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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Downside
threshold value**
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The
Charles Schwab Corporation
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$35.78
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$21.468
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JPMorgan
Chase & Co.
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$95.35
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$57.210
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Roku,
Inc.
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$187.87
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$112.722
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* For each underlying,
its closing value on the strike date
** For each underlying,
60% of its initial underlying value
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Stated principal amount:
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$1,000 per security
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Strike date:
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September 29, 2020
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Pricing date:
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September 30, 2020
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Issue date:
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October 5, 2020
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Valuation date:
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September 30, 2022, 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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October 5, 2022
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Coupon payment dates:
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November 5, 2020, December 7, 2020, January 5, 2021, February 5,
2021, March 5, 2021, April 5, 2021, May 5, 2021, June 7, 2021, July 6, 2021, August 5, 2021, September 7, 2021, October 5,
2021, November 5, 2021, December 6, 2021, January 5, 2022, February 7, 2022, March 7, 2022, April 5, 2022, May 5, 2022, June
6, 2022, July 5, 2022, August 5, 2022, September 6, 2022 and the maturity date
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Coupon payments:
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On each coupon payment date, the securities will pay a coupon equal
to 1.1667% of the stated principal amount of the securities (equivalent to a coupon rate of approximately 14.00% per annum)
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Payment at maturity:
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For each $1,000 stated
principal amount security you hold at maturity, you will receive the final coupon payment plus:
▪ If
a downside event does not occur: $1,000
▪ If
a downside event occurs: $1,000 + ($1,000 × the underlying return of the worst performing underlying on the valuation date)
If a downside event
occurs, you will receive less than 60% of the stated principal amount of your securities, and possibly nothing, at maturity.
You should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion,
and up to all, of your investment (excluding the final coupon payment).
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Downside event:
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A downside event will occur if the final underlying value of the
worst performing underlying on the valuation date is less than its downside threshold value
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Listing:
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The securities will not be listed on any securities exchange
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate
of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee(2)
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Proceeds to issuer(3)
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Per security:
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$1,000
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$4
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$996
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Total:
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$
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$
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$
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(Key
Terms continued on next page)
(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the securities on the pricing date will be at least $904 per security, which
will be less than the issue price. The estimated value of the securities is based on CGMI’s proprietary pricing models and
our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication
of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance.
See “Valuation of the Securities” in this pricing supplement.
(2) CGMI will receive an underwriting
fee of up to $4 for each security sold in this offering. The total underwriting fee
and proceeds to issuer in the table above give effect to the actual total underwriting fee. For more information on the distribution
of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting
fee, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities
declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) The per security proceeds to
issuer indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per security
underwriting fee. As noted above, the underwriting fee is variable.
Investing in the securities
involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning
on page PS-5.
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-02-08 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.
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KEY TERMS (continued)
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Final underlying value:
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For each underlying, its closing value on the valuation date
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Worst performing underlying:
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For any date, the underlying with the lowest underlying return on that date
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Underlying return:
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For each underlying on any date, (i) its closing value on that date minus its initial
underlying value, divided by (ii) its initial underlying value
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CUSIP / ISIN:
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17328WZ76 / US17328WZ767
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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 (i) The Charles Schwab Corporation and JPMorgan Chase & Co. are their respective shares
of common stock and (ii) Roku, Inc. are its shares of Class A common stock. Please see the accompanying product supplement for
more information.
Prospectus. The first sentence of “Description of
Debt Securities— Events of Default and Defaults” in the accompanying prospectus shall be amended to read in its entirety
as follows:
Events of default under the indenture are:
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▪
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for
30 days;
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▪
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failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a
sinking fund, on any debt security of such series for 30 days;
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▪
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failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking fund
for 30 days on debt securities of such series;
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▪
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failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture applicable
to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other than such series;
and
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▪
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certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).
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Citigroup Global Markets Holdings Inc.
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Hypothetical
Examples of the Payment at Maturity on the Securities
The table below indicates what your payment at maturity would
be for various hypothetical underlying returns of the worst performing underlying on the valuation date. Your actual payment at
maturity will depend on the actual final underlying value of the worst performing underlying on the valuation date.
Hypothetical Underlying Return of Worst Performing Underlying on the Valuation Date
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Hypothetical Payment at Maturity(1)
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50.00%
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$1,011.667
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20.00%
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$1,011.667
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10.00%
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$1,011.667
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0.00%
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$1,011.667
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-10.00%
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$1,011.667
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-20.00%
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$1,011.667
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-30.00%
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$1,011.667
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-40.00%
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$1,011.667
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-40.01%
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$611.567
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-50.00%
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$511.667
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-60.00%
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$411.667
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-70.00%
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$311.667
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-80.00%
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$211.667
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-90.00%
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$111.667
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-100.00%
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$11.667
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(1) Includes final coupon payment. Each security has
a stated principal amount of $1,000.00.
The examples below illustrate how to determine the payment at
maturity on the securities, assuming the various hypothetical final underlying values indicated below. The outcomes illustrated
below are not exhaustive, and your actual payment at maturity on the securities may differ from any example illustrated below.
The examples below are based on the following hypothetical values
and do not reflect the actual initial underlying values or downside threshold values of the underlyings. For the actual initial
underlying value and downside threshold value of each underlying, see the cover page of this pricing supplement. We have used these
hypothetical values, rather than the actual values, to simplify the calculations and aid understanding of how the securities work.
However, you should understand that the actual payments on the securities will be calculated based on the actual initial underlying
value and downside threshold value of each underlying, and not the hypothetical values indicated below.
Underlying
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Hypothetical initial underlying value
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Hypothetical downside threshold value
|
The Charles Schwab Corporation
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$100
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$60 (60% of its hypothetical initial underlying value)
|
JPMorgan Chase & Co.
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$100
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$60 (60% of its hypothetical initial underlying value)
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Roku, Inc.
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$100
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$60 (60% of its hypothetical initial underlying value)
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The hypothetical examples below illustrate the calculation of
the payment at maturity on the securities, assuming that the final underlying values of the underlyings are as indicated below.
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Hypothetical final underlying value of The Charles Schwab Corporation
|
Hypothetical final underlying value of JPMorgan Chase & Co.
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Hypothetical final underlying value of Roku, Inc.
|
Hypothetical payment at maturity per $1,000 security
|
Example 1
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$130
(underlying return =
($130 – $100) / $100 = 30%)
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$120
(underlying return =
($120 – $100) / $100 = 20%)
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$155
(underlying return =
($155 - $100) / $100 = 55%)
|
$1,011.667
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Example 2
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$50
(underlying return =
($50 – $100) / $100 = -50%)
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$90
(underlying return =
($90 – $100) / $100 = -10%)
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$55
(underlying return =
($55 - $100) / $100 = -45%)
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$511.667
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Example 3
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$140
(underlying return =
($140 – $100) / $100 = 40%)
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$0
(underlying return =
($0 – $100) / $100 = -100%)
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$40
(underlying return =
($40 - $100) / $100 = -60%)
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$11.667
|
Citigroup Global Markets Holdings Inc.
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|
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Example 1: In this example, JPMorgan
Chase & Co. has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In this
scenario, the final underlying value of the worst performing underlying on the valuation date is greater than its downside threshold
value and, as a result, a downside event does not occur. Accordingly, at maturity, you would receive the $1,000 stated principal
amount of the securities plus the final coupon payment. You would not participate in the appreciation of any of the underlyings.
Example 2: In this example, The Charles
Schwab Corporation has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In
this scenario, the final underlying value of the worst performing underlying on the valuation date is less than its downside threshold
value and, as a result, a downside event occurs. Accordingly, at maturity, you would receive a payment per security calculated
as follows:
Payment at maturity = $1,000 + ($1,000 ×
the underlying return of the worst performing underlying on the valuation date) + the final coupon payment
= $1,000 + ($1,000 × -50%) + the final
coupon payment
= $1,000 + -$500 + $11.667
= $511.667
In this scenario, you would
receive significantly less than the stated principal amount of your securities at maturity. You would incur a loss based on the
performance of the worst performing underlying on the valuation date.
Example 3: In this example, JPMorgan
Chase & Co. has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In this
scenario, the final underlying value of the worst performing underlying on the valuation date is less than its downside threshold
value and, as a result, a downside event occurs. Accordingly, at maturity, you would receive a payment per security calculated
as follows:
Payment at maturity = $1,000 + ($1,000 ×
the underlying return of the worst performing underlying on the valuation date) + the final coupon payment
= $1,000 + ($1,000 × -100%) + the final
coupon payment
= $1,000 + -$1,000 + $11.667
= $11.667
In this scenario, because the final underlying
value of the worst performing underlying on the valuation date is $0, you would lose your entire investment in the securities (excluding
the final coupon payment).
Citigroup Global Markets Holdings Inc.
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|
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Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with each underlying. Accordingly, the securities are
suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult your
own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
|
▪
|
You may lose some 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 final underlying
value of the worst performing underlying on the valuation date is less than its downside threshold value, a downside event will
occur and you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing underlying
on the valuation date has declined from its initial underlying value, regardless of the performance of the other underlyings. There
is no minimum payment at maturity on the securities (excluding the final coupon payment), and you may lose up to all of your investment.
|
|
▪
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The initial underlying values, which have been set on the strike date, may be higher than the closing values of the underlyings
on the pricing date. If the closing values of the underlyings on the pricing date are less than the initial underlying values
that were set on the strike date, the terms of the securities may be less favorable to you than the terms of an alternative investment
that may be available to you that offers a similar payout as the securities but with the initial underlying values set on the pricing
date.
|
|
▪
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The securities will be adversely affected by volatility in the closing values of the underlyings. The more volatile
the closing values of the underlyings, the more likely it is that a downside event will occur and that you will not receive the
full stated principal amount of your securities at maturity. In general, the higher the coupon on the securities, the greater the
expected likelihood as of the pricing date that a downside event will occur and, as a result, that
you will incur a significant loss at maturity.
|
|
▪
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Higher coupon payment rates are associated with greater risk. The securities offer coupon payments at a per annum rate
that is higher than the rate we would pay on conventional debt securities of the same maturity. In exchange for this higher coupon
payment rate, investors in the securities will be subject to significantly greater risk than investors in our conventional debt
securities, including the risk that you may lose a significant portion, and up to all, of your investment at maturity (excluding
the final coupon payment). The volatility of and the correlation between the underlyings are important factors affecting these
risks. In general, the higher the expected volatility of the underlyings, and the lower the expected correlation between the underlyings,
the greater the coupon payment rate on the securities. However, higher expected volatility and lower expected correlation would
also represent a greater expected likelihood as of the pricing date that the final underlying value of the worst performing underlying
on the valuation date will be less than its downside threshold value, such that you will not be repaid the stated principal amount
of your securities at maturity.
|
|
▪
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The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky
than similar investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that
any one underlying will perform poorly, adversely affecting your return on the securities.
|
|
▪
|
The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying
performs poorly. You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you
will be negatively affected. The securities are not linked to a basket composed of the underlyings, where the blended performance
of the underlyings would be better than the performance of the worst performing underlying alone. Instead, you are subject to the
full risks of whichever of the underlyings is the worst performing underlying.
|
|
▪
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You will not benefit in any way from the performance of any better performing underlying. The return on the securities
depends solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance
of any better performing underlying. The securities may underperform a similar investment in all of the underlyings or a similar
alternative investment linked to a basket composed of the underlyings, since in either such case the performance of any better
performing underlying would be blended with the performance of the worst performing underlying, resulting in a better return than
the return of the worst performing underlying.
|
|
▪
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You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective
for the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar
times and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this
relationship. The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over
the term of the securities. All that is necessary for the securities to perform poorly is for one of the underlyings to perform
poorly. It is impossible
|
Citigroup Global Markets Holdings Inc.
|
|
|
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.
|
▪
|
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 coupon payments 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 date, which
makes the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation date.
What you receive at maturity will depend solely on the closing value of the worst performing underlying on the 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 date. You should understand that the closing value of each underlying has historically
been highly volatile.
|
|
▪
|
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.
|
|
▪
|
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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|
▪
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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, the dividend yields on the underlyings and interest rates. CGMI’s views on these inputs
may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours.
Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the
securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from
the value that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You
should not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the
securities to maturity irrespective of the initial estimated value.
|
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that is
payable on the securities.
|
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects
Citigroup Global Markets Holdings Inc.
|
|
|
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.
|
▪
|
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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|
▪
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
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|
▪
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Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities
does not mean that we believe that investing in an instrument linked to the underlyings is likely to achieve favorable returns.
In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the
underlyings or in instruments related to the underlyings, and may publish research or express opinions, that in each case are inconsistent
with an investment linked to the underlyings. These and other activities of our affiliates may affect the closing values of the
underlyings in a way that negatively affects the value of and your return on the securities.
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|
▪
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The closing value of an underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the
underlyings or in financial instruments related to the underlyings and may adjust such positions during the term of the securities.
Our affiliates also take positions in the underlyings or in financial instruments related to the underlyings on a regular basis
(taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions
on behalf of customers. These activities could affect the closing values of the underlyings in a way that negatively affects the
value of and your return on the securities. They could also result in substantial returns for us or our affiliates while the value
of the securities declines.
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|
▪
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities. Our affiliates engage in business activities with a wide range of companies. These activities include extending
loans, making and facilitating investments, underwriting securities offerings and providing advisory services. These activities
could involve or affect the underlyings in a way that negatively affects the value of and your return on the securities. They could
also result in substantial returns for us or our affiliates while the value of the securities declines. In addition, in the course
of this business, we or our affiliates may acquire non-public information, which will not be disclosed to you.
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|
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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.
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Citigroup Global Markets Holdings Inc.
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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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If the underlying shares of an underlying are delisted, we may call the securities prior to maturity for an amount that
may be less than the stated principal amount. If we exercise this call right, you will receive the amount described under “Description
of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting
of an Underlying Company” in the accompanying product supplement. This amount may be less, and possibly significantly less,
than the stated principal amount of 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
as to the proper U.S. federal tax treatment of the securities, and we do not intend to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment described herein. If the IRS were successful in asserting an alternative treatment,
the tax consequences of ownership and disposition of the securities might be materially and adversely affected. As described below
under “United States Federal Tax Considerations,” the U.S. Treasury Department and the IRS have requested comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar financial
instruments and have indicated that such transactions may be the subject of future regulations or other guidance. In addition,
members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the securities, possibly with retroactive effect.
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As described below under “United
States Federal Tax Considerations,” in connection with any information reporting requirements we may have in respect of the
securities under applicable law, we intend to treat a portion of each coupon payment as attributable to interest and the remainder
to option premium. However, in light of the uncertain treatment of the securities, it is possible that other persons having withholding
or information reporting responsibility in respect of the securities may treat a security differently, for instance, by treating
the entire coupon payment as ordinary income at the time received or accrued by a holder and/or treating some or all of each coupon
payment made to a non-U.S. investor on a security as subject to withholding tax at a rate of 30%. Moreover, it is possible that
in the future we may determine that we should withhold at a rate of 30% on coupon payments made to a non-U.S. investor on the securities.
If withholding applies to the securities, we will not be required to pay any additional amounts with respect to amounts so withheld.
Non-U.S. Holders should also review
the section entitled “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible
Withholding Under Section 871(m) of the Code” regarding the risk of withholding in respect of “dividend equivalents”
on the securities.
You should review carefully the
section of this pricing supplement entitled “United States Federal Tax Considerations.” You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the 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 Charles Schwab Corporation
The Charles Schwab Corporation provides a variety of financial
services to individual investors, independent investment managers, retirement plans, and institutions. The company provides its
clients with securities brokerage, banking, and related financial services through offices in the United States, Puerto Rico, and
the United Kingdom. The underlying shares of The Charles Schwab Corporation are registered under the Securities Exchange Act of
1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by The Charles Schwab Corporation
pursuant to the Exchange Act can be located by reference to the SEC file number 001-09700 through the SEC’s website at http://www.sec.gov.
In addition, information regarding The Charles Schwab Corporation 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 Charles Schwab Corporation
trade on the New York Stock Exchange under the ticker symbol “SCHW.”
We have derived all information regarding The Charles Schwab
Corporation from publicly available information and have not independently verified any information regarding The Charles Schwab
Corporation. This pricing supplement relates only to the securities and not to The Charles Schwab Corporation. We make no representation
as to the performance of The Charles Schwab Corporation over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The Charles Schwab Corporation 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 Charles Schwab Corporation on September
29, 2020 was $35.78.
The graph below shows the closing value of The Charles Schwab
Corporation for each day such value was available from March 5, 2010 to September 29, 2020. We obtained the closing values from
Bloomberg L.P., without independent verification. If certain corporate transactions occurred during the historical period shown
below, including, but not limited to, spin-offs or mergers, then the closing values shown below for the period prior to the occurrence
of any such transaction have been adjusted by Bloomberg L.P. as if any such transaction had occurred prior to the first day in
the period shown below. You should not take historical closing values as an indication of future performance.
The Charles Schwab Corporation – Historical Closing Values
March 5, 2010 to September 29, 2020
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Citigroup Global Markets Holdings Inc.
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Information About JPMorgan Chase & Co.
JPMorgan Chase & Co. provides global financial services and
retail banking. The company provides services such as investment banking, treasury and securities services, asset management, private
banking, card member services, commercial banking, and home finance. JPMorgan Chase & Co. serves business enterprises, institutions,
and individuals. The underlying shares of JPMorgan Chase & Co. are registered under the Securities Exchange Act of 1934, as
amended (the “Exchange Act”). Information provided to or filed with the SEC by JPMorgan Chase & Co. pursuant to
the Exchange Act can be located by reference to the SEC file number 001-05805 through the SEC’s website at http://www.sec.gov.
In addition, information regarding JPMorgan Chase & Co. may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents. The underlying shares of JPMorgan Chase & Co. trade
on the New York Stock Exchange under the ticker symbol “JPM.”
We have derived all information regarding JPMorgan Chase &
Co. from publicly available information and have not independently verified any information regarding JPMorgan Chase & Co.
This pricing supplement relates only to the securities and not to JPMorgan Chase & Co. We make no representation as to the
performance of JPMorgan Chase & Co. over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. JPMorgan Chase & Co. 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 JPMorgan Chase & Co. on September 29,
2020 was $95.35.
The graph below shows the closing value of JPMorgan Chase &
Co. for each day such value was available from January 4, 2010 to September 29, 2020. We obtained the closing values from Bloomberg
L.P., without independent verification. If certain corporate transactions occurred during the historical period shown below, including,
but not limited to, spin-offs or mergers, then the closing values shown below for the period prior to the occurrence of any such
transaction have been adjusted by Bloomberg L.P. as if any such transaction had occurred prior to the first day in the period shown
below. You should not take historical closing values as an indication of future performance.
JPMorgan Chase & Co. – Historical Closing Values
January 4, 2010 to September 29, 2020
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Citigroup Global Markets Holdings Inc.
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Information About Roku, Inc.
Roku, Inc. designs and manufactures consumer electronic products.
The company offers wireless enabled devices that stream audio and video content from the internet to home entertainment systems.
Roku, Inc. serves customers globally. The underlying shares of Roku, Inc. are registered under the Securities Exchange Act of 1934,
as amended (the “Exchange Act”). Information provided to or filed with the SEC by Roku, Inc. pursuant to the Exchange
Act can be located by reference to the SEC file number 001-38211 through the SEC’s website at http://www.sec.gov. In addition,
information regarding Roku, Inc. may be obtained from other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents. The underlying shares of Roku, Inc. trade on the Nasdaq Stock Market under the ticker
symbol “ROKU.”
We have derived all information regarding Roku, Inc. from publicly
available information and have not independently verified any information regarding Roku, Inc. This pricing supplement relates
only to the securities and not to Roku, Inc. We make no representation as to the performance of Roku, Inc. over the term of the
securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Roku, Inc. 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 Roku, Inc. on September 29, 2020 was $187.87.
The graph below shows the closing value of Roku, Inc. for each
day such value was available from September 28, 2017 to September 29, 2020. We obtained the closing values from Bloomberg L.P.,
without independent verification. If certain corporate transactions occurred during the historical period shown below, including,
but not limited to, spin-offs or mergers, then the closing values shown below for the period prior to the occurrence of any such
transaction have been adjusted by Bloomberg L.P. as if any such transaction had occurred prior to the first day in the period shown
below. You should not take historical closing values as an indication of future performance.
Roku, Inc. – Historical Closing Values
September 28, 2017 to September 29, 2020
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Citigroup Global Markets Holdings Inc.
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United States Federal Tax Considerations
You should note that, other than the discussion
under “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Possible Taxable Event”
regarding the possible assumption of the securities by Citigroup Inc., the discussion under the section called “United States
Federal Tax Considerations” in the accompanying product supplement generally does not apply to the securities issued under
this pricing supplement and is superseded by the following discussion.
The following is a discussion of the material
U.S. federal income and certain estate tax consequences of the ownership and disposition of the securities. It applies to you only
if you are an initial holder of a security that purchases the security for cash at its stated principal amount, and holds the security
as a capital asset within the meaning of Section 1221 of the Code.
This discussion does not address all of the
tax consequences that may be relevant to you in light of your particular circumstances or if you are a holder subject to special
rules, such as:
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a
financial institution;
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a
dealer or trader subject to a mark-to-market method of tax accounting with respect to the securities;
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a
person holding the securities as part of a “straddle” or conversion transaction or one who enters into a “constructive
sale” with respect to a security;
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a
U.S. Holder (as defined below) whose functional currency is not the U.S. dollar;
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an
entity classified as a partnership for U.S. federal income tax purposes;
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a
regulated investment company;
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a
tax-exempt entity, including an “individual retirement account” or “Roth IRA”; or
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an
investor subject to special tax accounting rules under Section 451(b) of the Code.
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If an entity that is classified as a partnership
for U.S. federal income tax purposes holds the securities, the U.S. federal income tax treatment of a partner will generally depend
on the status of the partner and the activities of the partnership. If you are a partnership holding the securities or a partner
in such a partnership, you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing
of the securities to you.
This discussion is based on the Code, administrative
pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this pricing supplement,
changes to any of which may affect the tax consequences described herein, possibly with retroactive effect. This discussion does
not address the effects of any applicable state, local or non-U.S. tax laws, or the potential application of the Medicare contribution
tax. You should consult your tax adviser about the application of U.S. federal tax laws to your particular situation (including
the possibility of alternative treatments of the securities), as well as any tax consequences arising under the laws of any state,
local or non-U.S. jurisdiction.
Tax Treatment of the Securities
Due to the absence of statutory, judicial or
administrative authorities that directly address the U.S. federal tax treatment of the securities or similar instruments, 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 each security for U.S. federal income tax purposes
as a unit comprising (i) an option written by you that, if exercised, requires you to pay us an amount equal to the Deposit (as
defined below) in exchange for a cash payment from us based on the underlying return of the least performing underlying (the “Put
Option”) and (ii) a deposit with us of a fixed amount of cash equal to the stated principal amount of the security to secure
your potential obligation under the Put Option (the “Deposit”). In the opinion of our counsel, Davis Polk &
Wardwell LLP, this treatment of the securities is reasonable under current law; however, our counsel has advised us that due to
the lack of any controlling legal authority it is unable to conclude affirmatively that this treatment is more likely than not
to be upheld, and that alternative treatments are possible. Moreover, our counsel’s opinion is based on market conditions
as of the date of this preliminary pricing supplement and is subject to confirmation on the pricing date. Under this treatment:
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a
portion of each coupon payment made with respect to a security will be attributable to interest on the Deposit; and
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the
remainder will represent option premium attributable to your grant of the Put Option (with respect to each coupon payment received
and, collectively, all coupon payments received, “Put Premium”).
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We will specify in the final pricing supplement
the portion of each coupon payment that we will allocate to interest on the Deposit and to Put Premium, respectively.
We do not plan to request a ruling from
the IRS, and the IRS or a court might not agree with this treatment. Accordingly, you should consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the securities. Unless otherwise stated, the following discussion is based
on the treatment of each security as a Put Option and a Deposit.
Tax Consequences to U.S. Holders
This section applies only to U.S. Holders.
You are a “U.S. Holder” if for U.S. federal income tax purposes you are a beneficial owner of a security that is:
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a
citizen or individual resident of the United States;
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a
corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state
thereof or the District of Columbia; or
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an
estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
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Coupon Payments. We intend to treat
interest paid with respect to the Deposit as ordinary interest income that is taxable to you at the time it accrues or is received,
in accordance with your method of tax accounting. The Put Premium should not be taken into account until retirement or earlier
sale or exchange of the security.
Sale or Exchange Prior to Retirement. Upon
a sale or exchange of a security prior to retirement, you should apportion the amount realized between the Deposit and the Put
Option based on their respective values on the date of sale or exchange. If the value of the Put Option is negative, you should
be treated as having made a payment of such negative value to the purchaser in exchange for the purchaser’s assumption of
the Put Option, in which case a corresponding amount should be added to the amount realized in respect of the Deposit.
You should recognize gain or loss with respect
to the Deposit in an amount equal to the difference between (i) the amount realized that is apportioned to the Deposit (other than
any amount attributable to accrued interest on the Deposit, which should be treated as a payment of interest) and (ii) your basis
in the Deposit (i.e., the price you paid to acquire the security). Such gain or loss should be long-term capital gain or loss if
you have held the security for more than one year, and short-term capital gain or loss otherwise.
You should recognize gain or loss in respect
of the Put Option in an amount equal to the total Put Premium you previously received, decreased by the amount deemed to be paid
by you, or increased by the amount deemed to be paid to you, in exchange for the purchaser’s assumption of the Put Option.
This gain or loss should be short-term capital gain or loss.
Tax Treatment at Retirement. The coupon
payment received upon retirement will be treated as described above under “Coupon Payments.”
If a security is retired for its stated principal
amount (without taking into account any coupon payment), the Put Option should be deemed to have expired unexercised, in which
case you should recognize short-term capital gain in an amount equal to the sum of all payments of Put Premium received, including
the Put Premium received upon retirement.
At maturity, if you receive an amount of cash,
not counting the final coupon payment, that is different from the stated principal amount, the Put Option should be deemed to have
been exercised and you should be deemed to have applied the Deposit toward the cash settlement of the Put Option. In that case,
you should recognise short-term capital gain or loss with respect to the Put Option in an amount equal to the difference between
(i) the sum of the total Put Premium received (including the Put Premium received at maturity) and the cash you receive at maturity,
excluding the final coupon payment, and (ii) the Deposit.
Possible Taxable Event. In the
event of a designation of a successor underlying, it is possible that the securities could be treated, in whole or part, as terminated
and reissued for U.S. federal income tax purposes. In such a case, you might be required to recognize gain or loss (subject
to the possible application of the wash sale rules) with respect to the securities.
Possible Alternative Tax Treatments of an
Investment in the Securities
Alternative U.S. federal income tax treatments
of the securities are possible that, if applied, could materially and adversely affect the timing and/or character of income, gain
or loss with respect to the securities. A security could be treated as a debt instrument issued by us, in which case the timing
and character of taxable income with respect to coupon payments on the securities would differ from that described herein and all
or a portion of any gain you realize would generally be treated as ordinary income. In addition, you could be subject to special
reporting requirements if any loss exceeded certain thresholds. Under other possible treatments, the entire coupon on the securities
might either be (i) treated as income to you at the time received or accrued or (ii) not accounted for separately as giving rise
to income to you until the sale, exchange or retirement of the securities. You should consult your tax adviser regarding these
issues.
Citigroup Global Markets Holdings Inc.
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Other possible U.S. federal income tax treatments of the securities
are possible that could also affect the timing and character of income or loss with respect to the securities. In addition, the
U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment
of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the
subject of future regulations or other guidance. In addition, members of Congress have proposed legislative changes to the tax
treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities.
Tax Consequences to Non-U.S. Holders
This section applies only to Non-U.S. Holders.
You are a “Non-U.S. Holder” if you are a beneficial owner of a security that is, for U.S. federal income tax purposes:
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an
individual who is classified as a nonresident alien;
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a
foreign corporation; or
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a
foreign trust or estate.
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You are not a Non-U.S. Holder for the purposes
of this discussion if you are (i) an individual who is present in the United States for 183 days or more in the taxable year of
disposition or (ii) a former citizen or resident of the United States. If you are or may become such a person during the period
in which you hold a security, you should consult your tax adviser regarding the U.S. federal tax consequences of an investment
in the securities to you.
Subject to the discussions below regarding
Section 871(m) and “FATCA,” under current law, you generally should not be subject to U.S. federal withholding or income
tax in respect of payments on the securities or amounts received on the sale, exchange or retirement of the securities, provided
that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United
States, and (ii) you provide to the applicable withholding agent an appropriate IRS Form W-8 certifying under penalties of perjury
that you are not a U.S. person.
If you are engaged in a U.S. trade or business,
and if income from the securities is effectively connected with the conduct of that trade or business, you generally will be subject
to regular U.S. federal income tax with respect to that income in the same manner as if you were a U.S. Holder, unless an applicable
income tax treaty provides otherwise. If you are a Non-U.S. Holder to which this paragraph may apply, you should consult your tax
adviser regarding other U.S. tax consequences of the ownership and disposition of the securities. If you are a corporation, you
should also consider the potential application of a 30% (or lower treaty rate) branch profits tax.
As described above under “—Tax
Consequences to U.S. Holders—Possible Alternative Tax Treatments of an Investment in the Securities” alternative tax
treatments could apply to the securities, in which case the tax consequences to you could be materially and adversely affected.
In addition, potential legislative or regulatory changes to the tax treatment of the securities could adversely impact your consequences
of an investment in the securities.
Possible Withholding Under Section 871(m)
of the Code. Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect
to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S.
Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one
or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta”
of one. Based on the terms of the 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 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.
While we currently do not intend to withhold
on payments on the securities to Non-U.S. Holders (subject to the certification requirement described above, the discussion above
regarding Section 871(m) and the discussion below regarding “FATCA”), in light of the uncertain treatment of the securities
other persons having withholding or information reporting responsibility in respect of the securities may treat some or all of
each coupon payment on a security as subject to withholding tax at a rate of 30%. Moreover, it is possible that in the future we
may determine that we should withhold at a rate of 30% on coupon payments on the securities. We will not be required to pay any
additional amounts with respect to amounts withheld.
Citigroup Global Markets Holdings Inc.
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U.S. Federal Estate Tax
If you are an individual Non-U.S. Holder, or
an entity the property of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax
purposes (for example, a trust funded by such an individual and with respect to which the individual has retained certain interests
or powers), you should note that, absent an applicable treaty exemption, a security may be treated as U.S.-situs property subject
to U.S. federal estate tax. If you are such an individual or entity, you should consult your tax adviser regarding the U.S. federal
estate tax consequences of an investment in the securities.
Information Reporting and Backup Withholding
Amounts paid on the securities, and payment
of the proceeds of a sale, exchange or other taxable disposition of the securities, may be subject to information reporting and,
if you fail to provide certain identifying information (such as an accurate taxpayer identification number if you are a U.S. Holder)
or meet certain other conditions, may also be subject to backup withholding at the rate specified in the Code. If you are a Non-U.S.
Holder that provides the applicable withholding agent with an appropriate IRS Form W-8, you will generally establish an exemption
from backup withholding. Amounts withheld under the backup withholding rules are not additional taxes and may be refunded or credited
against your U.S. federal income tax liability, provided the relevant information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as “FATCA”
generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect
to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied.
An intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements.
This legislation generally applies to certain financial instruments that are treated as paying U.S.-source interest, dividend equivalents
or other U.S.-source “fixed or determinable annual or periodical” income (“FDAP income”). Withholding (if
applicable) applies to payments of U.S.-source FDAP income. While existing Treasury regulations would also require withholding
on payments of gross proceeds of the disposition (including upon retirement) of certain financial instruments treated as providing
for U.S.-source interest or dividends, the U.S. Treasury Department has indicated in subsequent proposed regulations its intent
to eliminate this requirement. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations
pending their finalization. Although the application of the FATCA rules to the securities is not entirely clear because the U.S.
federal income tax treatment of the securities is unclear, it would be prudent to assume that a withholding agent will treat the
securities as subject to the withholding rules under FATCA. If withholding applies to the securities, we will not be required to
pay any additional amounts with respect to amounts withheld. You should consult your tax adviser regarding the potential application
of FATCA to the securities.
The preceding discussion, when read in
conjunction with “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Possible Taxable
Event” in the accompanying product supplement, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the
material U.S. federal tax consequences of owning and disposing of the securities.
You should 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 foreign taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $4 for
each security sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected dealers,
as described in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable
selling concession of up to $4 for each security they sell.
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.
Citigroup Global Markets Holdings Inc.
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The estimated value of the securities is a function of the terms
of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement,
it is uncertain what the estimated value of the securities will be on the pricing date because it is uncertain what the values
of the inputs to CGMI’s proprietary pricing models will be on the pricing date.
For a period of approximately three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the three-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Certain Selling
Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, 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 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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Citigroup Global Markets Holdings Inc.
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
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Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 2020 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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