Callable Contingent Coupon Equity Linked Securities Linked
to the Worst Performing of the iShares® Global Clean Energy ETF, the SPDR® S&P® Biotech
ETF and the VanEck Vectors® Semiconductor ETF Due May 19, 2026
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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Coupon barrier value**
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Final barrier value**
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Equity ratio***
|
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iShares® Global Clean Energy ETF
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$
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$
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$
|
|
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SPDR® S&P® Biotech ETF
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$
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$
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$
|
|
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VanEck Vectors® Semiconductor ETF
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$
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$
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$
|
|
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*For each underlying, its closing value on
the pricing date
**For each underlying, 70.00% of its initial
underlying value
***For each underlying, the stated principal
amount divided by 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 14, 2021
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Issue date:
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May 19, 2021
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Valuation dates:
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August 16, 2021, November 15, 2021, February 14, 2022, May 16, 2022, August 15, 2022, November 14, 2022, February 14, 2023, May 15, 2023, August 14, 2023, November 14, 2023, February 14, 2024, May 14, 2024, August 14, 2024, November 14, 2024, February 14, 2025, May 14, 2025, August 14, 2025, November 14, 2025, February 17, 2026 and May 14, 2026 (the “final valuation date”), each 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 19, 2026
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Contingent coupon payment dates:
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The third business day after each valuation date, except that the contingent coupon payment date following the final valuation date will be the maturity date
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Contingent coupon:
|
On each contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 2.3125% to 2.5625% of the stated principal amount of the securities (equivalent to a contingent coupon rate of 9.25% to 10.25% per annum) (to be determined on the pricing date) if and only if the closing value of the worst performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying on any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately following contingent coupon payment date.
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Payment at maturity:
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If the securities are not redeemed prior to maturity, you will receive at
maturity for each security you then hold (in addition to the final contingent coupon payment, if applicable):
§ If
the final underlying value of the worst performing underlying on the final valuation date is greater than or equal to its final
barrier value: $1,000
§ If
the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value:
a fixed number of underlying shares of the worst performing
underlying on the final valuation date equal to its equity ratio (or, if we elect, the cash value of those shares based on its final underlying
value)
If the securities are not redeemed prior to maturity and the final underlying
value of the worst performing underlying on the final valuation date is less than its final barrier value, you will receive underlying
shares (or, in our sole discretion, cash) that will be worth significantly less than the stated principal amount of your securities, and
possibly nothing, at maturity, and you will not receive any contingent coupon payment 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
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Per security:
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$1,000.00
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$17.50
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$982.50
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Total:
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$
|
$
|
$
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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 $850.00 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) 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.
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, 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, prospectus supplement and prospectus, which can be accessed via the hyperlinks below:
Product Supplement No. EA-04-08 dated February 15, 2019 Prospectus Supplement and Prospectus each dated May 14, 2018
The securities are not bank deposits and are not
insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed
by, a bank.
Citigroup Global Markets Holdings Inc.
|
|
KEY TERMS (continued)
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Redemption:
|
We may call the securities, in whole and not in part, for mandatory redemption on any potential redemption date upon not less than three business days’ notice. Following an exercise of our call right, you will receive for each security you then hold an amount in cash equal to $1,000.00 plus the related contingent coupon payment, if any.
|
Potential redemption dates:
|
The contingent coupon payment dates related to the valuation dates scheduled to occur on May 16, 2022, August 15, 2022, November 14, 2022, February 14, 2023, May 15, 2023, August 14, 2023, November 14, 2023, February 14, 2024, May 14, 2024, August 14, 2024, November 14, 2024, February 14, 2025, May 14, 2025, August 14, 2025, November 14, 2025 and February 17, 2026
|
Final underlying value:
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For each underlying, its closing value on the final valuation date
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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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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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CUSIP / ISIN:
|
17328NSJ8 / US17328NSJ80
|
Citigroup Global Markets Holdings Inc.
|
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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. It is important that you read the accompanying product supplement, prospectus supplement and prospectus
together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of each underlying
on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement. The “underlying
shares” of the underlyings are their respective shares that are traded on a U.S. national securities exchange. Please see the accompanying
product supplement for more information.
Underlying Prospectuses. In addition to this pricing supplement
and the accompanying product supplement, prospectus supplement and prospectus, you should read the prospectus for each underlying on file
at the SEC website, which can be accessed via the hyperlinks below. The contents of these prospectuses and any documents incorporated
by reference therein are not incorporated by reference herein or in any way made a part hereof.
Prospectus for the iShares® Global Clean Energy ETF
dated July 31, 2020 (as revised April 19, 2021):
https://www.sec.gov/Archives/edgar/data/1100663/000119312521119603/d103696d497.htm
Prospectus for the SPDR® S&P® Biotech
ETF dated October 31, 2020:
https://www.sec.gov/ix?doc=/Archives/edgar/data/1064642/000119312520279819/d75232d485bpos.htm
Prospectus for the VanEck Vectors® Semiconductor ETF
dated February 1, 2021:
https://www.sec.gov/ix?doc=/Archives/edgar/data/1137360/000113736021000028/cik0001137360-20200930.htm
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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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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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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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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Hypothetical Examples
The examples in the first section below illustrate how to determine
whether a contingent coupon will be paid following a valuation date. The examples in the second section below illustrate how to determine
the payment at maturity on the securities, assuming the securities are not redeemed prior to maturity. The examples are solely for illustrative
purposes, do not show all possible outcomes and are not a prediction of any payment that may be made on the securities.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values, coupon barrier values, final barrier values or equity ratios of the underlyings.
For the actual initial underlying value, coupon barrier value, final barrier value and equity ratio of each underlying, see the cover
page of this pricing supplement. We have used these hypothetical values, rather than the actual values, to simplify the calculations and
aid understanding of how the securities work. However, you should understand that the actual payments on the securities will be calculated
based on the actual initial underlying value, coupon barrier value, final barrier value and equity ratio of each underlying, and not the
hypothetical values indicated below. For ease of analysis, figures below have been rounded. The examples below assume that the contingent
coupon rate is set at the lowest value indicated on the cover page of this pricing supplement. The actual contingent coupon rate will
be determined on the pricing date.
Underlying
|
Hypothetical initial underlying value
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Hypothetical coupon barrier value
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Hypothetical final barrier value
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Hypothetical equity ratio
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iShares® Global Clean Energy ETF
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$100.00
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$70.00 (70.00% of its hypothetical initial underlying value)
|
$70.00 (70.00% of its hypothetical initial underlying value)
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10.00000
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SPDR® S&P® Biotech ETF
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$100.00
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$70.00 (70.00% of its hypothetical initial underlying value)
|
$70.00 (70.00% of its hypothetical initial underlying value)
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10.00000
|
VanEck Vectors® Semiconductor ETF
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$100.00
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$70.00 (70.00% of its hypothetical initial underlying value)
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$70.00 (70.00% of its hypothetical initial underlying value)
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10.00000
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Hypothetical Examples of Contingent Coupon Payments
Following a Valuation Date
The three hypothetical examples below illustrate how to determine whether
a contingent coupon will be paid following a hypothetical valuation date, assuming that the closing values of the underlyings on the hypothetical
valuation date are as indicated below.
|
Hypothetical closing value of the iShares® Global Clean Energy ETF on hypothetical valuation date
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Hypothetical closing value of the SPDR® S&P® Biotech ETF on hypothetical valuation date
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Hypothetical closing value of the VanEck Vectors® Semiconductor ETF on hypothetical valuation date
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Hypothetical payment per $1,000.00 security on related contingent coupon payment date
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Example 1
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$120
(underlying return =
($120 - $100) / $100 = 20%)
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$85
(underlying return =
($85 - $100) / $100 = -15%)
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$125
(underlying return =
($125 - $100) / $100 = 25%)
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$23.125
(contingent coupon is paid)
|
Example 2
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$45
(underlying return =
($45 - $100) / $100 = -55%)
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$120
(underlying return =
($120 - $100) / $100 = 20%)
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$160
(underlying return =
($160 - $100) / $100 = 60%)
|
$0.00
(no contingent coupon)
|
Example 3
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$30
(underlying return =
($30 - $100) / $100 = -70%)
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$40
(underlying return =
($40 - $100) / $100 = -60%)
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$10
(underlying return =
($10 - $100) / $100 = -90%)
|
$0.00
(no contingent coupon)
|
Example 1: On the hypothetical
valuation date, the SPDR® S&P® Biotech ETF has the lowest underlying return and, therefore, is the worst
performing underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying on the
hypothetical valuation date is greater than its coupon barrier value. As a result, investors in the securities would receive the contingent
coupon payment on the related contingent coupon payment date.
Example 2: On the hypothetical
valuation date, the iShares® Global Clean Energy ETF has the lowest underlying return and, therefore, is the worst performing
underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying on the hypothetical
valuation date is less than its coupon barrier value. As a result, investors would not receive any payment on the related contingent coupon
payment date.
Investors in the securities will not receive a contingent coupon
on the contingent coupon payment date following a valuation date if the closing value of the worst performing underlying on that valuation
date is less than its coupon barrier value. Whether a contingent coupon is paid following a valuation date depends solely on the closing
value of the worst performing underlying on that valuation date.
Example 3: On the hypothetical
valuation date, the VanEck Vectors® Semiconductor ETF has the lowest underlying return and, therefore, is the worst performing
underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying on the hypothetical
valuation date is less than its coupon barrier value. As a result, investors would not receive any payment on the related contingent coupon
payment date.
Citigroup Global Markets Holdings Inc.
|
|
Hypothetical Examples of the Payment at Maturity
on the Securities
The next three hypothetical examples illustrate the calculation of the
payment at maturity on the securities, assuming that the securities have not been earlier redeemed and that the final underlying values
of the underlyings are as indicated below.
|
Hypothetical final underlying value of the iShares® Global Clean Energy ETF
|
Hypothetical final underlying value of the SPDR® S&P® Biotech ETF
|
Hypothetical final underlying value of the VanEck Vectors® Semiconductor ETF
|
Hypothetical payment at maturity per $1,000.00 security
|
Example 4
|
$110
(underlying return =
($110 - $100) / $100 = 10%)
|
$120
(underlying return =
($120 - $100) / $100 = 20%)
|
$155
(underlying return =
($155 - $100) / $100 = 55%)
|
$1,023.125
(contingent coupon is paid)
|
Example 5
|
$110
(underlying return =
($110 - $100) / $100 = 10%)
|
$110
(underlying return =
($110 - $100) / $100 = 10%)
|
$30
(underlying return =
($30 - $100) / $100 = -70%)
|
A number of underlying shares of the worst performing underlying on the final valuation date (or, in our sole discretion, cash) worth $300.00 based on its final underlying value
|
Example 6
|
$20
(underlying return =
($20 - $100) / $100 = -80%)
|
$60
(underlying return =
($60 - $100) / $100 = -40%)
|
$30
(underlying return =
($30 - $100) / $100 = -70%)
|
A number of underlying shares of the worst performing underlying on the final valuation date (or, in our sole discretion, cash) worth $200.00 based on its final underlying value
|
Example 4: On the final valuation
date, the iShares® Global Clean Energy ETF has the lowest underlying return and, therefore, is the worst performing underlying
on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on the final valuation date
is greater than its final barrier value. Accordingly, at maturity, you would receive the stated principal amount of the securities plus
the contingent coupon payment due at maturity, but you would not participate in the appreciation of any of the underlyings.
Example 5: On the final valuation
date, the VanEck Vectors® Semiconductor ETF has the lowest underlying return and, therefore, is the worst performing underlying
on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on the final valuation date
is less than its final barrier value. Accordingly, at maturity, you would receive for each security you then hold a fixed number of underlying
shares of the worst performing underlying on the final valuation date equal to its equity ratio (or, at our option, the cash value thereof).
In this scenario, the value of a number of underlying shares of the
worst performing underlying on the final valuation date equal to its equity ratio, based on its final underlying value, would be $300.00.
Therefore, the value of the underlying shares of the worst performing underlying on the final valuation date (or, in our discretion, cash)
you receive at maturity would be significantly less than the stated principal amount of your securities. You would incur a loss based
on the performance of the worst performing underlying on the final valuation date. In addition, because the final underlying value of
the worst performing underlying on the final valuation date is below its coupon barrier value, you would not receive any contingent coupon
payment at maturity.
If the final underlying value of the worst performing underlying on
the final valuation date is less than its final barrier value, we will have the option to deliver to you on the maturity date either a
number of underlying shares of the worst performing underlying on the final valuation date equal to its equity ratio or the cash value
of those underlying shares based on their final underlying value. The value of those underlying shares on the maturity date may be different
than their final underlying value.
Example 6: On the final valuation
date, the iShares® Global Clean Energy ETF has the lowest underlying return and, therefore, is the worst performing underlying
on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on the final valuation date
is less than its final barrier value. Accordingly, at maturity, you would receive for each security you then hold a fixed number of underlying
shares of the worst performing underlying on the final valuation date equal to its equity ratio (or, at our option, the cash value thereof).
In this scenario, the value of a number of underlying shares of the
worst performing underlying on the final valuation date equal to its equity ratio, based on its final underlying value, would be $200.00.
Therefore, the value of the underlying shares of the worst performing underlying on the final valuation date (or, in our discretion, cash)
you receive at maturity would be significantly less than the stated principal amount of your securities. You would incur a loss based
on the performance of the worst performing underlying on the final valuation date. In addition, because the final underlying value of
the worst performing underlying on the final valuation date is below its coupon barrier value, you would not receive any contingent coupon
payment at maturity.
If the final underlying value of the worst performing underlying on
the final valuation date is less than its final barrier value, we will have the option to deliver to you on the maturity date either a
number of underlying shares of the worst performing underlying on the final valuation date equal to its equity ratio or the cash value
of those underlying shares based on their final underlying value. The value of those underlying shares on the maturity date may be different
than their final underlying value.
It is possible that the closing value of the worst performing underlying
will be less than its coupon barrier value on each valuation date and less than its final barrier value on the final valuation date, such
that you will not receive any contingent coupon payments over the term of the securities and will receive significantly less than the
stated principal amount of your securities, and possibly nothing, at maturity.
Citigroup Global Markets Holdings Inc.
|
|
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with each underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
|
§
|
You may lose a significant portion 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 redeemed prior to maturity,
your payment at maturity will depend on the final underlying value of the worst performing underlying on the final valuation date. If
the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value, you will
not receive the stated principal amount of your securities at maturity and, instead, will receive underlying shares of the worst performing
underlying on the final valuation date (or, in our sole discretion, cash based on its final underlying value) that will be worth significantly
less than the stated principal amount and possibly nothing. There is no minimum payment at maturity on the securities, and you may lose
up to all of your investment.
|
We may elect, in our sole discretion, to pay you cash at maturity
in lieu of delivering any underlying shares. If we elect to pay you cash at maturity in lieu of delivering any underlying shares, the
amount of that cash may be less than the market value of the underlying shares on the maturity date because the market value will likely
fluctuate between the final valuation date and the maturity date. Conversely, if we do not exercise our cash election right and instead
deliver underlying shares to you on the maturity date, the market value of such underlying shares may be less than the cash amount you
would have received if we had exercised our cash election right. We will have no obligation to take your interests into account when deciding
whether to exercise our cash election right.
|
§
|
You will not receive any contingent coupon on the contingent coupon payment date following any valuation date on which the closing
value of the worst performing underlying on that valuation date is less than its coupon barrier value. A contingent coupon payment
will be made on a contingent coupon payment date if and only if the closing value of the worst performing underlying on the immediately
preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying
on any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately following
contingent coupon payment date. If the closing value of the worst performing underlying on each valuation date is below its coupon barrier
value, you will not receive any contingent coupon payments over the term of the securities.
|
|
§
|
Higher contingent coupon rates are associated with greater risk. The securities offer contingent coupon payments at an annualized
rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same
maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing date for the securities, including
the risk that you may not receive a contingent coupon payment on one or more, or any, contingent coupon payment dates and the risk that
the value of what you receive at maturity may be significantly less than the stated principal amount of your securities and may be zero.
The volatility of, and correlation between, the closing values of the underlyings are important factors affecting these risks. Greater
expected volatility of, and lower expected correlation between, the closing values of the underlyings as of the pricing date may result
in a higher contingent coupon rate, but would also represent a greater expected likelihood as of the pricing date that the closing value
of the worst performing underlying on one or more valuation dates will be less than its coupon barrier value, such that you will not receive
one or more, or any, contingent coupon payments during the term of the securities and that the final underlying value of the worst performing
underlying on the final valuation date will be less than its final barrier value, such that you will not be repaid the stated principal
amount of your securities at maturity.
|
|
§
|
The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky than similar
investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying
will perform poorly, adversely affecting your return on the securities.
|
|
§
|
The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs
poorly. You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively
affected. The securities are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would
be better than the performance of the worst performing underlying alone. Instead, you are subject to the full risks of whichever of the
underlyings is the worst performing underlying.
|
|
§
|
You will not benefit in any way from the performance of any better performing underlying. The return on the securities depends
solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying.
|
|
§
|
You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective for
the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this relationship.
The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the securities.
All that is
|
Citigroup Global Markets Holdings Inc.
|
|
necessary for the securities to perform
poorly is for one of the underlyings to perform poorly. It is impossible to predict what the relationship between the underlyings will
be over the term of the securities. The underlyings differ in significant ways and, therefore, may not be correlated with each other.
|
§
|
You may not be adequately compensated for assuming the downside risk of the worst performing underlying. The potential contingent
coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst performing underlying,
as well as all the other risks of the securities. That compensation is effectively “at risk” and may, therefore, be less than
you currently anticipate. First, the actual yield you realize on the securities could be lower than you anticipate because the coupon
is “contingent” and you may not receive a contingent coupon payment on one or more, or any, of the contingent coupon payment
dates. Second, the contingent coupon payments are the compensation you receive not only for the downside risk of the worst performing
underlying, but also for all of the other risks of the securities, including the risk that the securities may be redeemed prior to maturity,
interest rate risk and our and Citigroup Inc.’s credit risk. If those other risks increase or are otherwise greater than you currently
anticipate, the contingent coupon payments may turn out to be inadequate to compensate you for all the risks of the securities, including
the downside risk of the worst performing underlying.
|
|
§
|
We may redeem the securities at our option, which will limit your ability to receive the contingent coupon payments. We may
redeem the securities on any potential redemption date. In the event that we redeem the securities, you will receive the stated principal
amount of your securities and the related contingent coupon payment, if any. Thus, the term of the securities may be limited. If we redeem
the securities prior to maturity, you will not receive any additional contingent coupon payments. Moreover, you may not be able to reinvest
your funds in another investment that provides a similar yield with a similar level of risk. If we redeem the securities prior to maturity,
it is likely to be at a time when the underlyings are performing in a manner that would otherwise have been favorable to you. By contrast,
if the underlyings are performing unfavorably from your perspective, we are less likely to redeem the securities. If we redeem the securities,
we will do so at a time that is advantageous to us and without regard to your interests.
|
|
§
|
The securities offer downside exposure to the worst performing underlying, but no upside exposure to any underlying. You will
not participate in any appreciation in the value of any underlying over the term of the securities. Consequently, your return on the securities
will be limited to the contingent coupon payments you receive, if any, and may be significantly less than the return on any underlying
over the term of the securities. In addition, as an investor in the securities, you will not receive any dividends or other distributions
or have any other rights with respect to any of the underlyings.
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The performance of the securities will depend on the closing values of the underlyings solely on the valuation dates, which makes
the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates. Whether
the contingent coupon will be paid on any given contingent coupon payment date will depend on the closing values of the underlyings solely
on the applicable valuation dates, regardless of the closing values of the underlyings on other days during the term of the securities.
If the securities are not redeemed prior to maturity, what you receive at maturity will depend solely on the closing value of the worst
performing underlying on the final valuation date, and not on any other day during the term of the securities. Because the performance
of the securities depends on the closing values of the underlyings on a limited number of dates, the securities will be particularly sensitive
to volatility in the closing values of the underlyings on or near the valuation dates. You should understand that the closing value of
each underlying has historically been highly volatile.
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The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities.
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The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity.
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the securities that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of, and correlation between, the closing values of
the underlyings, dividend yields on the underlyings and interest rates. CGMI’s views on these inputs may differ from your or others’
views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models
may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities
set
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forth on the cover page of this pricing
supplement may differ from the value that we or our affiliates may determine for the securities for other purposes, including for accounting
purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should be willing to
hold the securities to maturity irrespective of the initial estimated value.
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The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather 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.
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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 securities, but subject
to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our
creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted for discretionary
factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price.
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The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the closing values of the underlyings, the volatility of, and correlation between, the closing
values of the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk Factors Relating
to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based
on many unpredictable factors” in the accompanying product supplement. Changes in the closing values of the underlyings may not
result in a comparable change in the value of your securities. You should understand that the value of your securities at any time prior
to maturity may be significantly less than the issue price.
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.
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The iShares® Global Clean Energy ETF is subject to concentrated risks associated with the clean energy sector.
All or substantially all of the stocks held by the iShares® Global Clean Energy ETF are issued by companies whose
primary line of business is directly associated with the clean energy sector. As a result, the value of the securities may
be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this
sector than a different investment linked to securities of a more broadly diversified group of issuers. Clean energy companies may
be highly dependent upon government subsidies, contracts with government entities and the successful development of new and proprietary
technologies. In addition, seasonal weather conditions, fluctuations in the supply of and demand for clean energy products, changes
in energy prices and international political events may cause fluctuations in the performance of clean energy companies and the prices
of their securities. These factors could affect the clean energy sector and could affect the value of the stocks held by the iShares® Global
Clean Energy ETF and the price of the iShares® Global Clean Energy ETF during the term of the securities, which may
adversely affect the value of your securities.
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The iShares® Global Clean Energy ETF is subject to risks associated with
non-U.S. markets. Some of the stocks included in the iShares® Global Clean Energy ETF are
issued by companies outside of the United States. Investments linked to the value of non-U.S. stocks involve risks associated with the
securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and
cross-shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in
some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC. Further, non-U.S. companies
are generally subject to accounting, auditing and financial reporting standards and requirements and securities trading rules that are
different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws. Moreover, the economies in such countries may differ favorably or unfavorably from the economy of the United
States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and
self-sufficiency.
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The iShares® Global Clean Energy ETF is subject to risks associated with
emerging markets. Some of the stocks included in the iShares® Global Clean Energy ETF have
been issued by companies in various foreign emerging markets. Foreign equity securities involve risks associated with the securities markets
in foreign countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings
in companies in certain countries. There is also generally less publicly available
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information
about foreign companies than about U.S. companies that are subject to the reporting requirements of the Securities and Exchange Commission,
and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable
to U.S. reporting companies. The prices of securities in foreign markets may be affected by political, economic, financial and social
factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
Stocks issued by companies in emerging markets may be subject to heightened risks, including risks of relatively unstable governments,
nationalization of businesses, restrictions on foreign ownership, prohibitions on the repatriation of assets and less protection of property
rights. The economies of countries with emerging markets may be based on only a few industries, be highly vulnerable to changes in local
or global trade conditions and suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a
small number of securities and be unable to respond effectively to increases in trading volume, potentially increasing price volatility.
Moreover, the economies in such countries may differ unfavorably from the economy in the United States in such respects as growth of gross
national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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Fluctuations in exchange rates will affect the closing value of the iShares® Global
Clean Energy ETF. Because the iShares® Global Clean Energy ETF includes
securities that trade outside the United States and the price of the underlying shares of the iShares® Global
Clean Energy ETF is based on the U.S. dollar value of those securities, holders of the securities
will be exposed to currency exchange rate risk with respect to each of the currencies in which such securities trade. Exchange rate movements
for a particular currency are volatile and are the result of numerous factors specific to the relevant country, including the supply of,
and the demand for, those currencies, as well as government policy, intervention or actions, but are also influenced significantly from
time to time by political or economic developments, and by macroeconomic factors and speculative actions related to each applicable region.
An investor’s net exposure will depend on the extent to which the currencies of the applicable countries strengthen or weaken against
the U.S. dollar and the relative weight of each currency. If, taking into account such weighting, the dollar strengthens against the currencies
of the securities held by the iShares® Global Clean Energy ETF, the price
of the underlying shares of the iShares® Global Clean Energy ETF will
be adversely affected for that reason alone and your return on the securities may be reduced. Of particular importance to potential currency
exchange risk are: existing and expected rates of inflation; existing and expected interest rate levels; the balance of payments; and
the extent of governmental surpluses or deficits in the applicable countries and the United States. All of these factors are in turn sensitive
to the monetary, fiscal and trade policies pursued by the governments of the applicable countries and the United States and other countries
important to international trade and finance.
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The SPDR® S&P® Biotech ETF is subject to risks associated with investing in the biotechnology
sector. The stocks held by the SPDR® S&P® Biotech ETF are generally concentrated in the biotechnology
industry. Companies within the biotech industry invest heavily in research and development which may not necessarily lead to commercially
successful products. This industry is also subject to increased governmental regulation which may delay or inhibit the release of new
products. Many biotech companies are dependent upon their ability to use and enforce intellectual property rights and patents. Any impairment
of such rights may have adverse financial consequences. Biotech stocks, especially those of smaller, less-seasoned companies, tend to
be more volatile than the overall market. Biotech companies can be significantly affected by technological change and obsolescence, product
liability lawsuits and consequential high insurance costs.
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The SPDR® S&P® Biotech ETF is subject to risks associated with the health care sector. Companies
in the health care sector are subject to extensive government regulation and their profitability can be significantly affected by restrictions
on government reimbursement for medical expenses, rising costs of medical products and services, pricing pressure (including price discounting),
limited product lines and an increased emphasis on the delivery of healthcare through outpatient services. Companies in the health care
sector are heavily dependent on obtaining and defending patents, which may be time consuming and costly, and the expiration of patents
may also adversely affect the profitability of the companies. Health care companies are also subject to extensive litigation based on
product liability and similar claims. In addition, their products can become obsolete due to industry innovation, changes in technologies
or other market developments. Many new products in the health care sector require significant research and development and may be subject
to regulatory approvals, all of which may be time consuming and costly with no guarantee that any product will come to market.
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The VanEck Vectors® Semiconductor ETF is subject to risks associated with the semiconductor production and equipment
sector. All or substantially all of the securities held by the VanEck Vectors® Semiconductor ETF are issued by companies
whose primary line of business is directly associated with the semiconductor production and equipment sector. As a result, the value of
the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence
affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers. As product cycles
shorten and manufacturing capacity increases, these companies may become increasingly subject to aggressive pricing, which hampers profitability.
Semiconductor companies are vulnerable to wide fluctuations in securities prices due to rapid product obsolescence. Many semiconductor
companies may not successfully introduce new products, develop and maintain a loyal customer base or achieve general market acceptance
for their products, and failure to do so could have a material adverse effect on their business, results of operations and financial condition.
Reduced demand for end-user products, underutilization of manufacturing capacity, and other factors could adversely impact the operating
results of companies in the semiconductor production and equipment sector. Semiconductor companies typically face high capital costs and
such companies may need additional financing, which may be difficult to obtain. They also may be subject to risks relating to research
and development costs and the availability and price of components. Moreover, they may be heavily dependent on intellectual property rights
and may be adversely affected by loss or impairment of those rights. Some of the companies involved in the semiconductor production and
equipment sector are also engaged in other lines of business unrelated to the semiconductor business, and they may experience problems
with these lines of business, which could adversely affect their operating results. The international operations of many semiconductor
companies expose them to risks associated with instability and changes in economic and political conditions, foreign currency fluctuations,
changes in foreign regulations, tariffs and trade disputes, competition from subsidized foreign competitors with lower production costs
and other risks inherent to international business. The semiconductor production and equipment sector is highly cyclical, which may cause
the operating results of many semiconductor companies to vary significantly. Companies in the semiconductor production and equipment sector
also may be subject to competition from new market
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entrants. The stock prices of companies
in the semiconductor production and equipment sector have been and will likely continue to be extremely volatile compared to the overall
market. These factors could affect the semiconductor production and equipment sector and could affect the value of the securities held
by the VanEck Vectors® Semiconductor ETF and the value of the VanEck Vectors® Semiconductor ETF during the
term of the securities, which may adversely affect the value of your securities.
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Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities does
not mean that we believe that investing in an instrument linked to the underlyings is likely to achieve favorable returns. In fact, as
we are part of a global financial institution, our affiliates may have positions (including short positions) in the underlyings or in
instruments related to the underlyings, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlyings. These and other activities of our affiliates may affect the closing values of the underlyings in a way that
negatively affects the value of and your return on the securities.
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The closing value of an underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the underlyings
or in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates
also take positions in the underlyings or in financial instruments related to the underlyings on a regular basis (taking long or short
positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers.
These activities could affect the closing values of the underlyings in a way that negatively affects the value of and your return on the
securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines.
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates may acquire
non-public information, which will not be disclosed to you.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur during the term of the securities, such as market disruption events and other events with respect to an underlying,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities.
In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder
of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product
supplement.
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Even if an underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the
securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general, an adjustment
will not be made under the terms of the securities for any cash dividend paid by an underlying unless the amount of the dividend per share,
together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an amount
equal to at least 10% of the closing value of that underlying on the date of declaration of the dividend. Any dividend will reduce the
closing value of the underlying by the amount of the dividend per share. If an underlying pays any dividend for which an adjustment is
not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” in the accompanying product supplement.
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The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the closing
value of an underlying. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not
meet the criteria described above, partial tender offers or additional underlying share issuances. Moreover, the adjustments we do make
may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by
such an event in a circumstance in which a direct holder of the underlying shares of an underlying would not.
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The securities may become linked to an underlying other than an original underlying upon the occurrence of a reorganization event
or upon the delisting of the underlying shares of that original underlying. For example, if an underlying enters into a merger agreement
that provides for holders of its underlying shares to receive shares of another entity and such shares are marketable securities, the
closing value of that underlying following consummation of the merger will be based on the value of such other shares. Additionally, if
the underlying shares of an underlying are delisted, the calculation agent may select a successor underlying. See “Description of
the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying
product supplement.
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The value and performance of the underlying shares of an underlying may not completely track the performance of the underlying
index that the underlying seeks to track or the net asset value per share of the underlying. Each underlying does not fully replicate
the underlying index that it seeks to track and may hold securities different from those included in its underlying index. In addition,
the performance of an underlying will reflect additional transaction costs and fees that are not included in the calculation of its underlying
index. All of these factors may lead to a lack of correlation between the performance of an underlying and its underlying index. In addition,
corporate actions with respect to the equity securities held by an underlying (such as mergers and spin-offs) may impact the variance
between the performance of an underlying and its underlying index. Finally, because the underlying shares are traded on an exchange and
are subject to market supply and investor demand, the closing value of an underlying may differ from the net asset value per share of
an underlying.
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During periods of market volatility, securities included in
an underlying’s underlying index may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of an underlying and the liquidity of an underlying may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of
Citigroup Global Markets Holdings Inc.
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an underlying. Further, market volatility may adversely affect,
sometimes materially, the price at which market participants are willing to buy and sell the underlying shares. As a result, under these
circumstances, the closing value of an underlying may vary substantially from the net asset value per share of an underlying. For all
of the foregoing reasons, the performance of an underlying may not correlate with the performance of its underlying index and/or its net
asset value per share, which could materially and adversely affect the value of the securities and/or reduce your return on the securities.
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Changes that affect the underlyings may affect the value of your securities. The sponsors of the underlyings may at any time
make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings. We are
not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may make. Such
changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
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The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment of the securities as described in “United States Federal Tax Considerations” below. If the IRS
were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the
securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the securities, possibly retroactively.
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Non-U.S. investors should note that persons
having withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Information About the iShares® Global
Clean Energy ETF
The iShares® Global Clean Energy ETF is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and
expenses, of the S&P Global Clean Energy IndexTM. The S&P Global Clean Energy IndexTM is a modified
market capitalization-weighted index that is designed to measure the performance of 30 of the largest companies in global clean energy
related businesses from both developed and emerging markets.
Information provided to or filed with the SEC by iShares® Trust
pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to
SEC file numbers 333-92935 and 811-09729, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The underlying shares of the iShares® Global Clean Energy ETF trade on the Nasdaq Stock Market under the ticker symbol
“ICLN.”
You may receive underlying shares of the iShares® Global
Clean Energy ETF at maturity. Therefore, in making your decision to invest in the securities, you should review the prospectus related
to the iShares® Global Clean Energy ETF on file at the SEC, which can be accessed via the hyperlink below.
Prospectus for the iShares® Global Clean Energy ETF dated
July 31, 2020 (as revised April 19, 2021): https://www.sec.gov/Archives/edgar/data/1100663/000119312521119603/d103696d497.htm
The contents of that prospectus and any documents incorporated by reference
therein are not incorporated by reference herein or in any way made a part hereof.
We have derived all information regarding the iShares®
Global Clean Energy ETF from publicly available information and have not independently verified any information regarding the iShares®
Global Clean Energy ETF. This pricing supplement relates only to the securities and not to the iShares® Global Clean Energy
ETF. We make no representation as to the performance of the iShares® Global Clean Energy ETF over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the iShares® Global Clean Energy ETF is not involved in any way
in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the iShares® Global Clean Energy
ETF on May 3, 2021 was $22.91.
The graph below shows the closing value of the iShares®
Global Clean Energy ETF 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 historical closing values as an indication of future performance.
iShares® Global Clean Energy ETF – Historical Closing Values
January 3, 2011 to May 3, 2021
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Information About the SPDR® S&P®
Biotech ETF
The SPDR® S&P® Biotech ETF is an exchange-traded
fund that seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of
the S&P® Biotechnology Select Industry Index. The SPDR® S&P® Biotech ETF is managed
by SSGA Funds Management, Inc. (“SSGA FM”), an investment advisor to the SPDR® S&P® Biotech
ETF, and the SPDR® Series Trust, a registered investment company. The Select Sector SPDR® Trust consists
of numerous separate investment portfolios, including the SPDR® S&P® Biotech ETF.
Information provided to or filed with the SEC by the SPDR®
Series Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by
reference to SEC file numbers 333-57793 and 811-08839, respectively, through the SEC’s website at http://www.sec.gov. In addition,
information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. The underlying shares of the SPDR® S&P® Biotech ETF trade on the NYSE Arca under the ticker
symbol “XBI.”
You may receive underlying shares of the SPDR® S&P®
Biotech ETF at maturity. Therefore, in making your decision to invest in the securities, you should review the prospectus related to the
SPDR® S&P® Biotech ETF on file at the SEC, which can be accessed via the hyperlink below.
Prospectus for the SPDR® S&P® Biotech
ETF dated October 31, 2020: https://www.sec.gov/ix?doc=/Archives/edgar/data/1064642/000119312520279819/d75232d485bpos.htm
The contents of that prospectus and any documents incorporated by reference
therein are not incorporated by reference herein or in any way made a part hereof.
We have derived all information regarding the SPDR® S&P®
Biotech ETF from publicly available information and have not independently verified any information regarding the SPDR®
S&P® Biotech ETF. This pricing supplement relates only to the securities and not to the SPDR® S&P®
Biotech ETF. We make no representation as to the performance of the SPDR® S&P® Biotech ETF over the
term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the SPDR® S&P® Biotech ETF is not involved
in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the SPDR® S&P®
Biotech ETF on May 3, 2021 was $134.99.
The graph below shows the closing value of the SPDR®
S&P® Biotech ETF 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 historical closing values as an indication of future
performance.
SPDR® S&P® Biotech ETF – Historical Closing Values
January 3, 2011 to May 3, 2021
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Information About the VanEck Vectors®
Semiconductor ETF
The VanEck Vectors® Semiconductor ETF is an exchange-traded
fund that seeks to replicate as closely as possible, before fees and expenses, the price and yield performance of the MVIS®
US Listed Semiconductor 25 Index. The fund invests in the largest and most liquid companies listed in the US which are active in the semiconductor
sector. The VanEck Vectors® Semiconductor ETF will not hold more than 20% in any one security.
Information provided to or filed with the SEC by the VanEck Vectors®
ETF Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference
to SEC file numbers 333-123257 and 811-10325, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The underlying shares of the VanEck Vectors® Semiconductor ETF trade on the NASDAQ Global Market under the ticker symbol
“SMH.”
You may receive underlying shares of the VanEck Vectors®
Semiconductor ETF at maturity. Therefore, in making your decision to invest in the securities, you should review the prospectus related
to the VanEck Vectors® Semiconductor ETF on file at the SEC, which can be accessed via the hyperlink below.
Prospectus for the VanEck Vectors® Semiconductor ETF
dated February 1, 2021: https://www.sec.gov/ix?doc=/Archives/edgar/data/1137360/000113736021000028/cik0001137360-20200930.htm
The contents of that prospectus and any documents incorporated by reference
therein are not incorporated by reference herein or in any way made a part hereof.
We have derived all information regarding the VanEck Vectors®
Semiconductor ETF from publicly available information and have not independently verified any information regarding the VanEck Vectors®
Semiconductor ETF. This pricing supplement relates only to the securities and not to the VanEck Vectors® Semiconductor
ETF. We make no representation as to the performance of the VanEck Vectors® Semiconductor ETF over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the VanEck Vectors® Semiconductor ETF is not involved in any way
in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the VanEck Vectors® Semiconductor
ETF on May 3, 2021 was $240.18.
The graph below shows the closing value of the VanEck Vectors®
Semiconductor ETF for each day such value was available from December 11, 2019 to May 3, 2021. The underlying shares of the VanEck Vectors®
Semiconductor ETF began trading on December 11, 2019 and therefore have a limited historical performance. We obtained the closing values
from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication of future performance.
VanEck Vectors® Semiconductor ETF – Historical Closing Values
December 11, 2019 to May 3, 2021
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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.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the securities is reasonable under current
law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be
upheld, and that alternative treatments are possible. 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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Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance with
your regular method of accounting for U.S. federal income tax purposes.
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Upon a sale or exchange of a security (including retirement at maturity for cash), you should recognize capital gain or loss equal
to the difference between the amount realized and your tax basis in the security. For this purpose, the amount realized does not include
any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment.
Such gain or loss should be long-term capital gain or loss if you held the security for more than one year. If, upon retirement of the
securities, you receive underlying shares, you should not recognize gain or loss with respect to the underlying shares received, other
than any fractional underlying share for which you receive cash. Your basis in any underlying shares received, including any fractional
underlying share deemed received, should be equal to your tax basis in the securities.
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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.
This discussion does not address
the U.S. federal tax consequences of the ownership or disposition of the underlying shares that you may receive at maturity. You should
consult your tax adviser regarding the particular U.S. federal tax consequences of the ownership and disposition of the underlying shares.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold
on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a rate of 30%. To the
extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities, we intend to so withhold. In
order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to establish
that you are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should consult
your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any amounts withheld
and the certification requirement described above.
As discussed under “United
States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m)
of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S.
Underlying Equities”) or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially
replicate the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury
regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023 that
do not have a “delta” of one. Based on the terms of the securities and representations provided by us 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.
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.
Citigroup Global Markets Holdings Inc.
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You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $17.50 for each security sold
in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $17.50
for each security they sell. For the avoidance of doubt, any fees or selling concessions described in this pricing supplement will not
be rebated if we redeem the securities 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 certain terms of the securities 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 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, 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, 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.
Singapore
This pricing supplement and the accompanying product 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
Citigroup Global Markets Holdings Inc.
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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.
Cayman Islands
Pursuant to the Companies Law (as amended) of the Cayman Islands, no
invitation may be made to the public in the Cayman Islands to subscribe for the securities by or on behalf of the issuer unless at the
time of such invitation the issuer is listed on the Cayman Islands Stock Exchange. The issuer is not presently listed on the Cayman Islands
Stock Exchange and, accordingly, no invitation to the public in the Cayman Islands is to be made by the issuer (or by any dealer on its
behalf). No such invitation is made to the public in the Cayman Islands hereby.
British Virgin Islands
This offering shall not constitute an offer, invitation or solicitation
to any member of the public in the British Virgin Islands for purposes of the Securities and Investment Business Act, 2010, of the British
Virgin Islands.
Israel
No prospectus in relation to the securities has been, or will be, issued
in Israel and/or reviewed by the Israel Securities Authority. Each underwriter has represented, warranted and agreed, and each further
underwriter will be required to represent, warrant and agree, that it will not offer or sell securities in the State of Israel other than
private sales to Israeli persons who are investors of the type listed in the First Supplement to the Securities Law, 5728-1968 and who
have confirmed to the underwriter in writing that (i) they are an investor of the type listed in the First Supplement to the Securities
Law, 5728-1968, of the State of Israel, and that they are aware of the significance of their being such an investor and consent thereto,
and (ii) they are purchasing the securities for their own account, for investment purposes only and with no present intention of distribution
or re-sale.
Switzerland
The securities do not constitute a participation in a collective investment
scheme in the meaning of the Swiss Federal Act on Collective Investment Schemes and are not licensed by the Swiss Financial
Market Supervisory Authority (FINMA) thereunder. Accordingly, neither the securities nor holders of the securities benefit from protection
under the Swiss Federal Act on Collective Investment Schemes or supervision by the Swiss Financial Market Supervisory
Authority (FINMA) and investors are exposed to the credit risk of the issuer and guarantor (if applicable).
The securities may not be offered, sold or otherwise distributed, directly
or indirectly, in, into or from Switzerland, except to qualified investors as defined in article 10 of the Swiss Federal
Act on Collective Investment Schemes and will not be listed on the SIX Swiss Exchange or on any other exchange or regulated
trading facility in Switzerland. Neither this document nor any other offering or marketing material relating to the securities constitutes
a prospectus as such term is understood pursuant to article 652a or article 1156 of the Swiss Code of Obligations nor a simplified
prospectus as such term is understood pursuant to article 5 of the Swiss Federal Act on Collective Investment Schemes, and neither
this
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document nor any other offering or marketing material relating to the
securities may be distributed or otherwise made publicly available in or from Switzerland.
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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