The
information in this preliminary pricing supplement is not complete and may be changed. A registration statement relating to these notes
has been filed with the Securities and Exchange Commission. This preliminary pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus are not an offer to sell these notes, nor are they soliciting an offer to
buy these notes, in any state where the offer or sale is not permitted.
SUBJECT
TO COMPLETION, DATED APRIL 19, 2021
Pricing Supplement No. 2021—USNCH7406 to Product Supplement No. EA-02-08 dated February 15, 2019,
Underlying Supplement
No. 9 dated October 30, 2020, Prospectus Supplement and Prospectus each dated May 14, 2018
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495
and 333-224495-03
Dated April-----,
2021
Citigroup Global Markets Holdings Inc. $---- Trigger Callable
Yield Notes
|
Linked to the Least Performing of the Russell 2000®
Index and the Nasdaq-100 Index® Due On or About July 26, 2022
All payments due on the notes are fully and unconditionally guaranteed
by Citigroup Inc.
The Trigger Callable Yield Notes (the “notes”)
are unsecured, unsubordinated debt obligations of Citigroup Global Markets Holdings Inc. (the “issuer”), guaranteed
by Citigroup Inc. (the “guarantor”), linked to the least performing of the Russell 2000® Index
and the Nasdaq-100 Index® (each, an “underlying”). The notes will pay a coupon on each monthly coupon
payment date regardless of the performance of either underlying. Beginning approximately three months after issuance, on any coupon payment
date prior to the maturity date, the issuer may, in its sole discretion, call the notes in whole, but not in part, and pay you the stated
principal amount per note plus any coupon otherwise due on such coupon payment date and no further amounts will be owed to you. If the
notes have not previously been called by the issuer prior to maturity and the final underlying level of the least performing underlying
is greater than or equal to its downside threshold, you will receive the stated principal amount of your notes at maturity plus any coupon
payment otherwise due on the maturity date. However, if the notes have not been called prior to maturity and the final underlying level
of the least performing underlying is less than its downside threshold, you will receive, in addition to the final coupon, an amount
that is less than the stated principal amount of your notes at maturity, resulting in a loss that is proportionate to the decline in
the closing level of the least performing underlying from the trade date to the final valuation date, up to a 100% loss of your investment.
The “final underlying level” for each underlying is the closing level of such underlying on the final valuation date
and the “least performing underlying” is the underlying with the lowest underlying return as measured from the trade
date to the final valuation date. Investing in the notes involves significant risks. You may lose a substantial portion or all of
your initial investment if the notes are not called by the issuer in its sole discretion on any coupon payment date prior to the maturity
date and the final underlying level of the least performing underlying is less than its downside threshold. The payment at maturity on
the notes is based solely on the performance of the least performing underlying. You will not benefit in any way from the performance
of the better performing underlyings. You will therefore be adversely affected if either underlying performs poorly, regardless
of the performance of the other underlyings. You will not receive dividends or other distributions paid on any stocks included in the
underlyings or participate in any appreciation of either underlying. The contingent repayment of the stated principal amount applies
only if you hold the notes to maturity or earlier call by the issuer. Any payment on the notes, including any repayment of the stated
principal amount, is subject to the creditworthiness of the issuer and the guarantor and is not, either directly or indirectly, an obligation
of any third party. If the issuer and the guarantor were to default on their payment obligations, you may not receive any amounts owed
to you under the notes and you could lose your entire investment.
q Monthly
Coupon — We will pay you a coupon on each monthly coupon payment date regardless of the performance of either underlying unless
the notes have been previously called.
q Issuer
Callable — Beginning approximately three months after issuance, on any coupon payment date prior to the maturity date, the
issuer may, in its sole discretion, call the notes in whole, but not in part, and pay you the stated principal amount per note plus any
coupon otherwise due on such coupon payment date. If the notes are not called, investors may have full downside market exposure to the
least performing underlying at maturity.
q Downside
Exposure with Contingent Repayment of Principal at Maturity — If the notes have not previously been called by the issuer prior
to maturity and the final underlying level of the least performing underlying is greater than or equal to its downside threshold, you
will receive the stated principal amount of your notes at maturity plus any coupon payment otherwise due on the maturity date. However,
if the notes have not been called prior to maturity and the final underlying level of the least performing underlying is less than its
downside threshold, you will receive, in addition to the final coupon, an amount that is less than the stated principal amount of your
notes at maturity, resulting in a loss that is proportionate to the decline in the closing level of the least performing underlying from
the trade date to the final valuation date, up to a 100% loss of your investment. Any payment on the notes is subject to the creditworthiness
of the issuer and guarantor. If the issuer and the guarantor were to default on their obligations, you might not receive any amounts
owed to you under the notes and you could lose your entire investment.
|
Trade date
|
April 21, 2021
|
Settlement date2
|
April 26, 2021
|
Coupon payment dates
|
Monthly, beginning on May 25, 2021 (See page PS-6)
|
Final valuation date3
|
July 21, 2022
|
Maturity date
|
July 26, 2022
|
1 Expected
2 See
“Supplemental Plan of Distribution” in this pricing supplement for additional information.
3 See
page PS-4 for additional details.
|
NOTICE TO INVESTORS: The
notes are significantly riskier than conventional debt INSTRUMENTS. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY THE STATED PRINCIPAL
AMOUNT OF THE NOTES AT MATURITY, AND the notes CAN have downside MARKET risk SIMILAR TO the LEAST PERFORMING UNDERLYING. This MARKET
risk is in addition to the CREDIT risk INHERENT IN PURCHASING A DEBT OBLIGATION OF CITIGROUP GLOBAL MARKETS HOLDINGS INC. THAT IS GUARANTEED
BY CITIGROUP INC. You should not PURCHASE the notes if you do not understand or are not comfortable with the significant risks
INVOLVED in INVESTING IN the notes.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER ‘‘SUMMARY
RISK FACTORS’’ BEGINNING ON PAGE PS-7 OF THIS PRICING SUPPLEMENT AND UNDER ‘‘RISK FACTORS RELATING TO THE SECURITIES’’
BEGINNING ON PAGE EA-7 OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR
OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF
YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE AND MAY HAVE LIMITED OR NO LIQUIDITY.
We are offering Trigger Callable Yield Notes Linked to the
Least Performing of the Russell 2000® Index and the Nasdaq-100 Index®. The coupon rate, initial underlying
levels and downside thresholds will be determined on the trade date. The notes are our unsecured, unsubordinated debt obligations, guaranteed
by Citigroup Inc., and are offered for a minimum investment of 100 notes at the issue price described below.
Underlyings
|
Coupon Rate
|
Initial Underlying Levels
|
Downside Thresholds
|
CUSIP/ISIN
|
Russell 2000® Index
(Ticker: RTY)
|
4.00% to 4.80% per annum
|
|
, which is 60% of the applicable initial underlying level
|
17329D349 / US17329D3492
|
Nasdaq-100 Index®
(Ticker: NDX)
|
|
, which is 60% of the applicable initial underlying level
|
See “Additional Terms Specific to the Notes” in this
pricing supplement. The notes will have the terms specified in the accompanying product supplement, prospectus supplement and prospectus,
as supplemented by this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. 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.
|
Issue Price(1)
|
Underwriting Discount(2)
|
Proceeds to Issuer
|
Per note
|
$10.00
|
$0.10
|
$9.90
|
Total
|
$
|
$
|
$
|
(1) Citigroup Global
Markets Holdings Inc. currently expects that the estimated value of the notes on the trade date will be at least $9.740 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) The underwriting
discount is $0.10 per note. CGMI, acting as principal, expects to purchase from Citigroup Global Markets Holdings Inc., and Citigroup
Global Markets Holdings Inc. expects to sell to CGMI, the aggregate stated principal amount of the notes set forth above for $9.90 per
note. UBS Financial Services Inc. (“UBS”), acting as agent for sales of the notes, expects to purchase from CGMI,
and CGMI expects to sell to UBS, all of the notes for $9.90 per note. UBS will receive an underwriting discount of $0.10 for each note
it sells in this offering. UBS proposes to offer the notes to the public at a price of $10.00 per note. For additional information on
the distribution of the notes, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting
discount, 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.
Concurrent
with this offering of the notes, the issuer is offering other notes that are similar to the notes but that have economic terms that differ
from those provided by the notes. The differences in the economic terms reflect differences in costs to the issuer in connection with
the distribution of the notes and such other notes.
Citigroup Global
Markets Inc.
|
UBS
Financial Services Inc.
|
Additional Terms Specific to the Notes
|
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 whether you receive a coupon payment on a coupon payment date and whether you are repaid the stated principal amount of your
notes at maturity. 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 the underlyings 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 you decide whether to invest
in the notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
You may access the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant dates on the SEC website):
¨ Product
Supplement No. EA-02-08 dated February 15, 2019:
https://www.sec.gov/Archives/edgar/data/200245/000095010319002039/dp102379_424b2-psea0208par.htm
¨ Underlying
Supplement No. 9 dated October 30, 2020:
https://www.sec.gov/Archives/edgar/data/200245/000095010320021127/dp139820_424b2-us9.htm
¨ Prospectus
Supplement and Prospectus each dated May 14, 2018:
https://www.sec.gov/Archives/edgar/data/200245/000119312518162183/d583728d424b2.htm
You may revoke your offer to purchase the notes at any time prior to
the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer
to purchase, the notes on or prior to the trade date. The applicable agent will notify you in the event of any material changes to the
terms of the notes, and you will be asked to accept such changes in connection with your purchase of the notes. You may also choose to
reject such changes, in which case the applicable agent may reject your offer to purchase the notes. References to “Citigroup Global
Markets Holdings Inc.,” “Citigroup,” “we,” “our” and “us” refer to Citigroup Global
Markets Holdings Inc. and not to any of its subsidiaries. References to “Citigroup Inc.” refer to Citigroup Inc. and not to
any of its subsidiaries. In this pricing supplement, “notes” refers to the Trigger Callable Yield Notes Linked to the Least
Performing of the Russell 2000® Index and the Nasdaq-100 Index® that are offered hereby, unless the context
otherwise requires.
This pricing supplement, together with the documents listed above,
contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures
or other educational materials of ours. The description in this pricing supplement of the particular terms of the notes supplements, and,
to the extent inconsistent with, replaces, the descriptions of the general terms and provisions of the debt securities set forth in the
accompanying product supplement, prospectus supplement and prospectus. You should carefully consider, among other things, the matters
set forth in “Summary Risk Factors” in this pricing supplement and “Risk Factors Relating to the Securities” in
the accompanying product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisers before deciding to invest in the notes.
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).
|
The suitability considerations identified below are not exhaustive.
Whether or not the notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an
investment in the notes in light of your particular circumstances. You should also review “Summary Risk Factors” beginning
on page PS-7 of this pricing supplement, “The Russell 2000® Index” beginning on page PS-15 of this pricing
supplement, “The Nasdaq-100 Index®“ beginning on page PS-16 of this pricing supplement, “Risk Factors
Relating to the Securities” beginning on page EA-7 of the accompanying product supplement, “Equity Index Descriptions—The
Russell Indices” beginning on page US-45 of the accompanying underlying supplement and “Equity Index Descriptions—The
Nasdaq-100 Index®” beginning on page US-34 of the accompanying underlying supplement.
The notes may be suitable for you if, among other considerations:
¨ You
fully understand the risks inherent in an investment in the notes, including the risk of loss of your entire initial investment.
¨ You
can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment that may have the
full downside market risk of an investment in the least performing underlying.
¨ You
understand and accept the risks associated with each of the underlyings.
¨ You
believe the final underlying level of each underlying will be greater than or equal to its downside threshold, and, if the final underlying
level of either underlying is below its downside threshold, you can tolerate a loss of all or a substantial portion of your investment.
¨ You
can tolerate fluctuations in the value of the notes prior to maturity that may be similar to or exceed the downside fluctuations in the
level of the least performing underlying.
¨ You
are willing to accept the individual market risk of each underlying on the final valuation date, and you understand that any decline in
the level of one underlying will not be offset or mitigated by a lesser decline or any potential increase in the levels of the other underlyings.
¨ You
are willing to hold notes that may be called early by the issuer (beginning approximately three months after issuance) in its sole discretion
regardless of the closing level of either underlying, and you are otherwise willing to hold such notes to maturity.
¨ You
are willing to make an investment whose positive return is limited to the coupon payments, regardless of the potential appreciation of
the underlyings, which could be significant.
¨ You
would be willing to invest in the notes if the coupon rate were set equal to the lowest value indicated on the cover page of this pricing
supplement (the actual coupon rate will be set on the trade date).
¨ You
are willing to invest in the notes based on the downside thresholds indicated on the cover page of this pricing supplement.
¨ You
are willing and able to hold the notes to maturity, and accept that there may be little or no secondary market for the notes and that
any secondary market will depend in large part on the price, if any, at which CGMI is willing to purchase the notes.
¨ You
do not seek guaranteed current income from your investment and are willing to forgo dividends or any other distributions paid on the stocks
included in the underlyings for the term of the notes.
¨ You
are willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments under the notes,
and understand that if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you might not receive
any amounts due to you, including any repayment of the stated principal amount.
|
|
The notes may not be suitable for you if, among
other considerations:
¨ You
do not fully understand the risks inherent in an investment in the notes, including the risk of loss of your entire initial investment.
¨ You
cannot tolerate the loss of all or a substantial portion of your initial investment, or you are not willing to make an investment that
may have the full downside market risk of an investment in the least performing underlying.
¨ You
do not understand or are not willing to accept the risks associated with each of the underlyings.
¨ You
believe the final underlying level of at least one underlying will be less than its downside threshold, exposing you to the full downside
performance of the least performing underlying.
¨ You
require an investment designed to guarantee a full return of the stated principal amount at maturity.
¨ You
cannot tolerate fluctuations in the value of the notes prior to maturity that may be similar to or exceed the downside fluctuations in
the level of the least performing underlying.
¨ You
are unwilling to accept the individual market risk of each underlying on the final valuation date, or you seek an investment based on
the performance of a basket composed of the underlyings.
¨ You
are unwilling to hold notes that may be called early by the issuer (beginning approximately three months after issuance) in its sole discretion
regardless of the closing level of either underlying, or you are otherwise unable or unwilling to hold such notes to maturity.
¨ You
seek an investment that participates in the full appreciation of the underlyings and whose positive return is not limited to the coupon
payments.
¨ You
would be unwilling to invest in the notes if the coupon rate were set equal to the lowest value indicated on the cover page of this pricing
supplement (the actual coupon rate will be set on the trade date).
¨ You
are unwilling to invest in the notes based on the downside thresholds indicated on the cover page of this pricing supplement.
¨ You
seek an investment for which there will be an active secondary market.
¨ You
seek guaranteed current income from this investment or prefer to receive the dividends and any other distributions paid on the stocks
included in the underlyings for the term of the notes.
¨ You
prefer the lower risk of conventional fixed income investments with comparable maturities and credit ratings.
¨ You
are not willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments under the notes,
including any repayment of the stated principal amount.
|
Issuer
|
Citigroup Global Markets Holdings Inc.
|
Guarantee
|
All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
|
Issue price
|
100% of the stated principal amount per note
|
Stated principal amount per note
|
$10.00 per note
|
Term
|
Approximately 1.25 years, unless called earlier
|
Trade date1
|
April 21, 2021
|
Settlement date1
|
April 26, 2021. See “Supplemental Plan of Distribution” in this pricing supplement for additional information.
|
Final valuation date1, 2
|
July 21, 2022
|
Maturity date1
|
July 26, 2022
|
Underlyings1
|
Russell 2000® Index (Ticker: RTY)
Nasdaq-100 Index® (Ticker: NDX)
|
Issuer call feature
|
Beginning approximately three months after issuance,
the issuer may, in its sole discretion, call the notes in whole, but not in part, on any coupon payment date prior to the maturity date
upon not less than three (3) business days’ notice prior to such coupon payment date.
If the notes are called, we will pay you on the applicable
coupon payment date a cash payment per $10.00 stated principal amount of each note equal to the stated principal amount per note plus
any coupon otherwise due on such coupon payment date.
After the notes are called, no further payments will
be made on the notes.
|
Coupon payment dates
|
See “Coupon Payment Dates for the Offering of the Notes” on page PS-6.
|
Coupon/ coupon rate
|
Each coupon payment will be in the amount of $0.03333 to $0.40 for each $10.00 stated principal amount note (based on the per annum coupon rate of 4.00% to 4.80%) (to be determined on the trade date).
|
Payment at maturity (per $10.00 stated principal amount of notes)
|
If the notes are not called prior to maturity and the final
underlying level of the least performing underlying is greater than or equal to its downside threshold, we will pay you the $10.00
stated principal amount plus any coupon otherwise due on the maturity date.
If the notes are not called prior to maturity and the final
underlying level of the least performing underlying is less than its downside threshold, we will pay you, in addition to the final
coupon, a cash payment on the maturity date that is less than your stated principal amount and may be zero, resulting in a loss that
is proportionate to the negative underlying return of the least performing underlying, equal to:
$10.00
× (1 + underlying return of the least performing underlying)
Accordingly, you may lose all or a substantial portion of
your stated principal amount at maturity, depending on how significantly the least performing underlying declines.
|
Least performing underlying
|
The underlying with the lowest underlying return.
|
Underlying return
|
For each underlying, calculated as follows:
final underlying level – initial underlying
level
initial underlying level
|
Downside threshold
|
For either underlying, 60.00% of its respective initial underlying level, as specified on the cover of this pricing supplement.
|
Initial underlying level
|
For either underlying, its closing level on the trade date, as specified on the cover page of this pricing supplement.
|
Final underlying level
|
For either underlying, its closing level on the final valuation date.
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. THE CONTINGENT REPAYMENT OF THE STATED PRINCIPAL AMOUNT APPLIES ONLY IF YOU HOLD THE NOTES TO MATURITY. ANY PAYMENT ON THE NOTES IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER AND THE GUARANTOR. IF CITIGROUP GLOBAL MARKETS HOLDINGS INC. AND CITIGROUP INC. WERE TO DEFAULT ON THEIR OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
1
Expected. In the event that we make any changes to the expected trade date and settlement date, the final valuation date and maturity
date may be changed to ensure that the stated term of the notes remains the same.
2 Subject
to postponement as described under “Description of the Securities—Consequences of a Market Disruption Event; Postponement
of a Valuation Date” in the accompanying product supplement.
|
Trade date
|
|
The closing level of each underlying (its respective initial underlying level) is observed, the coupon rate is set and the downside threshold for each underlying are determined.
|
|
|
|
|
|
Monthly
(callable by the issuer in its sole discretion
after three months)
|
|
We pay the applicable coupon.
Beginning approximately three months after issuance, the
issuer may, in its sole discretion, call the notes in whole, but not in part, on any coupon payment date prior to the maturity date upon
not less than three (3) business days’ notice prior to such coupon payment date.
If the notes are called, we will pay you on the applicable
coupon payment date a cash payment per $10.00 stated principal amount of each note equal to the stated principal amount per note plus
any coupon otherwise due on such coupon payment date.
After the notes are called, no further payments will be
made on the notes.
|
|
|
|
|
|
Maturity date (if not previously called)
|
|
If the notes are not called prior to maturity, the final
underlying level of each underlying is observed on the final valuation date.
If the notes are not called prior to maturity and the final
underlying level of the least performing underlying is greater than or equal to its downside threshold, we will pay you the $10.00
stated principal amount plus any coupon otherwise due on the maturity date.
If the notes are not called prior to maturity and
the final underlying level of the least performing underlying is less than its downside threshold, we will pay you, in addition to
the final coupon, a cash payment on the maturity date that is less than your stated principal amount and may be zero, resulting in a
loss that is proportionate to the negative underlying return of the least performing underlying, equal to:
$10.00
× (1 + underlying return of the least performing underlying)
Accordingly, you may lose all or a substantial portion
of your stated principal amount at maturity, depending on how significantly the least performing underlying declines.
|
Call
Notice Dates and Coupon Payment Dates for the Offering of the Notes
Expected Call Notice Dates(1)
|
Expected Coupon Payment Dates
|
N/A
|
May 25, 2021
|
N/A
|
June 23, 2021
|
July 21, 2021
|
July 23, 2021*
|
August 23, 2021
|
August 25, 2021
|
September 21, 2021
|
September 23, 2021
|
October 21, 2021
|
October 25, 2021
|
November 22, 2021
|
November 24, 2021
|
December 21, 2021
|
December 23, 2021
|
January 21, 2022
|
January 25, 2022
|
February 22, 2022
|
February 24, 2022
|
March 21, 2022
|
March 23, 2022
|
April 21, 2022
|
April 25, 2022
|
May 23, 2022
|
May 25, 2022
|
June 21, 2022
|
June 23, 2022
|
N/A
|
July 26, 2022 (the maturity date)
|
* The notes are callable beginning on
the third coupon payment date, which is July 23, 2021.
(1) The actual call notice date related
to each coupon payment date will be the third business day prior to such coupon payment date.
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 each underlying. 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 advisers 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 — The notes differ from ordinary debt securities in that we will not necessarily
repay the full stated principal amount of your notes at maturity. If the notes are not called prior to maturity (beginning approximately
three months after issuance) and the final underlying level of the least performing underlying is less than its downside threshold, you
will lose 1% of the stated principal amount of the notes for every 1% by which the final underlying level of the least performing underlying
is less than its initial underlying level. There is no minimum payment at maturity on the notes, and you may lose up to all of your investment
in the notes.
|
|
¨
|
The notes are subject to the risks of each of the underlyings and will be negatively affected if any underlying performs poorly,
even if the other underlyings perform well — You are subject to risks associated with each of the underlyings. If any underlying
performs poorly, you will be negatively affected, even if the other underlyings perform well. The notes are not linked to a basket composed
of the underlyings, where the better performance of one could ameliorate the poor performance of the others. Instead, you are subject
to the full risks of each individual underlying. Furthermore, the risk that you will not receive the coupon and that you will lose some
or all of your initial investment in the notes is greater if you invest in the notes as opposed to notes that are linked to the performance
of a single underlying if their terms are otherwise substantially similar.
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¨
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You will not benefit in any way from the performance of the better performing underlyings — The payment at maturity depends
solely on the performance of the least performing underlying, and you will not benefit in any way from the performance of the better performing
underlyings. The notes may underperform a similar investment in all of the underlyings or a similar alternative investment linked to a
basket composed of the underlyings, since in either such case the performance of the better performing underlyings would be blended with
the performance of the least performing underlying, resulting in a better return than the return of the least performing underlying.
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¨
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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 they tend to increase or decrease at similar times and by similar
magnitudes. By investing in the notes, you assume the risk that the underlyings will not exhibit this relationship. The less correlated
the underlyings, the more likely it is that either one of the underlyings will perform poorly over the term of the notes. All that is
necessary for the notes to perform poorly is for one of the underlyings to perform poorly; the performance of the better performing underlyings
are not relevant to your return on the notes. It is impossible to predict what the relationship between the underlyings will be over the
term of the notes. The Russell 2000® Index represents small capitalization stocks in the United States and the Nasdaq-100
Index® represents 100 of the largest non-financial companies listed on the Nasdaq Stock Market. Accordingly, the underlyings
represent markets that differ in significant ways and, therefore, may not be correlated with each other.
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¨
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Higher coupon rates are associated with greater risk — The notes offer 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 trade date for the notes, including the risk
that the amount you receive at maturity may be significantly less than the stated principal amount of your notes and may be zero. The
volatility of and the correlation between the underlyings are important factors affecting this risk. Greater expected volatility of, and
lower expected correlation between, the underlyings as of the trade date may result in a higher coupon rate, but would also represent
a greater expected likelihood as of the trade date that the closing level of the least performing underlying will be less than the applicable
downside threshold on the final valuation date, such that you will not be repaid the stated principal amount of your notes at maturity.
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You may not be adequately compensated for assuming the downside risk of the least performing underlying — The coupon
payments on the notes are the compensation you receive for assuming the downside risk of the least performing underlying, as well as all
the other risks of the notes. The coupon payments are the compensation you receive not only for the downside risk of the least performing
underlying, but also for all of the other risks of the notes, including the risk that the notes may be called 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 coupon payments may turn out to be inadequate to compensate you for all the risks of the notes, including the downside risk of the
least performing underlying.
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We may call the notes in our sole discretion, which will limit your ability to receive the coupon payments — Beginning
approximately three months after issuance, we may call the notes on any coupon payment date prior to the maturity date upon not less than
three (3) business days’ notice. In the event that we call the notes, you will receive the stated principal amount of your notes
and any coupon otherwise due on such coupon payment date. Thus, the term of the notes may be limited to as short as approximately three
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months. If we call the notes prior to maturity,
you will not receive any additional coupon payments. It is more likely that we will call the notes in our sole discretion prior to maturity
to the extent that the expected coupon payable on the notes is greater than the coupon that would be payable on other instruments issued
by us of comparable maturity, terms and credit rating trading in the market. The greater likelihood of us calling the notes in that environment
increases the risk that you will not be able to reinvest the proceeds from the called notes in an another investment that provides a similar
yield with a similar level of risk. We are less likely to call the notes prior to maturity when the expected coupon payable on the notes
is less than the coupon that would be payable on other comparable instruments issued by us. Therefore, the notes are more likely to remain
outstanding when the expected coupon payable on the notes is less than what would be payable on other comparable instruments.
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¨
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The notes offer downside exposure to the least performing underlying, but no upside exposure to either underlying — You
will not participate in any appreciation in the level of the underlyings over the term of the notes. Consequently, your return on the
notes will be limited to the coupon payments you receive and may be significantly less than the return on the underlyings over the term
of the notes. In addition, you will not receive any dividends or other distributions or have any other rights with respect to the underlyings
or the stocks included in the underlyings.
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The payment at maturity depends on the closing level of the least performing underlying on a single day — If the closing
level of the least performing underlying on the final valuation date is less than its downside threshold, you will not receive the full
stated principal amount of your notes at maturity, even if the closing level of the least performing underlying is greater than its downside
threshold on other dates during the term of the notes.
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Investing in the notes is not equivalent to investing in any underlying or the stocks that constitute any underlying —
You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect to any of the
stocks that constitute the underlyings. It is important to understand that, for purposes of measuring the performance of the underlyings,
the levels used will not reflect the receipt or reinvestment of dividends or distributions on the stocks that constitute any underlying.
Dividend or distribution yield on the stocks that constitute the underlyings would be expected to represent a significant portion of the
overall return on a direct investment in the stocks that constitute the underlyings, but will not be reflected in the performance of any
underlying as measured for purposes of the notes (except to the extent that dividends and distributions reduce the levels of the underlyings).
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The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. — Any payment on
the notes will be made by Citigroup Global Markets Holdings Inc. and is guaranteed by Citigroup Inc., and therefore is subject to the
credit risk of both 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 any payments that become due under the notes. As a result, the value of
the notes prior to maturity will be affected by changes in the market’s view of our and Citigroup Inc.’s creditworthiness.
Any decline, or anticipated decline, in either of our or Citigroup Inc.’s credit ratings or increase, or anticipated increase, in
the credit spreads charged by the market for taking either of our or Citigroup Inc.’s credit risk is likely to adversely affect
the value of the notes.
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The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity — The
notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently
intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily basis. Any
indicative bid price for the notes provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing
market conditions and other relevant factors, and will not be a representation by CGMI that the notes can be sold at that price, or at
all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason.
If CGMI suspends or terminates making a market, there may be no secondary market at all for the notes because it is likely that CGMI will
be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes
until maturity.
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The probability that the least performing underlying will fall below its downside threshold on the final valuation date will depend
in part on the volatility of, and correlation between, the underlyings — “Volatility” refers to the frequency and
magnitude of changes in the level of the underlyings. “Correlation” refers to the extent to which the underlyings tend to
increase or decrease at similar times and by similar magnitudes. In general, the greater the volatility of the underlyings, and the lower
the correlation between the underlyings, the greater the probability that at least one of the underlyings will experience a large decline
over the term of the notes and fall below its downside threshold on the final valuation date. The underlyings have historically experienced
significant volatility, and as discussed above, the underlyings represent markets that differ in significant ways and therefore may not
be correlated. As a result, there is a significant risk that at least one of the underlyings will fall below its downside threshold on
the final valuation date, such that you will incur a significant loss on your investment in the notes. The terms of the notes are set,
in part, based on expectations about the volatility of, and correlation between, the underlyings as of the trade date. If expectations
about the volatility of, and correlation between, the underlyings change over the term of the notes, the value of the notes may be adversely
affected, and if the actual volatility of the underlyings prove to be greater than initially expected, or if the actual correlation between
the underlyings proves to be lower than initially expected, the notes may prove to be riskier than expected on the trade date.
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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) the underwriting discount paid in connection with the
offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes and
(iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging
our obligations under the notes. These costs adversely affect the economic terms of the notes because, if they were lower, the economic
terms of the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use
of our internal
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funding rate, rather than our secondary
market rate, to price the notes. See “The estimated value of the notes would be lower if it were calculated based on our secondary
market rate” below.
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The estimated value of the notes was determined for us by our affiliate using proprietary pricing models — CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of and correlation between the underlyings, dividend
yields on the stocks that constitute 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 notes. Moreover, the estimated value of the notes set
forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the notes for
other purposes, including for accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead,
you should be willing to hold the notes to maturity irrespective of the initial estimated value.
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The estimated value of the notes would be lower if it were calculated based on our secondary market rate — The estimated
value of the notes included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we
are willing to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than our secondary market
rate, which is the rate that CGMI will use in determining the value of the notes for purposes of any purchases of the notes from you in
the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than
our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated
with the notes, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences.
Our internal funding rate is not the same as the coupon rate that is payable on the notes.
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Because there is not an active market for
traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of
traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the
notes, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted
for discretionary factors such as CGMI’s preferences with respect to purchasing the notes prior to maturity.
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¨
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The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing to
buy the notes from you in the secondary market — Any such secondary market price will fluctuate over the term of the notes based
on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing supplement,
any value of the notes determined for purposes of a secondary market transaction will be based on our secondary market rate, which will
likely result in a lower value for the notes than if our internal funding rate were used. In addition, any secondary market price for
the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the notes to be purchased
in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any
secondary market price for the notes will be less than the issue price.
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The value of the notes prior to maturity will fluctuate based on many unpredictable factors — As described under “Valuation
of the Notes” below, the payout on the notes could be replicated by a hypothetical package of financial instruments consisting of
a fixed-income bond and one or more derivative instruments. As a result, the factors that influence the values of fixed-income bonds and
derivative instruments will also influence the terms of the notes at issuance and the value of the notes prior to maturity. Accordingly,
the value of your notes prior to maturity will fluctuate based on the level and volatility of the underlyings and a number of other factors,
including the price and volatility of the stocks that constitute the underlyings, the correlation between the underlyings, dividend yields
on the stocks that constitute the underlyings, 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 underlyings 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. The stated payout from the issuer only applies if you hold the notes to maturity or earlier issuer call, as applicable.
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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 decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing
supplement.
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The Russell 2000® Index is subject to risks associated with small capitalization stocks — The stocks that
constitute the Russell 2000® Index are issued by companies with relatively small market capitalization.
The stock prices of smaller companies may be more volatile than the stock prices of large capitalization companies.
These companies tend to be less well-established than large market capitalization companies.
Small capitalization companies may be less able to withstand adverse economic,
market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to
pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under
adverse market conditions.
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The Nasdaq-100 Index® is subject to risks associated with the stocks of foreign
companies — Some of the stocks that constitute the Nasdaq-100 Index® are issued by foreign companies. Investments
in securities of foreign companies involve risks associated with those countries, including risks of governmental intervention and cross-shareholdings
in companies in certain countries. The prices of securities issued by foreign companies 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.
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Our offering of the notes is not a recommendation of either underlying — The fact that we are offering the notes does
not mean that we believe that investing in an instrument linked to the least performing of 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
stocks that constitute the underlyings or in instruments related to the underlyings or such stocks, 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 levels of the underlyings in a way that has a negative impact on your interests as a holder of the notes.
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Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the notes — Any such research, opinions or recommendations could affect the closing levels of the
underlyings and the value of the notes. Our affiliates, and UBS and its affiliates, publish research from time to time on financial markets
and other matters that may influence the value of the notes, or express opinions or provide recommendations that may be inconsistent with
purchasing or holding the notes. Any research, opinions or recommendations expressed by our affiliates or by UBS or its affiliates may
not be consistent with each other and may be modified from time to time without notice. These and other activities of our affiliates or
UBS or its affiliates may adversely affect the levels of the underlyings and may have a negative impact on your interests as a holder
of the notes. Investors should make their own independent investigation of the merits of investing in the notes and the underlyings to
which the notes are linked.
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Trading and other transactions by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets may
impair the value of the notes — We expect to hedge our exposure under the notes through CGMI or other of our affiliates, who
will likely enter into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded instruments,
relating to the underlyings or the stocks included in the underlyings and may adjust such positions during the term of the notes. It is
possible that our affiliates could receive substantial returns from these hedging activities while the value of the notes declines. Our
affiliates and UBS and its affiliates may also engage in trading in instruments linked to the underlyings on a regular basis as part of
their respective general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate
transactions for customers, including block transactions. Such trading and hedging activities may affect the levels of the underlyings
and reduce the return on your investment in the notes. Our affiliates or UBS or its affiliates may also issue or underwrite other securities
or financial or derivative instruments with returns linked or related to the underlyings. By introducing competing products into the marketplace
in this manner, our affiliates or UBS or its affiliates could adversely affect the value of the notes. Any of the foregoing activities
described in this paragraph may reflect trading strategies that differ from, or are in direct opposition to, investors’ trading
and investment strategies relating to the notes.
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Our affiliates, or UBS or its affiliates, may have economic interests that are adverse to yours as a result of their respective
business activities — Our affiliates or UBS or its affiliates may currently or from time to time engage in business with the
issuers of the stocks that constitute the underlyings, including extending loans to, making equity investments in or providing advisory
services to such issuers. In the course of this business, our affiliates or UBS or its affiliates may acquire non-public information about
those issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS or any of its affiliates is or becomes a
creditor of any such issuer, they may exercise any remedies against that issuer that are available to them without regard to your interests.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes —
If certain events occur, such as market disruption events or the discontinuance of an underlying, CGMI, as calculation agent, will be
required to make discretionary judgments that could significantly affect the payments on the notes. Such judgments could include, among
other things:
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determining whether a market disruption event has occurred with respect to an underlying;
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if a market disruption event occurs on the final valuation date with respect to an underlying, determining whether to postpone the
final valuation date;
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determining the levels of the underlyings if the levels of the underlyings are not otherwise available or a market disruption event
has occurred; and
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selecting a successor underlying or performing an alternative calculation of the level of an underlying if an underlying is discontinued
or materially modified (see “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying
Index—Discontinuance or Material Modification of an Underlying Index” in the accompanying product supplement).
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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.
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Adjustments to any underlying may affect the value of your notes — FTSE Russell, as publisher of the Russell 2000®
Index, or The Nasdaq, Inc., as publisher of the Nasdaq-100 Index®, may add, delete or substitute the stocks that constitute
any underlying or make other methodological changes that could affect the level of any underlying. FTSE Russell or The Nasdaq, Inc. may
discontinue or suspend calculation or publication of any underlying at any time without regard to your interests as holders of the notes.
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The U.S. federal tax consequences of an investment in the notes are unclear — There is no direct legal authority as to
the proper U.S. federal tax treatment of the notes, and we do not intend 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
described herein. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition
of the notes might be materially and adversely affected. As described below under “United States Federal Tax
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Considerations,” 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. In addition, 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.
As described below under “United
States Federal Tax Considerations,” in connection with any information reporting requirements we may have in respect of the notes
under applicable law, we intend to treat a portion of each coupon payment as attributable to interest and the remainder to option premium.
However, in light of the uncertain treatment of the notes, it is possible that other persons having withholding or information reporting
responsibility in respect of the notes may treat a note differently, for instance, by treating the entire coupon payment as ordinary income
at the time received or accrued by a holder and/or treating some or all of each coupon payment made to a non-U.S. investor on a note as
subject to withholding tax at a rate of 30%. Moreover, it is possible that in the future we may determine that we should withhold at a
rate of 30% on coupon payments made to a non-U.S. investor on the notes. If withholding applies to the notes, we will not be required
to pay any additional amounts with respect to amounts so withheld.
Non-U.S. Holders should also review the
section entitled “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Withholding
Under Section 871(m) of the Code” regarding the risk of withholding in respect of “dividend equivalents” on the
notes.
You should review carefully the section
of this pricing supplement entitled “United States Federal Tax Considerations.” 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.
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon an issuer
call or at maturity for a $10.00 stated principal amount note with the following assumptions* (the actual terms of the notes will be determined
on the trade date; amounts may have been rounded for ease of reference):
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t
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Stated Principal Amount: $10
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t
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Term: Approximately 1.25 years, unless called earlier
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t
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Hypothetical Initial Underlying Levels:
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o
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Russell 2000® Index: 2,000.00
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o
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Nasdaq-100 Index®: 14,000.00
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t
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Hypothetical Coupon Rate: 4.00% per annum (or 0.3333% per month)
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t
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Hypothetical Monthly Coupon Payment: $0.03333 per month per note
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t
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Issuer Call: Monthly, after approximately three months, as set forth on page PS-6 of this pricing supplement
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t
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Hypothetical Downside Thresholds:
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o
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Russell 2000® Index: 1,200, which is 60% of its hypothetical initial underlying level
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o
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Nasdaq-100 Index®: 8,400.00, which is 60% of its hypothetical initial underlying level
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*The hypothetical coupon rate may not represent the actual coupon
rate and the hypothetical initial underlying levels and downside thresholds may not represent the actual initial underlying levels and
downside thresholds, respectively, applicable to the underlyings. The actual coupon rate, initial underlying levels and downside thresholds
will be determined on the trade date.
Example 1 — The notes are called on the third coupon payment
date.
Date
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Payment (per note)
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First Coupon Payment Date
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$0.03333
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Second Coupon Payment Date
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$0.03333
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Third Coupon Payment Date
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$10.03333 (principal amount plus coupon); notes are called
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Total Payment:
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$10.10 (1.10% total return)
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Since the notes are not callable by us prior to the third coupon payment
date, we will pay you a coupon of $0.03333 per note on each of the first two coupon payment dates. However, the notes are called by us
in our sole discretion on the third coupon payment date and we will pay you a total of $10.03333 per note (equal to the stated principal
amount plus the coupon) on that coupon payment date. When added to the coupon payments of $0.06667 received with respect to the first
two coupon payment dates, you would have been paid a total of $10.10 per note, representing a 1.10% total return on the notes over the
approximately three months the notes were outstanding before they were called by us in our sole discretion. You will not receive any further
payments on the notes.
Example 2 — The notes are NOT called and the final underlying
level of the least performing underlying is above its downside threshold.
Date
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Closing level of Each Underlying
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Payment (per note)
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Russell 2000® Index
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Nasdaq-100 Index®
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First through Fourteenth Coupon Payment Dates
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N/A
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N/A
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$0.46662 in total coupons; notes are not called
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Final Valuation Date
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1,800.00 (at or above downside threshold)
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9,000.00 (at or above downside threshold)*
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$10.03333 (principal amount plus final coupon)
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Total Payment:
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$10.49995 (4.9995% total return)
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* Denotes least performing underlying
Since the notes are not called by us on any of the first fourteen coupon
payment dates, we will pay you a coupon of $0.03333 per note on each coupon payment date, for a total of $0.46662. Because the final underlying
level of the least performing underlying is greater than its downside threshold, we will pay you $10 per note (equal to the stated principal
amount) on the maturity date, in addition to the final coupon. When added to the coupon payments of $0.46662 received with respect to
the first fourteen coupon payment dates, you would have been paid a total of $10.49995 per note, representing a 4.9995% total return on
the notes over the 1.25 year term of the notes.
Example 3 — Notes are NOT called and the final underlying level
of the least performing underlying is below its downside threshold.
Date
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Closing Level of Each Underlying
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Payment (per note)
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Russell 2000® Index
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Nasdaq-100 Index®
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First through Fourteenth Coupon Payment Dates
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N/A
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N/A
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$0.46662 in total coupons; notes are not called
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Final Valuation Date
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600.00 (below downside threshold)*
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8,000.00 (below downside threshold)
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Final coupon + [$10.00 × (1 + underlying return
of the least performing underlying)] =
$0.03333 + [$10.00 × (1 + -70.00%)] =
$0.03333 + ($10.00 × 0.30) = $3.03333
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Total Payment:
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$0.46662 + $3.03333 = $3.49995
(-65.0005% total return)
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* Denotes least performing underlying
Since the notes are not called by us on any of the first fourteen coupon
payment dates, we will pay you a coupon of $0.03333 per note on each coupon payment date, for a total of $0.46662. On the final valuation
date, the least performing underlying closes below its downside threshold. Therefore, at maturity, in addition to receiving the final
coupon, investors are exposed to the downside performance of the least performing underlying and you will receive $3.03333 per note, which
reflects the final coupon plus a return reflecting the percentage decrease of the least performing underlying from the trade date
to the final valuation date. When added to the coupon payments of $0.46662 received with respect to the first fourteen coupon payment
dates, you would have been paid a total of $3.49995 per note, representing a 65.0005% loss on the notes over the 1.25 year term of the
notes.
The
Russell 2000® Index
The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded
on a major U.S. exchange. It is calculated and maintained by FTSE Russell, a subsidiary of London Stock Exchange Group. The Russell 2000®
Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark of FTSE
Russell and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
Russell Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000® Index.
The graph below illustrates the performance of the Russell 2000®
Index from January 3, 2011 to April 16, 2021. The closing level of the Russell 2000® Index on April 16, 2021 was 2,262.670.
We obtained the closing levels of the Russell 2000® Index from Bloomberg, and we have not participated in the preparation
of or verified such information. Currently, whereas the sponsor of the Russell 2000® Index publishes the official closing
level of the Russell 2000® Index to six decimal places, Bloomberg reports the closing level to three decimal places. As
a result, the closing level of the Russell 2000® Index reported by Bloomberg may be lower or higher than the official closing
level of the Russell 2000® Index published by the sponsor of the Russell 2000® Index. The historical closing
levels of the Russell 2000® Index should not be taken as an indication of future performance and no assurance can be given
as to the final underlying level or any future closing level of the Russell 2000® Index. We cannot give you assurance that
the performance of the Russell 2000® Index will result in a positive return on your initial investment and you could lose
a significant portion or all of the stated principal amount at maturity.
The
Nasdaq-100 Index®
The Nasdaq-100 Index® is a modified market capitalization-weighted
index of stocks of the 100 largest non-financial companies listed on The Nasdaq Stock Market. All stocks included in the Nasdaq-100 Index®
are traded on a major U.S. exchange. The Nasdaq-100 Index® was developed by The Nasdaq Stock Market, Inc. and is calculated,
maintained and published by The Nasdaq, Inc. The Nasdaq-100 Index® is reported by Bloomberg L.P. under the ticker symbol
“NDX.”
“Nasdaq-100 Index®” is a trademark of The
Nasdaq, Inc. and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
Nasdaq-100 Index®—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Nasdaq-100 Index®” in the accompanying underlying supplement for important disclosures regarding the Nasdaq-100 Index®,
including information concerning its composition and calculation and certain risks that are associated with an investment linked to the
Nasdaq-100 Index®.
The graph below illustrates the performance of the Nasdaq-100
Index® from January 3, 2011 to April 16, 2021. The closing level of the Nasdaq-100 Index® on April 16, 2021
was 14,041.91. We obtained the closing levels of the Nasdaq-100 Index® from Bloomberg, and we have not participated in
the preparation of or verified such information. The historical closing levels of the Nasdaq-100 Index® should not be taken
as an indication of future performance and no assurance can be given as to the final underlying level or any future closing level of the
Nasdaq-100 Index®. We cannot give you assurance that the performance of the Nasdaq-100 Index® will result
in a positive return on your initial investment and you could lose a significant portion or all of the stated principal amount at maturity.
Correlation
of the Underlyings
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The following graph sets forth the historical performances of the Russell
2000® Index and the Nasdaq-100 Index® from January 3, 2011 through April 16, 2021, based on the daily closing
levels of the underlyings. For comparison purposes, each underlying has been normalized to have a closing level of 100.00 on January 3,
2011 by dividing the closing level of that underlying on each day by the closing level of that underlying on January 3, 2011 and multiplying
by 100.00.
We obtained the closing levels used to determine the normalized closing
levels set forth below from Bloomberg, without independent verification. Historical performance of the underlyings should not be taken
as an indication of future performance. Future performance of the underlyings may differ significantly from historical performance, and
no assurance can be given as to the closing levels of the underlyings during the term of the notes, including on any trading day during
an observation period. Moreover, any historical correlation between the underlyings is not indicative of the degree of correlation between
the underlyings, if any, over the term of the notes.
PAST PERFORMANCE AND CORRELATION BETWEEN THE
UNDERLYINGS IS NOT INDICATIVE OF FUTURE PERFORMANCE OR CORRELATION
Correlation is a measure of the extent to which two underlyings tend
to increase or decrease at similar times and by similar magnitudes over a given time period. The closer the relationship of the returns
of a pair of underlyings over a given period, the more correlated those underlyings are. Conversely, the less closely related the returns
of a pair of underlyings, the less correlated those underlyings are. Two underlyings may also be inversely correlated, which means that
they tend to move in opposite directions from one another. The graph above illustrates the historical performance of each underlying relative
to the other over the time period shown and provides an indication of how close the performance of each underlying has historically been
to the other underlyings. However, the graph does not provide a precise measure of correlation and there may be relevant aspects of the
historical correlation between the underlyings that cannot be discerned from the graph. Furthermore, regardless of the degree of correlation
between the underlyings in the past, past correlation is not indicative of future correlation, and it is possible that the underlyings
will exhibit significantly lower correlation in the future than they did in the past. We cannot predict the relationship between the underlyings
over the term of the notes. For additional information, see “Summary Risk Factors—You will be subject to risks relating to
the relationship between the underlyings.”
The lower (or more negative) the correlation between the underlyings,
the less likely it is that the underlyings will move in the same direction at the same time and, therefore, the greater the potential
for one of the underlyings to close below its downside threshold on the final valuation date, respectively. This is because the less correlated
the underlyings are, the greater the likelihood that at least one of the underlyings will decrease in value. However, even if the underlyings
have a higher correlation, one or more of the underlyings might close below downside threshold on the final valuation date, respectively,
as all of the underlyings may decrease in value together.
The terms of the notes are set, in part, based on expectations about
the correlation between the underlyings as of the trade date. If expectations about the correlation between the underlyings change over
the term of the notes, the value of the notes may be adversely affected, and if the actual correlation between the underlyings proves
to be lower than initially expected, the notes may prove to be riskier than expected on the trade date. The correlation referenced in
setting the terms of the notes is calculated using CGMI’s proprietary derivative-pricing model and is not derived from the returns
of the underlyings over the period set forth in the graph above. In addition, factors and inputs other than correlation impact how the
terms of the notes are set and the performance of the notes.
United States Federal Tax Considerations
|
You should note that, other than the discussion
under “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Possible Taxable Event” regarding
the possible assumption of the notes by Citigroup Inc., the discussion under the section called “United States Federal Tax Considerations”
in the accompanying product supplement generally does not apply to the notes issued under this pricing supplement and is superseded by
the following discussion.
The following is a discussion of the material U.S.
federal income and certain estate tax consequences of the ownership and disposition of the notes. It applies to you only if you are an
initial holder of a note that purchases the note for cash at its stated principal amount, and holds the note as a capital asset within
the meaning of Section 1221 of the Code.
This discussion does not address all of the tax consequences
that may be relevant to you in light of your particular circumstances or if you are a holder subject to special rules, such as:
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·
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a
financial institution;
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·
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a
dealer or trader subject to a mark-to-market method of tax accounting with respect to the notes;
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·
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a
person holding the notes as part of a “straddle” or conversion transaction or one who enters into a “constructive sale”
with respect to a note;
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·
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a
U.S. Holder (as defined below) whose functional currency is not the U.S. dollar;
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·
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an
entity classified as a partnership for U.S. federal income tax purposes;
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a
regulated investment company;
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a
tax-exempt entity, including an “individual retirement account” or “Roth IRA”; or
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·
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an
investor subject to special tax accounting rules under Section 451(b) of the Code.
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If an entity that is classified as a partnership for
U.S. federal income tax purposes holds the notes, the U.S. federal income tax treatment of a partner will generally depend on the status
of the partner and the activities of the partnership. If you are a partnership holding the notes or a partner in such a partnership, you
should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing of the notes to you.
This discussion is based on the Code, administrative
pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this pricing supplement,
changes to any of which may affect the tax consequences described herein, possibly with retroactive effect. This discussion does not address
the effects of any applicable state, local or non-U.S. tax laws, or the potential application of the Medicare contribution tax. You
should consult your tax adviser about the application of U.S. federal tax laws to your particular situation (including the possibility
of alternative treatments of the notes), as well as any tax consequences arising under the laws of any state, local or non-U.S. jurisdiction.
Tax Treatment of the Notes
Due to the absence of statutory, judicial or administrative
authorities that directly address the U.S. federal tax treatment of the notes or similar instruments, there is substantial uncertainty
regarding the U.S. federal tax consequences of an investment in the notes. In connection with any information reporting requirements we
may have in respect of the notes under applicable law, we intend (in the absence of an administrative determination or judicial ruling
to the contrary) to treat each note for U.S. federal income tax purposes as a unit comprising (i) an option written by you that, if exercised,
requires you to pay us an amount equal to the Deposit (as defined below) in exchange for a cash payment from us based on the underlying
return of the least performing underlying (the “Put Option”) and (ii) a deposit with us of a fixed amount of cash equal to
the stated principal amount of the note to secure your potential obligation under the Put Option (the “Deposit”). In
the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the notes is reasonable under current law; however, our counsel
has advised us that due to the lack of any controlling legal authority it is unable to conclude affirmatively that this treatment is more
likely than not to be upheld, and that alternative treatments are possible. 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. Under this treatment:
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·
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a
portion of each coupon payment made with respect to a note will be attributable to interest on the Deposit; and
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· the
remainder will represent option premium attributable to your grant of the Put Option (with respect to each coupon payment received and,
collectively, all coupon payments received, “Put Premium”).
We will specify in the final pricing supplement the
portion of each coupon payment that we will allocate to interest on the Deposit and to Put Premium, respectively.
We do not plan to request a ruling from the IRS,
and the IRS or a court might not agree with this treatment. Accordingly, you should consult your tax adviser regarding the U.S. federal
tax consequences of an investment in the notes. Unless otherwise stated, the following discussion is based on the treatment of each note
as a Put Option and a Deposit.
Tax Consequences to U.S. Holders
This section applies only to U.S. Holders. You are
a “U.S. Holder” if for U.S. federal income tax purposes you are a beneficial owner of a note that is:
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a
citizen or individual resident of the United States;
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· a
corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state thereof
or the District of Columbia; or
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an
estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
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Coupon Payments. We intend to treat interest
paid with respect to the Deposit as ordinary interest income that is taxable to you at the time it accrues or is received, in accordance
with your method of tax accounting. The Put Premium should not be taken into account until retirement or earlier sale or exchange of the
note.
Sale or Exchange Prior to Retirement. Upon
a sale or exchange of a note prior to retirement, you should apportion the amount realized between the Deposit and the Put Option based
on their respective values on the date of sale or exchange. If the value of the Put Option is negative, you should be treated as having
made a payment of such negative value to the purchaser in exchange for the purchaser’s assumption of the Put Option, in which case
a corresponding amount should be added to the amount realized in respect of the Deposit.
You should recognize gain or loss with respect to
the Deposit in an amount equal to the difference between (i) the amount realized that is apportioned to the Deposit (other than any amount
attributable to accrued interest on the Deposit, which should be treated as a payment of interest) and (ii) your basis in the Deposit
(i.e., the price you paid to acquire the note). Such gain or loss should be long-term capital gain or loss if you have held the note for
more than one year, and short-term capital gain or loss otherwise.
You should recognize gain or loss in respect of the
Put Option in an amount equal to the total Put Premium you previously received, decreased by the amount deemed to be paid by you, or increased
by the amount deemed to be paid to you, in exchange for the purchaser’s assumption of the Put Option. This gain or loss should be
short-term capital gain or loss.
Tax Treatment at Retirement. The coupon payment
received upon retirement will be treated as described above under “Coupon Payments.”
If a note is retired for its stated principal amount
(without taking into account any coupon payment), the Put Option should be deemed to have expired unexercised, in which case you should
recognize short-term capital gain in an amount equal to the sum of all payments of Put Premium received, including the Put Premium received
upon retirement.
At maturity, if you receive an amount of cash, not
counting the final coupon payment, that is different from the stated principal amount, the Put Option should be deemed to have been exercised
and you should be deemed to have applied the Deposit toward the cash settlement of the Put Option. In that case, you should recognise
short-term capital gain or loss with respect to the Put Option in an amount equal to the difference between (i) the sum of the total Put
Premium received (including the Put Premium received at maturity) and the cash you receive at maturity, excluding the final coupon payment,
and (ii) the Deposit.
Possible Taxable Event. In the event
of a designation of a successor underlying, it is possible that the notes could be treated, in whole or part, as terminated and reissued
for U.S. federal income tax purposes. In such a case, you might be required to recognize gain or loss (subject to the possible application
of the wash sale rules) with respect to the notes.
Possible Alternative Tax Treatments of an Investment
in the Notes
Alternative U.S. federal income tax treatments of
the notes are possible that, if applied, could materially and adversely affect the timing and/or character of income, gain or loss with
respect to the notes. A note could be treated as a debt instrument issued by us, in which case the timing and character of taxable income
with respect to coupon payments on the notes would differ from that described herein and all or a portion of any gain you realize would
generally be treated as ordinary income. In addition, you could be subject to special reporting requirements if any loss exceeded certain
thresholds. Under other possible treatments, the entire coupon on the notes might either be (i) treated as income to you at the time received
or accrued or (ii) not accounted for separately as giving rise to income to you until the sale, exchange or retirement of the notes. You
should consult your tax adviser regarding these issues.
Other possible U.S. federal income tax treatments of the notes are possible
that could also affect the timing and character of income or loss with respect to the notes. 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.
In addition, 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 the U.S. federal income tax consequences
of an investment in the notes.
Tax Consequences to Non-U.S. Holders
This section applies only to Non-U.S. Holders. You
are a “Non-U.S. Holder” if you are a beneficial owner of a note that is, for U.S. federal income tax purposes:
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an
individual who is classified as a nonresident alien;
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a
foreign corporation; or
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a
foreign trust or estate.
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You are not a Non-U.S. Holder for the purposes of
this discussion if you are (i) an individual who is present in the United States for 183 days or more in the taxable year of disposition
or (ii) a former citizen or resident of the United States. If you are or may become such a person during the period in which you hold
a note, you should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the notes to you.
Subject to the discussions below regarding Section
871(m) and “FATCA,” under current law, you generally should not be subject to U.S. federal withholding or income tax in respect
of payments on the notes or amounts received on the sale, exchange or retirement of the notes, provided that (i) income in respect of
the notes is not effectively connected with your conduct of a trade or business in the United States, and (ii) you provide to the applicable
withholding agent an appropriate IRS Form W-8 certifying under penalties of perjury that you are not a U.S. person.
If you are engaged in a U.S. trade or business, and
if income from the notes is effectively connected with the conduct of that trade or business, you generally will be subject to regular
U.S. federal income tax with respect to that income in the same manner as if you were a U.S. Holder, unless an applicable income tax treaty
provides otherwise. If you are a Non-U.S. Holder to which this paragraph may apply, you should consult your tax adviser regarding other
U.S. tax consequences of the ownership and disposition of the notes. If you are a corporation, you should also consider the potential
application of a 30% (or lower treaty rate) branch profits tax.
As described above under “—Tax Consequences
to U.S. Holders—Possible Alternative Tax Treatments of an Investment in the Notes” alternative tax treatments could apply
to the notes, in which case the tax consequences to you could be materially and adversely affected. In addition, potential legislative
or regulatory changes to the tax treatment of the notes could adversely impact your consequences of an investment in the notes.
Possible Withholding Under Section 871(m) of the
Code. 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 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.
While we currently do not intend to withhold on
payments on the notes to Non-U.S. Holders (subject to the certification requirement described above, the discussion above regarding Section
871(m) and the discussion below regarding “FATCA”), in light of the uncertain treatment of the notes other persons having
withholding or information reporting responsibility in respect of the notes may treat some or all of each coupon payment on a note as
subject to withholding tax at a rate of 30%. Moreover, it is possible that in the future we may determine that we should withhold at a
rate of 30% on coupon payments on the notes. We will not be required to pay any additional amounts with respect to amounts withheld.
U.S. Federal Estate Tax
If you are an individual Non-U.S. Holder, or an entity
the property of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example,
a trust funded by such an individual and with respect to which the individual has retained certain interests or powers), you should note
that, absent an applicable treaty exemption, a note may be treated as U.S.-situs property subject to U.S.
federal estate tax. If you are such an individual
or entity, you should consult your tax adviser regarding the U.S. federal estate tax consequences of an investment in the notes.
Information Reporting and Backup Withholding
Amounts paid on the notes, and payment of the proceeds
of a sale, exchange or other taxable disposition of the notes, may be subject to information reporting and, if you fail to provide certain
identifying information (such as an accurate taxpayer identification number if you are a U.S. Holder) or meet certain other conditions,
may also be subject to backup withholding at the rate specified in the Code. If you are a Non-U.S. Holder that provides the applicable
withholding agent with an appropriate IRS Form W-8, you will generally establish an exemption from backup withholding. Amounts withheld
under the backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability,
provided the relevant information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as “FATCA”
generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect
to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An intergovernmental
agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements. This legislation generally
applies to certain financial instruments that are treated as paying U.S.-source interest, dividend equivalents or other U.S.-source “fixed
or determinable annual or periodical” income (“FDAP income”). Withholding (if applicable) applies to payments of U.S.-source
FDAP income. While existing Treasury regulations would also require withholding on payments of gross proceeds of the disposition (including
upon retirement) of certain financial instruments treated as providing for U.S.-source interest or dividends, the U.S. Treasury Department
has indicated in subsequent proposed regulations its intent to eliminate this requirement. The U.S. Treasury Department has indicated
that taxpayers may rely on these proposed regulations pending their finalization. Although the application of the FATCA rules to the notes
is not entirely clear because the U.S. federal income tax treatment of the notes is unclear, it would be prudent to assume that a withholding
agent will treat the notes as subject to the withholding rules under FATCA. If withholding applies to the notes, we will not be required
to pay any additional amounts with respect to amounts withheld. You should consult your tax adviser regarding the potential application
of FATCA to the notes.
The preceding discussion, when read in conjunction
with “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Possible Taxable Event” in the
accompanying product supplement, 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 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 foreign taxing jurisdiction.
Supplemental Plan of Distribution
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CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
lead agent for the sale of the notes, will receive an underwriting discount of $0.10 for any note sold in this offering. UBS, as agent
for sales of the notes, expects to purchase from CGMI, and CGMI expects to sell to UBS, all of the notes sold in this offering for $9.90
per note. UBS proposes to offer the notes to the public at a price of $9.90 per note. UBS will receive an underwriting discount of $0.10
for each note it sells to the public. The underwriting discount will be received by UBS and its financial advisors collectively If all
of the notes are not sold at the initial offering price, CGMI may change the public offering price and other selling terms. For the avoidance
of doubt, the underwriting discount will not be rebated if the notes are called by the issuer prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will conform
with the requirements addressing conflicts of interest when distributing the notes of an affiliate set forth in Rule 5121 of the Financial
Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment discretion will not be permitted
to purchase the notes, either directly or indirectly, without the prior written consent of the client.
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 settlement 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.
It is expected that CGMI or such other affiliates may profit from such expected hedging activity even if the value of the notes declines.
This hedging activity could affect the closing levels of the underlyings 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.
Certain Selling Restrictions
|
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:
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(a)
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the expression “retail investor” means a person who is one (or more) of the following:
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(i)
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a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
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(ii)
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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
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(iii)
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not a qualified investor as defined in Directive 2003/71/EC; and
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(b)
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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.
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Valuation
of the Notes
CGMI calculated the estimated value of the notes set forth on the cover
page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated value
for the notes by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the notes,
which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying the
economic terms of the notes (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the notes prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the notes is a function of the terms of the notes
and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement, it is uncertain what
the estimated value of the notes will be on the trade date because certain terms of the notes have not yet been fixed and because it is
uncertain what the values of the inputs to CGMI’s proprietary pricing models will be on the trade date.
During a temporary adjustment period immediately 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 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 over the temporary adjustment period. CGMI currently
expects that the temporary adjustment period will be approximately three months, but the actual length of the temporary adjustment period
may be shortened due to various factors, such as the volume of secondary market purchases of the notes and other factors that cannot be
predicted. 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.”
© 2021 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
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