S. dollar strengthens against the
currencies in which the stocks included in the VanEck
Vectors® Gold Miners ETF trade, the closing value of the
VanEck Vectors® Gold Miners ETF will be adversely
affected for that reason alone. |
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The VanEck Vectors® Gold Miners ETF is subject to
risks associated with the gold and silver mining industries.
The equity securities included in the NYSE Arca Gold Miners Index
and that are generally tracked by the VanEck Vectors®
Gold Miners ETF are common stocks and American depositary receipts
(“ADRs”) of companies primarily engaged in mining for gold and
silver. The shares of the VanEck Vectors® Gold Miners
ETF may be subject to increased price volatility as they are linked
to a single industry, market or sector and may be more susceptible
to adverse economic, market, political or regulatory occurrences
affecting that industry, market or sector. |
Because the VanEck Vectors® Gold Miners ETF invests
primarily in common stocks and ADRs of companies that are involved
in the gold mining industries, the underlying shares of the VanEck
Vectors® Gold Miners ETF are subject to certain risks
associated with such companies. Competitive pressures may have a
significant effect on the financial condition of such companies in
the gold mining industry. Also, gold mining companies are highly
dependent on the price of gold. The price of gold is primarily
affected by the global demand for and supply of gold. The market
for gold bullion is global, and gold prices are subject to volatile
price movements over short periods of time and are affected by
numerous factors, including macroeconomic factors, such as the
structure of and confidence in the global monetary system,
expectations regarding the future rate of inflation, the relative
strength of, and confidence in, the U.S. dollar (the currency in
which the price of gold is usually quoted), interest rates, gold
borrowing and lending rates and global or regional economic,
financial, political, regulatory, judicial or other events. Gold
prices may be affected by industry factors, such as industrial and
jewelry demand as well as lending, sales and purchases of gold by
the official sector, including central banks and other governmental
agencies
Citigroup Global Markets Holdings
Inc. |
|
and multilateral institutions that hold gold. Additionally, gold
prices may be affected by levels of gold production, production
costs and short-term changes in supply and demand due to trading
activities in the gold market. From time to time, above-ground
inventories of gold may also influence the market. It is not
possible to predict the aggregate effect of all or any combination
of these factors. The price of gold has recently been, and may
continue to be, extremely volatile.
The VanEck Vectors® Gold Miners ETF invests, to a lesser
extent, in common stocks and ADRs of companies involved in the
silver mining industry. Silver mining companies are highly
dependent on the price of silver. The price of silver is primarily
affected by global demand for and supply of silver. Silver prices
can fluctuate widely and may be affected by numerous factors. These
include general economic trends, technical developments,
substitution issues and regulation, as well as specific factors
including industrial and jewelry demand, expectations with respect
to the rate of inflation, the relative strength of the U.S. dollar
(the currency in which the price of silver is generally quoted) and
other currencies, interest rates, central bank sales, forward sales
by producers, global or regional political or economic events and
production costs and disruptions in major silver-producing
countries, such as Mexico, China and Peru. The demand for and
supply of silver affect silver prices, but not necessarily in the
same manner as supply and demand affect the prices of other
commodities. The supply of silver consists of a combination of new
mine production and existing stocks of bullion and fabricated
silver held by governments, public and private financial
institutions, industrial organizations and private individuals. In
addition, the price of silver has on occasion been subject to very
rapid short-term changes due to speculative activities. From time
to time, above-ground inventories of silver may also influence the
market. The major end uses for silver include industrial
applications, jewelry and silverware.
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Our offering of the securities is not a recommendation of
any underlying. The fact that we are offering the securities
does not mean that we believe that investing in an instrument
linked to the underlyings is likely to achieve favorable returns.
In fact, as we are part of a global financial institution, our
affiliates may have positions (including short positions) in the
underlyings or in instruments related to the underlyings, and may
publish research or express opinions, that in each case are
inconsistent with an investment linked to the underlyings. These
and other activities of our affiliates may affect the closing
values of the underlyings in a way that negatively affects the
value of and your return on the securities. |
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The closing value of an underlying may be adversely affected
by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through
CGMI or other of our affiliates, who may take positions in the
underlyings or in financial instruments related to the underlyings
and may adjust such positions during the term of the securities.
Our affiliates also take positions in the underlyings or in
financial instruments related to the underlyings on a regular basis
(taking long or short positions or both), for their accounts, for
other accounts under their management or to facilitate transactions
on behalf of customers. These activities could affect the closing
values of the underlyings in a way that negatively affects the
value of and your return on the securities. They could also result
in substantial returns for us or our affiliates while the value of
the securities declines. |
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We and our affiliates may have economic interests that are
adverse to yours as a result of our affiliates’ business
activities. Our affiliates engage in business activities with a
wide range of companies. These activities include extending loans,
making and facilitating investments, underwriting securities
offerings and providing advisory services. These activities could
involve or affect the underlyings in a way that negatively affects
the value of and your return on the securities. They could also
result in substantial returns for us or our affiliates while the
value of the securities declines. In addition, in the course of
this business, we or our affiliates may acquire non-public
information, which will not be disclosed to you. |
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The calculation agent, which is an affiliate of ours, will
make important determinations with respect to the securities.
If certain events occur during the term of the securities, such as
market disruption events and other events with respect to an
underlying, CGMI, as calculation agent, will be required to make
discretionary judgments that could significantly affect your return
on the securities. In making these judgments, the calculation
agent’s interests as an affiliate of ours could be adverse to your
interests as a holder of the securities. See “Risk Factors Relating
to the Securities—Risk Factors Relating to All Securities—The
calculation agent, which is an affiliate of ours, will make
important determinations with respect to the securities” in the
accompanying product supplement. |
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In the case of an underlying that is an underlying ETF, even
if the underlying pays a dividend that it identifies as special or
extraordinary, no adjustment will be required under the securities
for that dividend unless it meets the criteria specified in the
accompanying product supplement. In general, an adjustment will
not be made under the terms of the securities for any cash dividend
paid by the underlying unless the amount of the dividend per share,
together with any other dividends paid in the same quarter, exceeds
the dividend paid per share in the most recent quarter by an amount
equal to at least 10% of the closing value of that underlying on
the date of declaration of the dividend. Any dividend will reduce
the closing value of the underlying by the amount of the dividend
per share. If the underlying pays any dividend for which an
adjustment is not made under the terms of the securities, holders
of the securities will be adversely affected. See “Description of
the Securities—Certain Additional Terms for Securities Linked to an
Underlying Company or an Underlying ETF—Dilution and Reorganization
Adjustments—Certain Extraordinary Cash Dividends” in the
accompanying product supplement. |
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In the case of an underlying that is an underlying ETF, the
securities will not be adjusted for all events that may have a
dilutive effect on or otherwise adversely affect the closing value
of the underlying. For example, we will not make any adjustment
for ordinary dividends or extraordinary dividends that do not meet
the criteria described above, partial tender offers or additional
underlying share issuances. Moreover, the adjustments we do make
may not fully offset the dilutive or adverse effect of the
particular event. Investors in the securities may be adversely
affected by such an event in a circumstance in which a direct
holder of the underlying shares of the underlying would not. |
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In the case of an underlying that is an underlying ETF, the
securities may become linked to an underlying other than the
original underlying upon the occurrence of a reorganization event
or upon the delisting of the underlying shares of that original
underlying. For example, if the underlying enters into a merger
agreement that provides for holders of its underlying shares to
receive shares of another entity and such shares are marketable
securities, the closing value of that underlying following
consummation of the merger will be based on the value of such other
shares. Additionally, if the underlying shares of the underlying
are delisted, the |
Citigroup Global Markets Holdings
Inc. |
|
calculation agent may select a successor underlying. See
“Description of the Securities—Certain Additional Terms for
Securities Linked to an Underlying Company or an Underlying ETF” in
the accompanying product supplement.
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In the case of the underlying that is an underlying ETF, the
value and performance of the underlying shares of the underlying
may not completely track the performance of the underlying index
that the underlying seeks to track or the net asset value per share
of the underlying. In the case of the underlying that is an
underlying ETF, the underlying does not fully replicate the
underlying index that it seeks to track and may hold securities
different from those included in its underlying index. In addition,
the performance of the underlying will reflect additional
transaction costs and fees that are not included in the calculation
of its underlying index. All of these factors may lead to a lack of
correlation between the performance of the underlying and its
underlying index. In addition, corporate actions with respect to
the equity securities held by the underlying (such as mergers and
spin-offs) may impact the variance between the performance of the
underlying and its underlying index. Finally, because the
underlying shares are traded on an exchange and are subject to
market supply and investor demand, the closing value of the
underlying may differ from the net asset value per share of the
underlying. |
During periods of market volatility, securities included in the
underlying’s underlying index may be unavailable in the secondary
market, market participants may be unable to calculate accurately
the net asset value per share of the underlying and the liquidity
of the underlying may be adversely affected. This kind of market
volatility may also disrupt the ability of market participants to
create and redeem shares of the underlying. Further, market
volatility may adversely affect, sometimes materially, the price at
which market participants are willing to buy and sell the
underlying shares. As a result, under these circumstances, the
closing value of the underlying may vary substantially from the net
asset value per share of the underlying. For all of the foregoing
reasons, the performance of the underlying may not correlate with
the performance of its underlying index and/or its net asset value
per share, which could materially and adversely affect the value of
the securities and/or reduce your return on the securities.
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Changes that affect the underlyings may affect the value of
your securities. The sponsors of the underlyings may at any
time make methodological changes or other changes in the manner in
which they operate that could affect the values of the underlyings.
We are not affiliated with any such underlying sponsor and,
accordingly, we have no control over any changes any such sponsor
may make. Such changes could adversely affect the performance of
the underlyings and the value of and your return on the
securities. |
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The U.S. federal tax consequences of an investment in the
securities are unclear. There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities,
and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax
treatment of the securities are uncertain, and the IRS or a court
might not agree with the treatment of the securities as described
in “United States Federal Tax Considerations” below. If the IRS
were successful in asserting an alternative treatment of the
securities, the tax consequences of the ownership and disposition
of the securities might be materially and adversely affected.
Moreover, future legislation, Treasury regulations or IRS guidance
could adversely affect the U.S. federal tax treatment of the
securities, possibly retroactively. |
Non-U.S. investors should note that persons having withholding
responsibility in respect of the securities may withhold on any
coupon payment paid to a non-U.S. investor, generally at a rate of
30%. To the extent that we have withholding responsibility in
respect of the securities, we intend to so withhold.
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the
Securities” in the accompanying product supplement and “United
States Federal Tax Considerations” in this pricing supplement. You
should also consult your tax adviser regarding the U.S. federal tax
consequences of an investment in the securities, as well as tax
consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
Citigroup Global Markets Holdings
Inc. |
|
Information About the S&P 500® Index
The S&P 500® Index consists of the common stocks of
500 issuers selected to provide a performance benchmark for the
large capitalization segment of the U.S. equity markets. It is
calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions— The S&P
U.S. Indices” in the accompanying underlying supplement for
additional information.
We have derived all information regarding the S&P
500® Index from publicly available information and have
not independently verified any information regarding the S&P
500® Index. This pricing supplement relates only to the
securities and not to the S&P 500® Index. We make no
representation as to the performance of the S&P 500®
Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of
the S&P 500® Index is not involved in any way in
this offering and has no obligation relating to the securities or
to holders of the securities.
Historical Information
The closing value of the S&P 500® Index on February
23, 2021 was 3,881.37.
The graph below shows the closing value of the S&P
500® Index for each day such value was available from
January 3, 2011 to February 23, 2021. We obtained the closing
values from Bloomberg L.P., without independent verification. You
should not take historical closing values as an indication of
future performance.
S&P 500® Index –
Historical Closing Values January 3,
2011 to February 23, 2021 |
 |
Citigroup Global Markets Holdings
Inc. |
|
Information About the VanEck Vectors® Gold Miners
ETF
The VanEck Vectors® Gold Miners ETF is an
exchange-traded fund that seeks to provide investment results that
correspond generally to the price and yield performance, before
fees and expenses, of publicly traded securities involved primarily
in the mining of gold or silver, as measured by the NYSE Arca Gold
Miners Index. The NYSE Arca Gold Miners Index is a modified market
capitalization weighted index composed of publicly traded companies
involved primarily in the mining of gold or silver.
The VanEck Vectors® Gold Miners ETF is an investment
portfolio of VanEck Vectors® ETF Trust.
Information provided to or filed with the SEC by VanEck Vectors ETF
Trust pursuant to the Securities Act of 1933, as amended, and the
Investment Company Act of 1940, as amended, can be located by
reference to SEC file numbers 333-123257 and 811-10325,
respectively, through the SEC’s website at http://www.sec.gov. In
addition, information may be obtained from other sources including,
but not limited to, press releases, newspaper articles and other
publicly disseminated documents. The underlying shares of the
VanEck Vectors® Gold Miners ETF trade on the NYSE Arca
under the ticker symbol “GDX.”
Please refer to the section “Fund Descriptions— The VanEck
Vectors® ETFs” in the accompanying underlying supplement
for additional information.
We have derived all information regarding the VanEck
Vectors® Gold Miners ETF from publicly available
information and have not independently verified any information
regarding the VanEck Vectors® Gold Miners ETF. This
pricing supplement relates only to the securities and not to the
VanEck Vectors® Gold Miners ETF. We make no
representation as to the performance of the VanEck
Vectors® Gold Miners ETF over the term of the
securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of
the VanEck Vectors® Gold Miners ETF is not involved in
any way in this offering and has no obligation relating to the
securities or to holders of the securities.
Historical Information
The closing value of the VanEck Vectors® Gold Miners ETF
on February 23, 2021 was $33.44.
The graph below shows the closing value of the VanEck
Vectors® Gold Miners ETF for each day such value was
available from January 3, 2011 to February 23, 2021. We obtained
the closing values from Bloomberg L.P., without independent
verification. You should not take historical closing values as an
indication of future performance.
VanEck Vectors® Gold
Miners ETF – Historical Closing Values January 3,
2011 to February 23, 2021 |
 |
Citigroup Global Markets Holdings
Inc. |
|
United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the
Securities” in the accompanying product supplement and “Summary
Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences
of an investment in the securities. In connection with any
information reporting requirements we may have in respect of the
securities under applicable law, we intend (in the absence of an
administrative determination or judicial ruling to the contrary) to
treat the securities for U.S. federal income tax purposes as
prepaid forward contracts with associated coupon payments that will
be treated as gross income to you at the time received or accrued
in accordance with your regular method of tax accounting. In the
opinion of our counsel, Davis Polk & Wardwell LLP, which is
based on current market conditions, this treatment of the
securities is reasonable under current law; however, our counsel
has advised us that it is unable to conclude affirmatively that
this treatment is more likely than not to be upheld, and that
alternative treatments are possible.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in
the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
|
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Any coupon payments on the securities should be taxable as
ordinary income to you at the time received or accrued in
accordance with your regular method of accounting for U.S. federal
income tax purposes. |
|
· |
Upon a sale or exchange of a security (including retirement at
maturity), you should recognize capital gain or loss equal to the
difference between the amount realized and your tax basis in the
security. For this purpose, the amount realized does not include
any coupon paid on retirement and may not include sale proceeds
attributable to an accrued coupon, which may be treated as a coupon
payment. Such gain or loss should be long-term capital gain or loss
if you held the security for more than one year. |
We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the
securities could materially and adversely affect the tax
consequences of ownership and disposition of the securities,
including the timing and character of income recognized. In
addition, the U.S. Treasury Department and the IRS have requested
comments on various issues regarding the U.S. federal income tax
treatment of “prepaid forward contracts” and similar financial
instruments and have indicated that such transactions may be the
subject of future regulations or other guidance. Furthermore,
members of Congress have proposed legislative changes to the tax
treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of
these issues could materially and adversely affect the tax
consequences of an investment in the securities, possibly with
retroactive effect. You should consult your tax adviser regarding
possible alternative tax treatments of the securities and potential
changes in applicable law.
Withholding Tax on Non-U.S. Holders. Because significant
aspects of the tax treatment of the securities are uncertain,
persons having withholding responsibility in respect of the
securities may withhold on any coupon payment paid to Non-U.S.
Holders (as defined in the accompanying product supplement),
generally at a rate of 30%. To the extent that we have (or an
affiliate of ours has) withholding responsibility in respect of the
securities, we intend to so withhold. In order to claim an
exemption from, or a reduction in, the 30% withholding, you may
need to comply with certification requirements to establish that
you are not a U.S. person and are eligible for such an exemption or
reduction under an applicable tax treaty. You should consult your
tax adviser regarding the tax treatment of the securities,
including the possibility of obtaining a refund of any amounts
withheld and the certification requirement described above.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product
supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30%
withholding tax on dividend equivalents paid or deemed paid to
Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities (“U.S. Underlying Equities”) or indices
that include U.S. Underlying Equities. Section 871(m) generally
applies to instruments that substantially replicate the economic
performance of one or more U.S. Underlying Equities, as determined
based on tests set forth in the applicable Treasury regulations.
However, the regulations, as modified by an IRS notice, exempt
financial instruments issued prior to January 1, 2023 that do not
have a “delta” of one. Based on the terms of the securities and
representations provided by us, our counsel is of the opinion that
the securities should not be treated as transactions that have a
“delta” of one within the meaning of the regulations with respect
to any U.S. Underlying Equity and, therefore, should not be subject
to withholding tax under Section 871(m).
A
determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this
treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other
transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect
to amounts withheld.
You should read the section entitled “United States Federal Tax
Considerations” in the accompanying product supplement. The
preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP
regarding the material U.S. federal tax consequences of owning and
disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an
investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing
jurisdiction.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and
the underwriter of the sale of the securities, is acting as
principal and will receive an underwriting fee of up to $29.50 for
each security sold in this offering. The actual underwriting fee
will be equal to the selling concession provided to selected
dealers, as described in this paragraph. From this underwriting
fee, CGMI will pay selected dealers not affiliated with CGMI a
variable selling concession of up to $29.50 for each security they
sell. For the avoidance of doubt, any fees or selling concessions
described in this pricing supplement will not be rebated if the
securities are automatically redeemed prior to maturity.
Citigroup Global Markets Holdings
Inc. |
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See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each
of the accompanying prospectus supplement and prospectus for
additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on
the cover page of this pricing supplement based on proprietary
pricing models. CGMI’s proprietary pricing models generated an
estimated value for the securities by estimating the value of a
hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond
(the “bond component”) and one or more derivative instruments
underlying the economic terms of the securities (the “derivative
component”). CGMI calculated the estimated value of the bond
component using a discount rate based on our internal funding rate.
CGMI calculated the estimated value of the derivative component
based on a proprietary derivative-pricing model, which generated a
theoretical price for the instruments that constitute the
derivative component based on various inputs, including the factors
described under “Summary Risk Factors—The value of the securities
prior to maturity will fluctuate based on many unpredictable
factors” in this pricing supplement, but not including our or
Citigroup Inc.’s creditworthiness. These inputs may be
market-observable or may be based on assumptions made by CGMI in
its discretionary judgment.
For a period of approximately three months following issuance of
the securities, the price, if any, at which CGMI would be willing
to buy the securities from investors, and the value that will be
indicated for the securities on any brokerage account statements
prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will
reflect a temporary upward adjustment from the price or value that
would otherwise be determined. This temporary upward adjustment
represents a portion of the hedging profit expected to be realized
by CGMI or its affiliates over the term of the securities. The
amount of this temporary upward adjustment will decline to zero on
a straight-line basis over the three-month temporary adjustment
period. However, CGMI is not obligated to buy the securities from
investors at any time. See “Summary Risk Factors—The securities
will not be listed on any securities exchange and you may not be
able to sell them prior to maturity.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement
and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s
Republic of China (“Hong Kong”). Investors are advised to exercise
caution in relation to the offer. If investors are in any doubt
about any of the contents of this pricing supplement and the
accompanying product supplement, underlying supplement, prospectus
supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other
than
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(i) |
to persons whose ordinary business is to buy or sell shares or
debentures (whether as principal or agent); or |
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(ii) |
to “professional investors” as defined in the Securities and
Futures Ordinance (Cap. 571) of Hong Kong (the “Securities and
Futures Ordinance”) and any rules made under that Ordinance;
or |
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(iii) |
in other circumstances which do not result in the document
being a “prospectus” as defined in the Companies Ordinance (Cap.
32) of Hong Kong or which do not constitute an offer to the public
within the meaning of that Ordinance; and |
There is no advertisement, invitation or document relating to the
securities which is directed at, or the contents of which are
likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other
than with respect to securities which are or are intended to be
disposed of only to persons outside Hong Kong or only to
“professional investors” as defined in the Securities and Futures
Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are
not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have
not been registered as a prospectus with the Monetary Authority of
Singapore, and the securities will be offered pursuant to
exemptions under the Securities and Futures Act, Chapter 289 of
Singapore (the “Securities and Futures Act”). Accordingly, the
securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing
supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any
securities be circulated or distributed, whether directly or
indirectly, to any person in Singapore other than (a) to an
institutional investor pursuant to Section 274 of the Securities
and Futures Act, (b) to a relevant person under Section 275(1) of
the Securities and Futures Act or to any person pursuant to Section
275(1A) of the Securities and Futures Act and in accordance with
the conditions specified in Section 275 of the Securities and
Futures Act, or (c) otherwise pursuant to, and in accordance with
the conditions of, any other applicable provision of the Securities
and Futures Act. Where the securities are subscribed or purchased
under Section 275 of the Securities and Futures Act by a relevant
person which is:
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(a) |
a corporation (which is not an accredited investor (as defined
in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of
which is owned by one or more individuals, each of whom is an
accredited investor; or |
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(b) |
a trust (where the trustee is not an accredited investor) whose
sole purpose is to hold investments and each beneficiary is an
individual who is an accredited investor, securities (as defined in
Section 239(1) of the Securities and Futures Act) of that
corporation or the |
Citigroup Global Markets Holdings
Inc. |
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beneficiaries’ rights and interests (howsoever described) in that
trust shall not be transferable for 6 months after that corporation
or that trust has acquired the relevant securities pursuant to an
offer under Section 275 of the Securities and Futures Act
except:
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(i) |
to an institutional investor or to a relevant person defined in
Section 275(2) of the Securities and Futures Act or to any person
arising from an offer referred to in Section 275(1A) or Section
276(4)(i)(B) of the Securities and Futures Act; or |
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(ii) |
where no consideration is or will be given for the transfer;
or |
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(iii) |
where the transfer is by operation of law; or |
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(iv) |
pursuant to Section 276(7) of the Securities and Futures Act;
or |
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(v) |
as specified in Regulation 32 of the Securities and Futures
(Offers of Investments) (Shares and Debentures) Regulations 2005 of
Singapore. |
Any securities referred to herein may not be registered with any
regulator, regulatory body or similar organization or institution
in any jurisdiction.
The securities are Specified Investment Products (as defined in the
Notice on Recommendations on Investment Products and Notice on the
Sale of Investment Product issued by the Monetary Authority of
Singapore on 28 July 2011) that is neither listed nor quoted on a
securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These
securities are not insured products subject to the provisions of
the Deposit Insurance and Policy Owners’ Protection Schemes Act
2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to Citigroup Global Markets Holdings Inc., when
the securities offered by this pricing supplement have been
executed and issued by Citigroup Global Markets Holdings Inc. and
authenticated by the trustee pursuant to the indenture, and
delivered against payment therefor, such securities and the related
guarantee of Citigroup Inc. will be valid and binding obligations
of Citigroup Global Markets Holdings Inc. and Citigroup Inc.,
respectively, enforceable in accordance with their respective
terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of
reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair
dealing and the lack of bad faith), provided that such counsel
expresses no opinion as to the effect of fraudulent conveyance,
fraudulent transfer or similar provision of applicable law on the
conclusions expressed above. This opinion is given as of the date
of this pricing supplement and is limited to the laws of the State
of New York, except that such counsel expresses no opinion as to
the application of state securities or Blue Sky laws to the
securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of
Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General
Counsel—Capital Markets of Citigroup Inc. In addition, this opinion
is subject to the assumptions set forth in the letter of Davis Polk
& Wardwell LLP dated May 17, 2018, which has been filed as an
exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on
May 17, 2018, that the indenture has been duly authorized, executed
and delivered by, and is a valid, binding and enforceable agreement
of, the trustee and that none of the terms of the securities nor
the issuance and delivery of the securities and the related
guarantee, nor the compliance by Citigroup Global Markets Holdings
Inc. and Citigroup Inc. with the terms of the securities and the
related guarantee respectively, will result in a violation of any
provision of any instrument or agreement then binding upon
Citigroup Global Markets Holdings Inc. or Citigroup Inc., as
applicable, or any restriction imposed by any court or governmental
body having jurisdiction over Citigroup Global Markets Holdings
Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, Secretary and General Counsel of
Citigroup Global Markets Holdings Inc., (i) the terms of the
securities offered by this pricing supplement have been duly
established under the indenture and the Board of Directors (or a
duly authorized committee thereof) of Citigroup Global Markets
Holdings Inc. has duly authorized the issuance and sale of such
securities and such authorization has not been modified or
rescinded; (ii) Citigroup Global Markets Holdings Inc. is validly
existing and in good standing under the laws of the State of New
York; (iii) the indenture has been duly authorized, executed and
delivered by Citigroup Global Markets Holdings Inc.; and (iv) the
execution and delivery of such indenture and of the securities
offered by this pricing supplement by Citigroup Global Markets
Holdings Inc., and the performance by Citigroup Global Markets
Holdings Inc. of its obligations thereunder, are within its
corporate powers and do not contravene its certificate of
incorporation or bylaws or other constitutive documents. This
opinion is given as of the date of this pricing supplement and is
limited to the laws of the State of New York.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies
certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc.,
certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he or such
persons has assumed the legal capacity of all natural persons, the
genuineness of all signatures (other than those of officers of
Citigroup Global Markets Holdings Inc.), the authenticity of all
documents submitted to him or such persons as originals, the
conformity to original documents of all documents submitted to him
or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly
authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such securities by Citigroup Inc. and such
authorization has not been modified or rescinded; (ii) Citigroup
Inc. is validly existing and in good standing under the laws of the
State of Delaware; (iii) the indenture has been duly authorized,
executed and delivered by Citigroup Inc.; and (iv) the execution
and delivery of such indenture, and the performance by Citigroup
Inc. of its obligations thereunder, are within its corporate powers
and do not contravene its certificate of incorporation or bylaws or
other
Citigroup Global Markets Holdings
Inc. |
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constitutive documents. This opinion is given as of the date of
this pricing supplement and is limited to the General Corporation
Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies
certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Inc., certificates or documents as
she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the
legal capacity of all natural persons, the genuineness of all
signatures (other than those of officers of Citigroup Inc.), the
authenticity of all documents submitted to her or such persons as
originals, the conformity to original documents of all documents
submitted to her or such persons as certified or photostatic copies
and the authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative.
Third-party distributors may contact Citi Structured Investment
Sales at (212) 723-7005.
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