KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlyings:
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Underlying
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Initial underlying value*
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Trigger value**
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Premium threshold value***
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S&P 500® Index
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Russell 2000® Index
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Nasdaq-100 Index®
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* For each underlying, its closing value on the pricing
date
** For each underlying, 70% of its initial underlying value
*** For each underlying, 102% of its initial underlying
value
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Stated principal amount:
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$1,000 per security
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Pricing date:
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May 11, 2021
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Issue date:
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May 14, 2021
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Interim valuation dates:
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May 16, 2022, May 11, 2023, May 13, 2024 and May 12, 2025, each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Final valuation date:
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May 11, 2026, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Maturity date:
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Unless earlier redeemed, May 14, 2026
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Automatic early redemption:
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If, on any interim valuation date, the closing value of the worst performing underlying on that interim valuation date is greater than or equal to its premium threshold value, the securities will be automatically redeemed on the third business day immediately following that interim valuation date for an amount in cash per security equal to $1,000 plus the premium applicable to that interim valuation date. If the securities are automatically redeemed following any interim valuation date, they will cease to be outstanding and you will not receive the premium or other return applicable to any later valuation date.
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Payment at maturity:
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If the securities are not automatically redeemed prior to maturity,
you will receive at maturity, for each security you then hold:
§
If the final underlying value of the worst performing underlying on the final valuation date is greater than or equal to
its initial underlying value: $1,000 + the return amount
§
If the final underlying value of the worst performing underlying on the final valuation date is less than its initial underlying
value but greater than or equal to its trigger value: $1,000
§
If the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value:
$1,000 + ($1,000 × the underlying return of the worst performing underlying on the final valuation date)
If the securities are not automatically redeemed prior to maturity
and the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value, you will
receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity.
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Listing:
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The securities will not be listed on any securities exchange
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee(2)
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Proceeds to issuer(3)
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Per security:
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$1,000.00
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$11.25
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$988.75
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Total:
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$
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$
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$
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(Key Terms continued on next page)
(1) Citigroup Global Markets Holdings Inc. currently expects that the
estimated value of the securities on the pricing date will be at least $909.00 per security, which will be less than the issue price.
The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an
indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other
person may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in this
pricing supplement.
(2) CGMI will receive an underwriting fee of up to $11.25 for each security
sold in this offering. The total underwriting fee and proceeds to issuer in the table above give effect to the actual total underwriting
fee. For more information on the distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement.
In addition to the underwriting fee, CGMI and its affiliates may profit from expected hedging activity related to this offering, even
if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) The per security proceeds to issuer indicated above represent the
minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting fee. As noted above, the underwriting
fee is variable.
Investing in the securities involves
risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation
to the contrary is a criminal offense. You should read this
pricing supplement together with the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus, which can
be accessed via the hyperlinks below:
Product Supplement No. EA-02-08 dated February 15, 2019 Underlying Supplement No. 9 dated October 30, 2020
Prospectus Supplement and Prospectus each dated May 14, 2018
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
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KEY TERMS (continued)
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Premium:
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The premium applicable to each interim valuation date is set forth below.
The premium may reflect a return that is significantly less than the appreciation of any underlying from the pricing date to the applicable
interim valuation date.
·
May 16, 2022: 12.10% of the stated principal amount
·
May 11, 2023: 24.20% of the stated principal amount
·
May 13, 2024: 36.30% of the stated principal amount
·
May 12, 2025: 48.40% of the stated principal amount
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Return amount:
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$1,000 × the underlying return of the worst performing underlying on the final valuation date
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Final underlying value:
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For each underlying, its closing value on the final valuation date
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Underlying return:
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For each underlying on any valuation date, (i) its closing value on that valuation date minus its initial underlying value, divided by (ii) its initial underlying value
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Worst performing underlying:
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For any valuation date, the underlying with the lowest underlying return determined as of that valuation date
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CUSIP / ISIN:
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17329FD27 / US17329FD270
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Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the
accompanying product supplement contains important information about how the closing value of each underlying will be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events
with respect to each underlying. The accompanying underlying supplement contains information about each underlying that is not repeated
in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined
in this pricing supplement are defined in the accompanying product supplement.
Prospectus. The first sentence
of “Description of Debt Securities—Events of Default and Defaults” in the accompanying prospectus shall be amended to
read in its entirety as follows:
Events of default under the indenture
are:
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·
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt
security of such series for 30 days;
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·
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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;
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·
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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;
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·
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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
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·
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certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary
or not (Section 6.01).
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Citigroup Global Markets Holdings Inc.
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Payout Table and Diagram
The table below illustrates how the amount payable per security will
be calculated if the closing value of the worst performing underlying on any interim valuation date is greater than or equal to its premium
threshold value.
If the first interim valuation date on which the closing value of the worst performing underlying on that interim valuation date is greater than or equal to its premium threshold value is . . .
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. . . then you will receive the following payment per $1,000 security upon automatic early redemption:
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May 16, 2022
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$1,000 + applicable premium = $1,000 + $121.00 = $1,121.00
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May 11, 2023
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$1,000 + applicable premium = $1,000 + $242.00 = $1,242.00
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May 13, 2024
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$1,000 + applicable premium = $1,000 + $363.00 = $1,363.00
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May 12, 2025
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$1,000 + applicable premium = $1,000 + $484.00 = $1,484.00
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If, on any interim valuation date, the closing value of any underlying
is greater than or equal to its premium threshold value, but the closing value of any other underlying is less than its premium threshold
value, you will not receive the premium indicated above following that interim valuation date. In order to receive the premium indicated
above, the closing value of each underlying on the applicable interim valuation date must be greater than or equal to its premium
threshold value.
The diagram below illustrates
the payment at maturity of the securities, assuming the securities have not previously been automatically redeemed, for a range of hypothetical
underlying returns of the worst performing underlying on the final valuation date. Your payment at maturity (if the securities are not
earlier automatically redeemed) will be determined based solely on the performance of the worst performing underlying on the final valuation
date.
Investors in the securities will not receive any dividends with respect
to the underlyings. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities.
See “Summary Risk Factors—You will not receive dividends or have any other rights with respect to the underlyings” below.
Citigroup Global Markets Holdings Inc.
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Payout Diagram
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Hypothetical Examples
of the Payment at Maturity
The examples below illustrate how to determine the payment at maturity
on the securities, assuming the securities are not automatically redeemed prior to maturity. The examples are solely for illustrative
purposes, do not show all possible outcomes and are not a prediction of any payment that may be made on the securities.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values or trigger values of the underlyings. For the actual initial underlying values and
trigger values, see the cover page of this pricing supplement. We have used these hypothetical values, rather than the actual values,
to simplify the calculations and aid understanding of how the securities work. However, you should understand that the actual payments
on the securities will be calculated based on the actual initial underlying value and trigger value of each underlying, and not the hypothetical
values indicated below.
Underlying
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Hypothetical initial underlying value
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Hypothetical trigger value
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S&P 500® Index
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100
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70 (70% of its hypothetical initial underlying value)
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Russell 2000® Index
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100
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70 (70% of its hypothetical initial underlying value)
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Nasdaq-100 Index®
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100
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70 (70% of its hypothetical initial underlying value)
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The examples below are intended to illustrate how, if the securities
are not automatically redeemed prior to maturity, your payment at maturity will depend on the final underlying value of the worst performing
underlying on the final valuation date. Your actual payment at maturity per security will depend on the actual final underlying value
of the worst performing underlying on the final valuation date.
Citigroup Global Markets Holdings Inc.
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Example 1—Upside Scenario.
Underlying
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Hypothetical final underlying value
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Hypothetical underlying return
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S&P 500® Index
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130
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30%
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Russell 2000® Index
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110
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10%
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Nasdaq-100 Index®
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150
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50%
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Payment at maturity per security = $1,000 + the return amount
= $1,000 + ($1,000 × the underlying return of the worst performing
underlying on the final valuation date)
= $1,000 + ($1,000 × 10%)
= $1,000 + $100
= $1,100
In this example, the Russell 2000® Index has the lowest
underlying return and is, therefore, the worst performing underlying on the final valuation date. Because the final underlying value of
the worst performing underlying on the final valuation date is greater than its initial underlying value, your total return at maturity
would equal the underlying return of the worst performing underlying on the final valuation date.
Example 2—Par Scenario.
Underlying
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Hypothetical final underlying value
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Hypothetical underlying return
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S&P 500® Index
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90
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-10%
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Russell 2000® Index
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105
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5%
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Nasdaq-100 Index®
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120
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20%
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In this example, the S&P 500® Index has the lowest
underlying return and is, therefore, the worst performing underlying on the final valuation date. Because the final underlying value of
the worst performing underlying on the final valuation date is less than its initial underlying value but greater than its trigger value,
you would be repaid the stated principal amount of $1,000 per security at maturity but would not receive any premium.
Example 3—Downside Scenario.
Underlying
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Hypothetical final underlying value
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Hypothetical underlying return
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S&P 500® Index
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90
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-10%
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Russell 2000® Index
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105
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5%
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Nasdaq-100 Index®
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30
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-70%
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In this example, the Nasdaq-100 Index® has the lowest
underlying return and is, therefore, the worst performing underlying on the final valuation date. Because the final underlying value of
the worst performing underlying on the final valuation date is less than its trigger value, you would receive a payment at maturity per
security that is significantly less than the stated principal amount, calculated as follows:
Payment at maturity per security = $1,000 + ($1,000 × the underlying
return of the worst performing underlying on the final valuation date)
= $1,000 + ($1,000 × -70%)
= $1,000 + -$700
Citigroup Global Markets Holdings Inc.
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= $300
In this example, you would incur a significant loss at maturity and
would have full downside exposure to the depreciation of the worst performing underlying on the final valuation date from its initial
underlying value to its final underlying value.
Citigroup Global Markets Holdings Inc.
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Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with each underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
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§
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You may lose a significant portion or all of your investment. Unlike conventional debt securities, the securities do not provide
for the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed prior
to maturity, your payment at maturity will depend on the final underlying value of the worst performing underlying on the final valuation
date. If the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value, you
will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing underlying on the final valuation
date has declined from its initial underlying value. There is no minimum payment at maturity on the securities, and you may lose up to
all of your investment.
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|
§
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The trigger feature of the securities exposes you to particular risks. Although you will be repaid at least your stated principal
amount at maturity so long as the final underlying value of the worst performing underlying on the final valuation date is greater than
or equal to its trigger value, you will have full downside exposure to that worst performing underlying on the final valuation date if
its final underlying value is less than its trigger value. In this scenario, you will lose 1% of the stated principal amount of the securities
for every 1% by which the worst performing underlying on the final valuation date has declined from its initial underlying value to its
final underlying value and you may lose your entire investment in the securities.
|
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§
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The securities do not pay interest. You should not invest in the securities if you seek current income during the term of the
securities.
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§
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The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky than similar
investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying
will perform poorly, adversely affecting your return on the securities.
|
|
§
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The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs
poorly. You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively
affected. The securities are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would
be better than the performance of the worst performing underlying alone. Instead, you are subject to the full risks of whichever of the
underlyings is the worst performing underlying.
|
|
§
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You will not benefit in any way from the performance of any better performing underlying. The return on the securities depends
solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying.
|
|
§
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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 their closing values tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this relationship.
The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the underlyings to perform poorly. It is impossible to predict
what the relationship between the underlyings will be over the term of the securities. The underlyings differ in significant ways and,
therefore, may not be correlated with each other.
|
|
§
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The securities may be automatically redeemed prior to maturity, limiting the term of the securities. If the closing value of
the worst performing underlying on any interim valuation date is greater than or equal to its premium threshold value, the securities
will be automatically redeemed. If the securities are automatically redeemed following any interim valuation date, they will cease to
be outstanding and you will not receive the premium or other return applicable to any later valuation date. Moreover, you may not be able
to reinvest your funds in another investment that provides a similar yield with a similar level of risk.
|
|
§
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You will not receive dividends or have any other rights with respect to the underlyings. You will not receive any dividends
with respect to the underlyings. This lost dividend yield may be significant over the term of the securities. The payment scenarios described
in this pricing supplement do not show any effect of such lost dividend yield over the term of the securities. In addition, you will not
have voting rights or any other rights with respect to the underlyings or the stocks included in the underlyings.
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Citigroup Global Markets Holdings Inc.
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§
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The performance of the securities will depend on the closing values of the underlyings solely on the valuation dates, which makes
the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates. Whether
the securities will be automatically redeemed prior to maturity will depend on the closing values of the underlyings solely on the interim
valuation dates, regardless of the closing values of the underlyings on other days during the term of the securities. If the securities
are not automatically redeemed prior to maturity, what you receive at maturity will depend solely on the final underlying value of the
worst performing underlying on the final valuation date, and not on any other day during the term of the securities. Because the performance
of the securities depends on the closing values of the underlyings on a limited number of dates, the securities will be particularly sensitive
to volatility in the closing values of the underlyings on or near the valuation dates. You should understand that the closing value of
each underlying has historically been highly volatile.
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§
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The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities.
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§
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The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity.
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§
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the securities that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
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|
§
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of, and correlation between, the underlyings, dividend
yields on the underlyings and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an
underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to
be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities set
forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities
for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
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|
§
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The estimated value of the securities would be lower if it were calculated based on our secondary market
rate. The estimated value of the securities included in this pricing supplement is calculated based on our internal funding rate,
which is the rate at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally
lower than our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of
any purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate
based on factors such as the costs associated with the securities, which are generally higher than the costs associated with conventional
debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that is payable on the securities.
|
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject
to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our
creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted for discretionary
factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
|
§
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
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Citigroup Global Markets Holdings Inc.
|
|
included in this pricing supplement, any value of the securities
determined for purposes of a secondary market transaction will be based on our secondary market rate, which will likely result in a lower
value for the securities than if our internal funding rate were used. In addition, any secondary market price for the securities will
be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the securities to be purchased in
the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any
secondary market price for the securities will be less than the issue price.
|
§
|
The value of the securities prior to maturity will fluctuate
based on many unpredictable factors. The value of your securities prior to maturity will fluctuate based on the closing values of
the underlyings, the volatility of the closing values of the underlyings, the correlation between the underlyings, dividend yields on
the underlyings, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected
in our secondary market rate, among other factors described under “Risk Factors Relating to the Securities—Risk Factors Relating
to All Securities—The value of your securities prior to maturity will fluctuate based on many unpredictable factors” in the
accompanying product supplement. Changes in the closing values of the underlyings may not result in a comparable change in the value
of your securities. You should understand that the value of your securities at any time prior to maturity may be significantly less than
the issue price.
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|
§
|
Immediately following issuance, any secondary market bid
price provided by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates,
will reflect a temporary upward adjustment. The amount of this temporary upward adjustment will steadily decline to zero over the
temporary adjustment period. See “Valuation of the Securities” in this pricing supplement.
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|
§
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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 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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|
§
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Our offering of the securities is not a recommendation of
any underlying. The fact that we are offering the securities does not mean that we believe that investing in an instrument linked
to the underlyings is likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates
may have positions (including short positions) in the underlyings or in instruments related to the underlyings, and may publish research
or express opinions, that in each case are inconsistent with an investment linked to the underlyings. These and other activities of our
affiliates may affect the closing values of the underlyings in a way that negatively affects the value of and your return on the securities.
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|
§
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The closing value of an underlying may be adversely affected
by our or our affiliates’ hedging and other trading activities. We expect to hedge our obligations under the securities through
CGMI or other of our affiliates, who may take positions in the underlyings or in financial instruments related to the underlyings and
may adjust such positions during the term of the securities. Our affiliates also take positions in the underlyings or in financial instruments
related to the underlyings on a regular basis (taking long or short positions or both), for their accounts, for other accounts under
their management or to facilitate transactions on behalf of customers. These activities could affect the closing values of the underlyings
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines.
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|
§
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We and our affiliates may have economic interests that are
adverse to yours as a result of our affiliates’ business activities. Our affiliates engage in business activities with a wide
range of companies. These activities include extending loans, making and facilitating investments, underwriting securities offerings
and providing advisory services. These activities could involve or affect the underlyings in a way that negatively affects the value
of and your return on the securities. They could also result in substantial returns for us or our affiliates while the value of the securities
declines. In addition, in the course of this business, we or our affiliates may acquire non-public information, which will not be disclosed
to you.
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The calculation agent, which is an affiliate of ours, will
make important determinations with respect to the securities. If certain events occur during the term of the securities, such
as market disruption events and other events with respect to an underlying, CGMI, as calculation agent, will be required to make discretionary
judgments that could significantly affect your return on the securities. In making these judgments, the calculation agent’s interests
as an affiliate of ours could be adverse to your interests as a holder of the securities. See “Risk Factors Relating to the Securities—Risk
Factors Relating to All Securities—The calculation agent, which is an affiliate of ours, will make important determinations with
respect to the securities” in the accompanying product supplement.
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§
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Changes that affect the underlyings may affect the value
of your securities. The sponsors of the underlyings may at any time make methodological changes or other changes in the manner in
which they operate that could affect the values of the underlyings. We are not affiliated with any such underlying sponsor and, accordingly,
we have no control over any changes any such sponsor may make. Such changes could adversely affect the performance of the underlyings
and the value of and your return on the securities.
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Citigroup Global Markets Holdings Inc.
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The U.S. federal tax consequences of an investment in the securities are
unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan
to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment
of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid forward contracts.
If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition
of the securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could
adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.
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If you are a non-U.S. investor, you should review the discussion
of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Information About
the S&P 500® Index
The S&P 500®
Index consists of the common stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of
the U.S. equity markets. It is calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity
Index Descriptions—The S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement
for additional information.
We have derived all information
regarding the S&P 500® Index from publicly available information and have not independently verified any information
regarding the S&P 500® Index. This pricing supplement relates only to the securities and not to the S&P 500®
Index. We make no representation as to the performance of the S&P 500® Index over the term of the securities.
The securities represent obligations
of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index is
not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the S&P
500® Index on May 3, 2021 was 4,192.66.
The graph below shows the closing
value of the S&P 500® Index for each day such value was available from January 3, 2011 to May 3, 2021. We obtained
the closing values from Bloomberg L.P., without independent verification. You should not take the historical closing values as an indication
of future performance.
S&P 500® Index – Historical Closing Values
January 3, 2011 to May 3, 2021
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Citigroup Global Markets Holdings Inc.
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Information About 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.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000®
Index from publicly available information and have not independently verified any information regarding the Russell 2000®
Index. This pricing supplement relates only to the securities and not to the Russell 2000® Index. We make no representation
as to the performance of the Russell 2000® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000® Index is not involved in any way in this offering
and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Russell 2000® Index on May 3,
2021 was 2,277.451.
The graph below shows the closing value of the Russell 2000®
Index for each day such value was available from January 3, 2011 to May 3, 2021. We obtained the closing values from Bloomberg L.P., without
independent verification. You should not take the historical closing values as an indication of future performance.
Russell 2000® Index – Historical Closing Values
January 3, 2011 to May 3, 2021
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Citigroup Global Markets Holdings Inc.
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Information About 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 Nasdaq, Inc.
Please refer to the section “Equity
Index Descriptions—The Nasdaq-100 Index®” in the accompanying underlying supplement for additional information.
We have derived all information
regarding the Nasdaq-100 Index® from publicly available information and have not independently verified any information
regarding the Nasdaq-100 Index®. This pricing supplement relates only to the securities and not to the Nasdaq-100 Index®.
We make no representation as to the performance of the Nasdaq-100 Index® over the term of the securities.
The securities represent obligations
of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Nasdaq-100 Index® is
not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Nasdaq-100 Index® on May 3,
2021 was 13,799.72.
The graph below shows the closing value of the Nasdaq-100 Index®
for each day such value was available from January 3, 2011 to May 3, 2021. We obtained the closing values from Bloomberg L.P., without
independent verification. You should not take the historical closing values as an indication of future performance.
Nasdaq-100 Index® – Historical Closing Values
January 3, 2011 to May 3, 2021
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Citigroup Global Markets Holdings Inc.
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United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, a security
should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence
of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty regarding this treatment,
and the IRS or a court might not agree with it. Moreover, our counsel’s opinion is based on market conditions as of the date of
this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
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·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.
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·
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to the difference
between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain or loss if you held
the security for more than one year.
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We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta” of one.
Based on the terms of the securities and representations provided by us as of the date of this preliminary pricing supplement, our counsel
is of the opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning
of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m).
However, the final determination regarding the treatment of the securities under Section 871(m) will be made as of the pricing date for
the securities, and it is possible that the securities will be subject to withholding tax under Section 871(m) based on the circumstances
as of that date.
A determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend
on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application
of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be required
to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $11.25 for each security
sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected dealers, as described
in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable selling concession of
up to $11.25 for each security they sell. For the avoidance of doubt, the fees and selling concessions described in this pricing supplement
will not be rebated if the securities are automatically redeemed prior to maturity.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms of
the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement, it is
uncertain what the estimated value of the securities will be on the pricing date because it is uncertain what the values of the inputs
to CGMI’s proprietary pricing models will be on the pricing date.
For a period of approximately four months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the four-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Certain
Selling Restrictions
Hong
Kong Special Administrative Region
The contents of this pricing supplement and the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority in the Hong
Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are advised to exercise
caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent professional advice.
The securities have not been offered or sold and will not be offered
or sold in Hong Kong by means of any document, other than
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to the securities
which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except if permitted to do
so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to be disposed of only to persons
outside Hong Kong or only to “professional investors” as defined in the Securities and Futures Ordinance and any rules made
under that Ordinance.
Non-insured Product: These securities are not insured by any governmental
agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Citigroup Global Markets Holdings Inc.
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Singapore
This pricing supplement and the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority of Singapore, and
the securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore (the “Securities
and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an invitation for subscription
or purchase nor may this pricing supplement or any other document or material in connection with the offer or sale or invitation for subscription
or purchase of any securities be circulated or distributed, whether directly or indirectly, to any person in Singapore other than (a)
to an institutional investor pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person under Section 275(1)
of the Securities and Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures Act and in accordance with
the conditions specified in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant to, and in accordance with the conditions
of, any other applicable provision of the Securities and Futures Act. Where the securities are subscribed or purchased under Section 275
of the Securities and Futures Act by a relevant person which is:
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(a)
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a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is an individual
who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that corporation or the
beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for 6 months after that corporation
or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the Securities and Futures Act except:
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any person
arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005 of Singapore.
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Any securities referred to herein may not be registered with any regulator,
regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined in the
Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority of Singapore
on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any governmental
agency. These securities are not bank deposits. These securities are not insured products subject to the provisions of the Deposit Insurance
and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance coverage under the Deposit
Insurance Scheme.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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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