|
The information in this preliminary pricing supplement is not
complete and may be changed. A registration statement relating to
these securities has been filed with the Securities and Exchange
Commission. This preliminary pricing supplement and the
accompanying product supplement, underlying supplement, prospectus
supplement and prospectus are not an offer to sell these
securities, nor are they soliciting an offer to buy these
securities, in any state where the offer or sale is not
permitted.
SUBJECT TO COMPLETION, DATED MARCH 2, 2021
|
|
Citigroup Global Markets Holdings Inc. |
March----,
2021
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2021-USNCH6953
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-03
|
Autocallable Barrier Securities Linked to the Worst Performing of
the Energy Select Sector SPDR® Fund and the Health Care
Select Sector SPDR® Fund Due March 15, 2022
|
▪ |
The securities offered by this pricing supplement are unsecured
debt securities issued by Citigroup Global Markets Holdings Inc.
and guaranteed by Citigroup Inc. Unlike conventional
debt securities, the securities do not pay interest, do not
guarantee the repayment of principal at maturity and are subject to
potential automatic early redemption on a periodic basis on the
terms described below. Your return on the securities will depend
solely on the performance of the worst performing of the
underlyings specified below. |
|
▪ |
The securities offer the potential for automatic early
redemption at a premium if the closing value of the worst
performing underlying on the valuation date prior to the final
valuation date is greater than or equal to its premium threshold
value specified below. If the securities are not automatically
redeemed prior to maturity, then the securities will no longer
offer the opportunity to receive a premium but instead will offer
(i) the opportunity to participate in any appreciation of the worst
performing underlying on the final valuation date at the upside
participation rate specified below and (ii) contingent repayment of
the stated principal amount at maturity if the final underlying
value of the worst performing underlying on the final valuation
date is less than its initial underlying value, but only so long as
the final underlying value of the worst performing underlying on
the final valuation date is greater than or equal to its trigger
value specified below. However, if the securities are not
automatically redeemed prior to maturity and the final underlying
value of the worst performing underlying on the final valuation
date is less than its trigger value, you will lose 1% of the stated
principal amount of your securities for every 1% by which the final
underlying value of the worst performing underlying on the final
valuation date is less than its initial underlying
value. You may lose a significant portion, and up to
all, of your investment. |
|
▪ |
You will be subject to risks associated with each of the
underlyings and will be negatively affected by adverse movements in
any one of the underlyings. Although you will have downside
exposure to the worst performing underlying on the final valuation
date, you will not receive dividends with respect to any underlying
or participate in any appreciation of any underlying. |
|
▪ |
Investors in the securities must be willing to accept (i) an
investment that may have limited or no liquidity and (ii) the risk
of not receiving any payments due under the securities if we and
Citigroup Inc. default on our obligations. All payments on the
securities are subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc. |
|
KEY TERMS |
|
Issuer: |
Citigroup
Global Markets Holdings Inc., a wholly owned subsidiary of
Citigroup Inc. |
|
Guarantee: |
All
payments due on the securities are fully and unconditionally
guaranteed by Citigroup Inc. |
|
Underlyings: |
Underlying |
Initial underlying value* |
Trigger value** |
Premium threshold value* |
|
|
Energy
Select Sector SPDR® Fund |
$ |
$ |
$ |
|
|
Health
Care Select Sector SPDR® Fund |
$ |
$ |
$ |
| |
* For each underlying, its closing value on the pricing date
** For each underlying, 80% of its initial underlying
value
|
|
Stated principal amount: |
$1,000
per security |
|
Pricing date: |
March
3, 2021 |
|
Issue date: |
March
8, 2021 |
|
Valuation dates: |
September
3, 2021 and March 10, 2022 (the “final valuation date”), each
subject to postponement if such date is not a scheduled trading day
or certain market disruption events occur |
|
Maturity date: |
Unless
earlier redeemed, March 15, 2022 |
|
Automatic early redemption: |
If, on
the valuation date prior to the final valuation date, the closing
value of the worst performing underlying is greater than or equal
to its premium threshold value, the securities will be
automatically redeemed on the third business day immediately
following that valuation date for an amount in cash per security
equal to $1,000 plus the premium applicable to that
valuation date. If the securities are automatically
redeemed following the valuation date prior to the final valuation
date, they will cease to be outstanding and you will no longer have
the opportunity to participate in any appreciation of the worst
performing underlying on the final valuation date at the upside
participation rate. |
|
Payment at maturity: |
If the securities are not automatically redeemed prior to maturity,
you will receive at maturity, for each security you then hold:
§
If the final underlying value of the worst performing underlying on
the final valuation date is greater than or equal to its
initial underlying value: $1,000 + the return amount
§
If the final underlying value of the worst performing underlying on
the final valuation date is less than its initial underlying
value but greater than or equal to its trigger value:
$1,000
§
If the final underlying value of the worst performing underlying on
the final valuation date is less than its trigger value:
$1,000 + ($1,000 × the underlying return of the worst performing
underlying on the final valuation date)
If the securities are not automatically redeemed prior to
maturity and the final underlying value of the worst performing
underlying on the final valuation date is less than its trigger
value, you will receive significantly less than the stated
principal amount of your securities, and possibly nothing, at
maturity.
|
|
Listing: |
The
securities will not be listed on any securities
exchange |
|
Underwriter: |
Citigroup
Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as
principal |
|
Underwriting fee and issue price: |
Issue price(1) |
Underwriting fee(2) |
Proceeds to issuer |
|
Per security: |
$1,000 |
$10 |
$990 |
|
Total: |
$ |
$ |
$ |
(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 $907.00 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, underlying supplement, prospectus supplement
and prospectus are truthful or complete. Any representation to the
contrary is a criminal offense. You should read this pricing
supplement together with the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus, which
can be accessed via the hyperlinks below:
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) |
|
Premium: |
The premium applicable to the valuation date prior to the final
valuation date will be determined on the pricing date and will be
at least the percentage indicated below. The premium may
be significantly less than the appreciation of any underlying from
the pricing date to the valuation date prior to the final valuation
date.
·
September
3, 2021: 20.00% of the stated principal amount
|
|
Return amount: |
$1,000
× the underlying return of the worst performing underlying on the
final valuation date × the upside participation rate |
|
Upside participation rate: |
150% |
|
Final underlying value: |
For
each underlying, its closing value on the final valuation
date |
|
Underlying return: |
For
each underlying on any valuation date, (i) its closing value on
that valuation date minus its initial underlying value,
divided by (ii) its initial underlying value |
|
Worst performing underlying: |
For
any valuation date, the underlying with the lowest underlying
return determined as of that valuation date |
|
CUSIP / ISIN: |
17328YTH7
/ US17328YTH70 |
Additional Information
General. The terms of the securities are set forth in the
accompanying product supplement, prospectus supplement and
prospectus, as supplemented by this pricing
supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures
that are not repeated in this pricing supplement. For
example, the accompanying product supplement contains important
information about how the closing value of each underlying will be
determined and about adjustments that may be made to the terms of
the securities upon the occurrence of market disruption events and
other specified events with respect to each
underlying. The accompanying underlying supplement
contains information about each underlying that is not repeated in
this pricing supplement. It is important that you read
the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus together with this pricing
supplement in deciding whether to invest in the
securities. Certain terms used but not defined in this
pricing supplement are defined in the accompanying product
supplement.
Closing Value. The
“closing value” of 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.
Prospectus. The first sentence of “Description of Debt
Securities— Events of Default and Defaults” in the accompanying
prospectus shall be amended to read in its entirety as follows:
Events of default under the indenture are:
|
▪ |
failure of Citigroup Global Markets Holdings or Citigroup to
pay required interest on any debt security of such series for 30
days; |
|
▪ |
failure of Citigroup Global Markets Holdings or Citigroup to
pay principal, other than a scheduled installment payment to a
sinking fund, on any debt security of such series for 30 days; |
|
▪ |
failure of Citigroup Global Markets Holdings or Citigroup to
make any required scheduled installment payment to a sinking fund
for 30 days on debt securities of such series; |
|
▪ |
failure of Citigroup Global Markets Holdings to perform for 90
days after notice any other covenant in the indenture applicable to
it other than a covenant included in the indenture solely for the
benefit of a series of debt securities other than such series;
and |
|
▪ |
certain events of bankruptcy or insolvency of Citigroup Global
Markets Holdings, whether voluntary or not (Section
6.01). |
|
Citigroup Global Markets Holdings
Inc. |
| |
Payout Table and Diagram
The table below illustrates how the amount payable per security
will be calculated if the closing value of the worst performing
underlying on the valuation date prior to the final valuation date
is greater than or equal to its premium threshold value. The table
assumes that the premium applicable to the valuation date prior to
the final valuation date will be set at the lowest value indicated
under “Key Terms” above. The actual premium applicable to each
valuation date will be determined on the pricing date.
|
If
the first valuation date on which the closing value of the worst
performing underlying on the valuation date is greater than or
equal to its premium threshold value is . . . |
. .
. then you will receive the following payment per $1,000 security
upon automatic early redemption: |
|
September
3, 2021 |
$1,000
+ applicable premium = $1,000 + $200.00 = $1,200.00 |
If, on the valuation date prior to the final valuation date, the
closing value of any underlying is greater than or equal to its
premium threshold value, but the closing value of any other
underlying is less than its premium threshold value, you will not
receive the premium indicated above following that valuation
date. In order to receive the premium indicated above,
the closing value of each underlying on the valuation date
prior to the final valuation date must be greater than or equal to
its premium threshold value.
The diagram below illustrates
the payment at maturity of the securities, assuming the securities
have not previously been automatically redeemed, for a range of
hypothetical underlying returns of the worst performing underlying
on the final valuation date. Your payment at maturity
(if the securities are not earlier automatically redeemed) will be
determined based solely on the performance of the worst performing
underlying on the final valuation date.
Investors in the securities will not receive any dividends with
respect to the underlyings. The diagram and examples below do not
show any effect of lost dividend yield over the term of the
securities. See “Summary Risk Factors—You will not receive
dividends or have any other rights with respect to the underlyings”
below.
|
Payment at
Maturity |
 |
|
Citigroup Global Markets Holdings
Inc. |
| |
Hypothetical Examples of the Payment at Maturity
The examples below illustrate how to determine the payment at
maturity on the securities, assuming the securities are not
automatically redeemed prior to maturity. The examples are solely
for illustrative purposes, do not show all possible outcomes and
are not a prediction of any payment that may be made on the
securities.
The examples below are based on the following hypothetical values
and do not reflect the actual initial underlying values or trigger
values of the underlyings. For the actual initial underlying values
and trigger values, see the cover page of this pricing supplement.
We have used these hypothetical values, rather than the actual
values, to simplify the calculations and aid understanding of how
the securities work. However, you should understand that the actual
payments on the securities will be calculated based on the actual
initial underlying value and trigger value of each underlying, and
not the hypothetical values indicated below.
|
Underlying |
Hypothetical initial underlying value |
Hypothetical trigger value |
|
Energy
Select Sector SPDR® Fund |
$100 |
$80
(80% of its hypothetical initial underlying value) |
|
Health
Care Select Sector SPDR® Fund |
$100 |
$80
(80% of its hypothetical initial underlying value) |
The examples below are intended to illustrate how, if the
securities are not automatically redeemed prior to maturity, your
payment at maturity will depend on the final underlying value of
the worst performing underlying on the final valuation
date. Your actual payment at maturity per security will
depend on the actual final underlying value of the worst performing
underlying on the final valuation date.
Example 1—Upside Scenario.
|
Underlying |
Hypothetical final underlying value |
Hypothetical underlying return |
|
Energy
Select Sector SPDR® Fund |
$110 |
10% |
|
Health
Care Select Sector SPDR® Fund |
$150 |
50% |
Payment at maturity per security = $1,000 + the return amount
=
$1,000 + ($1,000 × the underlying return of the worst performing
underlying on the final valuation date × the upside participation
rate)
=
$1,000 + ($1,000 × 10% × 150%)
=
$1,000 + $150
=
$1,150
In this example, the Energy Select Sector SPDR® Fund has
the lowest underlying return and is, therefore, the worst
performing underlying on the final valuation
date. Because the final underlying value of the worst
performing underlying on the final valuation date is greater than
its initial underlying value, your total return at maturity would
equal the underlying return of the worst performing underlying on
the final valuation date multiplied by the upside
participation rate.
Example 2—Par Scenario.
|
Underlying |
Hypothetical final underlying value |
Hypothetical underlying return |
|
Energy
Select Sector SPDR® Fund |
$90 |
-10% |
|
Health
Care Select Sector SPDR® Fund |
$120 |
20% |
In this example, the Energy Select Sector SPDR® Fund has
the lowest underlying return and is, therefore, the worst
performing underlying on the final valuation
date. Because the final underlying value of the worst
performing underlying on the final valuation date is less than its
initial underlying value but greater than its trigger value, you
would be repaid the stated principal amount of $1,000 per security
at maturity but would not receive any premium.
|
Citigroup Global Markets Holdings
Inc. |
| |
Example 3—Downside Scenario.
|
Underlying |
Hypothetical final underlying value |
Hypothetical underlying return |
|
Energy
Select Sector SPDR® Fund |
$105 |
5% |
|
Health
Care Select Sector SPDR® Fund |
$30 |
-70% |
In this example, the Health Care Select Sector SPDR®
Fund has the lowest underlying return and is, therefore, the worst
performing underlying on the final valuation
date. Because the final underlying value of the worst
performing underlying on the final valuation date is less than its
trigger value, you would receive a payment at maturity per security
that is significantly less than the stated principal amount,
calculated as follows:
Payment at maturity per security = $1,000 + ($1,000 × the
underlying return of the worst performing underlying on the final
valuation date)
=
$1,000 + ($1,000 × -70%)
=
$1,000 + -$700
=
$300
In this example, you would incur a significant loss at maturity and
would have full downside exposure to the depreciation of the worst
performing underlying on the final valuation date from its initial
underlying value to its final underlying value.
|
Citigroup Global Markets Holdings
Inc. |
| |
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 automatically
redeemed prior to maturity, your payment at maturity will depend on
the final underlying value of the worst performing underlying on
the final valuation date. If the final underlying value
of the worst performing underlying on the final valuation date is
less than its trigger value, you will lose 1% of the stated
principal amount of the securities for every 1% by which the worst
performing underlying on the final valuation date has declined from
its initial underlying value. There is no minimum
payment at maturity on the securities, and you may lose up to all
of your investment. |
|
§ |
The
trigger feature of the securities exposes you to particular
risks. Although you will be repaid at least your stated
principal amount at maturity so long as the final underlying value
of the worst performing underlying on the final valuation date is
greater than or equal to its trigger value, you will have full
downside exposure to that worst performing underlying on the final
valuation date if its final underlying value is less than its
trigger value. In this scenario, you will lose 1% of the stated
principal amount of the securities for every 1% by which the worst
performing underlying on the final valuation date has declined from
its initial underlying value to its final underlying value and you
may lose your entire investment in the securities. |
|
§ |
The
securities do not pay interest. You should not invest in the
securities if you seek current income during the term of the
securities. |
|
§ |
The
securities are subject to heightened risk because they have
multiple underlyings. The securities are more risky
than similar investments that may be available with only one
underlying. With multiple underlyings, there is a greater chance
that any one underlying will perform poorly, adversely affecting
your return on the securities. |
|
§ |
The
securities are subject to the risks of each of the underlyings and
will be negatively affected if any one underlying performs
poorly. You are subject to risks associated with
each of the underlyings. If any one underlying performs poorly, you
will be negatively affected. The securities are not linked to a
basket composed of the underlyings, where the blended performance
of the underlyings would be better than the performance of the
worst performing underlying alone. Instead, you are
subject to the full risks of whichever of the underlyings is the
worst performing underlying. |
|
§ |
You
will not benefit in any way from the performance of any better
performing underlying. The return on the securities
depends solely on the performance of the worst performing
underlying, and you will not benefit in any way from the
performance of any better performing underlying. |
|
§ |
You
will be subject to risks relating to the relationship between the
underlyings. It is preferable from your perspective
for the underlyings to be correlated with each other, in the sense
that their closing values tend to increase or decrease at similar
times and by similar magnitudes. By investing in the
securities, you assume the risk that the underlyings will not
exhibit this relationship. The less correlated the
underlyings, the more likely it is that any one of the underlyings
will perform poorly over the term of the securities. All that is
necessary for the securities to perform poorly is for one of the
underlyings to perform poorly. It is impossible to
predict what the relationship between the underlyings will be over
the term of the securities. The underlyings differ in
significant ways and, therefore, may not be correlated with each
other. |
|
§ |
The
securities may be automatically redeemed prior to maturity,
limiting the term of the securities. If the closing
value of the worst performing underlying on the valuation date
prior to the final valuation date is greater than or equal to its
premium threshold value, the securities will be automatically
redeemed. If the securities are automatically redeemed
following the valuation date prior to the final valuation date,
they will cease to be outstanding and you will not receive the
return applicable to the final valuation date. Moreover, you may
not be able to reinvest your funds in another investment that
provides a similar yield with a similar level of risk. |
|
§ |
You
will not receive dividends or have any other rights with respect to
the underlyings. You will not receive any dividends
with respect to the underlyings. This lost dividend
yield may be significant over the term of the
securities. The payment scenarios |
|
Citigroup Global Markets Holdings
Inc. |
| |
described in this pricing supplement do not show any effect of such
lost dividend yield over the term of the securities. In
addition, you will not have voting rights or any other rights with
respect to the underlyings or the stocks included in the
underlyings.
|
§ |
The
performance of the securities will depend on the closing values of
the underlyings solely on the valuation dates, which makes the
securities particularly sensitive to volatility in the closing
values of the underlyings on or near the valuation
dates. Whether the securities will be automatically
redeemed prior to maturity will depend on the closing values of the
underlyings solely on the valuation date prior to the final
valuation date, regardless of the closing values of the underlyings
on other days during the term of the securities. If the securities
are not automatically redeemed prior to maturity, what you receive
at maturity will depend solely on the final underlying value of the
worst performing underlying on the final valuation date, and not on
any other day during the term of the securities. Because the
performance of the securities depends on the closing values of the
underlyings on a limited number of dates, the securities will be
particularly sensitive to volatility in the closing values of the
underlyings on or near the valuation dates. You should understand
that the closing value of each underlying has historically been
highly volatile. |
|
§ |
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. |
|
§ |
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. |
|
§ |
The
estimated value of the securities was determined for us by our
affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this
pricing supplement from its proprietary pricing
models. In doing so, it may have made discretionary
judgments about the inputs to its models, such as the volatility
of, and correlation between, the underlyings, dividend yields on
the underlyings and interest rates. CGMI’s views on these inputs
may differ from your or others’ views, and as an underwriter in
this offering, CGMI’s interests may conflict with
yours. Both the models and the inputs to the models may
prove to be wrong and therefore not an accurate reflection of the
value of the securities. Moreover, the estimated value
of the securities set forth on the cover page of this pricing
supplement may differ from the value that we or our affiliates may
determine for the securities for other purposes, including for
accounting purposes. You should not invest in the
securities because of the estimated value of the
securities. Instead, you should be willing to hold the
securities to maturity irrespective of the initial estimated
value. |
|
§ |
The
estimated value of the securities would be lower if it were
calculated based on our secondary market rate. The
estimated value of the securities included in this pricing
supplement is calculated based on our internal funding rate, which
is the rate at which we are willing to borrow funds through the
issuance of the securities. Our internal funding rate is generally
lower than our secondary market rate, which is the rate that CGMI
will use in determining the value of the securities for purposes of
any purchases of the securities from you in the secondary
market. If the estimated value included in this pricing
supplement were based on our secondary market rate, rather than our
internal funding rate, it would likely be lower. We
determine our internal funding rate based on factors such as the
costs associated with the securities, which are generally higher
than the costs associated with conventional debt securities, and
our liquidity needs and preferences. Our internal
funding rate is not an interest rate that is payable on the
securities. |
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our
secondary market rate based on the market price of traded
instruments referencing the debt obligations of Citigroup Inc., our
parent company and the guarantor of all payments due on the
securities, but subject to adjustments that CGMI makes in its sole
discretion. As a result, our secondary market rate is
not a market-determined measure of our creditworthiness, but rather
reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as
CGMI’s preferences with respect to purchasing the securities prior
to maturity.
|
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The
estimated value of the securities is not an indication of the
price, if any, at which CGMI or any other person may be willing to
buy the securities from you in the secondary
market. Any such secondary market price will
fluctuate over the term of the securities based on the market and
other factors described in the next risk
factor. Moreover, unlike the estimated value 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 the closing values of the
underlyings, the correlation between the underlyings, dividend
yields on the underlyings, interest rates generally, the time
remaining to maturity and our and Citigroup Inc.’s
creditworthiness, as reflected in our secondary market rate, among
other factors described under “Risk Factors Relating to the
Securities—Risk Factors Relating to All Securities—The value of
your securities prior to maturity will fluctuate based on many
unpredictable factors” in the accompanying product
supplement. Changes in the closing values of the
underlyings may not result in a comparable change in the value of
your securities. You should understand that the value of
your securities at any time prior to maturity may be significantly
less than the issue price. |
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Immediately
following issuance, any secondary market bid price provided by
CGMI, and the value that will be indicated on any brokerage account
statements prepared by CGMI or its affiliates, will reflect a
temporary upward adjustment. The amount of this
temporary upward adjustment will steadily decline to zero over the
temporary adjustment period. See “Valuation of the
Securities” in this pricing supplement. |
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The Energy Select Sector SPDR® Fund is subject to
concentrated risks associated with the energy sector. The
stocks included in the index underlying the Energy Select Sector
SPDR® Fund and that are generally tracked by the Energy
Select Sector SPDR® Fund are stocks of companies whose
primary business is directly associated with the energy sector,
including the following two sub-sectors: (i) oil, gas and
consumable fuels and (ii) energy equipment and services. Because
the securities are linked to the performance of the Energy Select
Sector SPDR® Fund, an investment in the securities
exposes investors to concentrated risks associated with investments
in the energy sector. |
Energy companies develop and
produce crude oil and natural gas and/or provide drilling and other
energy resources production and distribution related services.
Stock prices for these types of companies are mainly affected by
the business, financial and operating conditions of the particular
company, as well as changes in prices for oil, gas and other types
of fuels, which in turn largely depend on supply and demand for
various energy products and services. Some of the factors that may
influence supply and demand for energy products and services
include: general economic conditions and growth rates; weather
conditions; the cost of exploring for, producing and delivering oil
and gas; technological advances affecting energy efficiency and
energy consumption; the ability of the Organization of Petroleum
Exporting Countries (OPEC) to set and maintain production levels of
oil; currency fluctuations; inflation; natural disasters; civil
unrest, acts of sabotage or terrorism; and other regional or global
events. The profitability of energy companies may also be adversely
affected by existing and future laws, regulations, government
actions and other legal requirements relating to protection of the
environment, health and safety matters and others that may increase
the costs of conducting their business or may reduce or delay
available business opportunities. Increased supply or weak demand
for energy products and services, as well as various developments
leading to higher costs of doing business or missed business
opportunities, would adversely impact the performance of companies
in the energy sector. 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 the energy
sector or one of the sub-sectors of the energy sector than a
different investment linked to securities of a more broadly
diversified group of issuers.
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The Health Care Select Sector SPDR® Fund is subject
to risks associated with the health care sector. All or
substantially all of the securities held by the Health Care Select
Sector SPDR® Fund are issued by companies whose primary
line of business is directly associated with the health care
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. 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 health care 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 these 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. These
factors could affect the health care sector and could affect the
value of the securities held by the Health Care Select Sector
SPDR® Fund and the value of the Health Care Select
Sector SPDR® Fund 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 |
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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. |
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 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
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Citigroup Global Markets Holdings
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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
prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax
consequences of the ownership and disposition of the securities
might be materially and adversely affected. Even if the treatment
of the securities as prepaid forward contracts is respected, a
security may be treated as a “constructive ownership transaction,”
with potentially adverse consequences described below under “United
States Federal Tax Considerations.” Moreover, future legislation,
Treasury regulations or IRS guidance could adversely affect the
U.S. federal tax treatment of the securities, possibly
retroactively. |
If you are a non-U.S. investor, you should review the discussion of
withholding tax issues in “United States Federal Tax
Considerations—Non-U.S. Holders” below.
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the
Securities” in the accompanying product supplement and “United
States Federal Tax Considerations” in this pricing
supplement. You should also consult your tax adviser
regarding the U.S. federal tax consequences of an investment in the
securities, as well as tax consequences arising under the laws of
any state, local or non-U.S. taxing jurisdiction.
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Information About the Energy Select Sector SPDR®
Fund
The Energy Select Sector
SPDR® Fund is an exchange-traded fund that seeks to
provide investment results that, before expenses, correspond
generally to the performance of publicly traded equity securities
of companies in the S&P Energy Select Sector Index. The S&P
Energy Select Sector Index is intended to provide an indication of
the pattern of common stock price movements of companies that are
components of the S&P 500® Index and are involved in
the development or production of energy. The S&P Energy Select
Sector Index includes companies in the following two industries:
(i) oil, gas and consumable fuels and (ii) energy equipment and
services. The Energy Select Sector SPDR® Fund is managed
by the Select Sector SPDR® Trust, a registered
investment company. The Select Sector SPDR® Trust
consists of numerous separate investment portfolios, including the
Energy Select Sector SPDR® Fund.
Information provided to or
filed with the SEC by the Select Sector SPDR® 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 333-57791 and 811-08837,
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
Energy Select Sector SPDR® Fund trade on the NYSE Arca
under the ticker symbol “XLE.”
We have derived all
information regarding the Energy Select Sector SPDR®
Fund from publicly available information and have not independently
verified any information regarding the Energy Select Sector
SPDR® Fund. This pricing supplement relates only to the
securities and not to the Energy Select Sector SPDR®
Fund. We make no representation as to the performance of the Energy
Select Sector SPDR® Fund 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 Energy Select Sector
SPDR® Fund 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 Energy Select Sector SPDR® Fund
on February 26, 2021 was $48.15.
The graph below shows the closing value of the Energy Select Sector
SPDR® Fund for each day such value was available from
January 3, 2011 to February 26, 2021. We obtained the closing
values from Bloomberg L.P., without independent verification. You
should not take the historical closing values as an indication of
future performance.
Energy Select Sector SPDR® Fund – Historical Closing
Values
January 3, 2011 to February 26, 2021 |
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Information About the Health Care Select Sector SPDR®
Fund
The Health Care Select Sector
SPDR® Fund is an exchange-traded fund that seeks to
provide investment results that, before expenses, correspond
generally to the performance of publicly traded equity securities
of companies in the S&P Health Care Select Sector Index. The
S&P Health Care Select Sector Index is intended to provide an
indication of the pattern of common stock price movements of
companies that are components of the S&P 500® Index
and are involved in the health care sector. The S&P Health Care
Select Sector Index includes companies in the following six
industries: (i) health care equipment and supplies, (ii) health
care providers and services, (iii) health care technology, (iv)
biotechnology, (v) pharmaceuticals and (vi) life sciences tools and
services. The Health Care Select Sector SPDR® Fund is
managed by the Select Sector SPDR® Trust, a registered
investment company. The Select Sector SPDR®
Trust consists of numerous separate investment portfolios,
including the Health Care Select Sector SPDR®
Fund.
Information provided to or
filed with the SEC by the Select Sector SPDR® 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 333-57791 and 811-08837,
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
Health Care Select Sector SPDR® Fund trade on the NYSE
Arca under the ticker symbol “XLV.”
We have derived all information regarding the Health Care Select
Sector SPDR® Fund from publicly available information
and have not independently verified any information regarding the
Health Care Select Sector SPDR® Fund. This pricing
supplement relates only to the securities and not to the Health
Care Select Sector SPDR® Fund. We make no
representation as to the performance of the Health Care Select
Sector SPDR® Fund 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 Health Care Select Sector SPDR® Fund 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 Health Care Select Sector SPDR®
Fund on February 26, 2021 was $112.61.
The graph below shows the closing value of the Health Care Select
Sector SPDR® Fund for each day such value was available
from January 3, 2011 to February 26, 2021. We obtained the closing
values from Bloomberg L.P., without independent verification. You
should not take the historical closing values as an indication of
future performance.
Health Care Select Sector SPDR® Fund – Historical
Closing Values
January
3, 2011 to February 26, 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.
In the opinion of our counsel, Davis Polk & Wardwell LLP, a
security should be treated as a prepaid forward contract for U.S.
federal income tax purposes. By purchasing a security,
you agree (in the absence of an administrative determination or
judicial ruling to the contrary) to this
treatment. There is uncertainty regarding this
treatment, and the IRS or a court might not agree with it.
Moreover, our counsel’s opinion is based on market conditions as of
the date of this preliminary pricing supplement and is subject to
confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in
the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
|
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You
should not recognize taxable income over the term of the securities
prior to maturity, other than pursuant to a sale or
exchange. |
|
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Upon a
sale or exchange of a security (including retirement at maturity),
you should recognize gain or loss equal to the difference between
the amount realized and your tax basis in the
security. Subject to the discussion below concerning the
potential application of the “constructive ownership” rules under
Section 1260 of the Code, any gain or loss recognized upon a sale,
exchange or retirement of a security should be long-term capital
gain or loss if you held the security for more than one
year. |
Even if the treatment of the securities as prepaid forward
contracts is respected, your purchase of a security may be treated
as entry into a “constructive ownership transaction,” within the
meaning of Section 1260 of the Code. In that case, all or a portion
of any long-term capital gain you would otherwise recognize in
respect of your securities would be recharacterized as ordinary
income to the extent such gain exceeded the “net underlying
long-term capital gain.” Any long-term capital gain recharacterized
as ordinary income under Section 1260 would be treated as accruing
at a constant rate over the period you held your securities, and
you would be subject to an interest charge in respect of the deemed
tax liability on the income treated as accruing in prior tax years.
Due to the lack of governing authority under Section 1260, our
counsel is not able to opine as to whether or how Section 1260
applies to the securities. You should read the section entitled
“United States Federal Tax Considerations—Tax Consequences to U.S.
Holders—Potential Application of Section 1260 of the Code” in the
accompanying product supplement for additional information and
consult your tax adviser regarding the potential application of the
“constructive ownership” rule.
We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the
securities could materially and adversely affect the tax
consequences of ownership and disposition of the securities,
including the timing and character of income recognized. In
addition, the U.S. Treasury Department and the IRS have requested
comments on various issues regarding the U.S. federal income tax
treatment of “prepaid forward contracts” and similar financial
instruments and have indicated that such transactions may be the
subject of future regulations or other guidance. Furthermore,
members of Congress have proposed legislative changes to the tax
treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of
these issues could materially and adversely affect the tax
consequences of an investment in the securities, possibly with
retroactive effect. You should consult your tax adviser regarding
possible alternative tax treatments of the securities and potential
changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in
“United States Federal Tax Considerations” in the accompanying
product supplement, if you are a Non-U.S. Holder (as defined in the
accompanying product supplement) of the securities, you generally
should not be subject to U.S. federal withholding or income tax in
respect of any amount paid to you with respect to the securities,
provided that (i) income in respect of the securities is not
effectively connected with your conduct of a trade or business in
the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product
supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30%
withholding tax on dividend equivalents paid or deemed paid to
Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities (“U.S. Underlying Equities”) or indices
that include U.S. Underlying Equities. Section 871(m)
generally applies to instruments that substantially replicate the
economic performance of one or more U.S. Underlying Equities, as
determined based on tests set forth in the applicable Treasury
regulations. However, the regulations, as modified by an
IRS notice, exempt financial instruments issued prior to January 1,
2023 that do not have a “delta” of one. Based on the
terms of the securities and representations provided by us as of
the date of this preliminary pricing supplement, our counsel is of
the opinion that the securities should not be treated as
transactions that have a “delta” of one within the meaning of the
regulations with respect to any U.S. Underlying Equity and,
therefore, should not be subject to withholding tax under Section
871(m). However, the final determination regarding the
treatment of the securities under Section 871(m) will be made as of
the pricing date for the securities, and it is possible that the
securities will be subject to withholding tax under Section 871(m)
based on the circumstances as of that date.
A
determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this
treatment. Moreover, Section 871(m) is complex and its
application may depend on your particular circumstances, including
your other transactions. You should consult your tax
adviser regarding the potential application of Section 871(m) to
the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts
withheld.
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Citigroup Global Markets Holdings
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You should read the section entitled “United States Federal Tax
Considerations” in the accompanying product
supplement. The preceding discussion, when read in
combination with that section, constitutes the full opinion of
Davis Polk & Wardwell LLP regarding the material U.S. federal
tax consequences of owning and disposing of the
securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an
investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing
jurisdiction.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and
the underwriter of the sale of the securities, is acting as
principal and will receive an underwriting fee of $10 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 $10 for each security they sell. For the avoidance of
doubt, the fees and selling concessions described in this pricing
supplement will not be rebated if the securities are automatically
redeemed prior to maturity.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each
of the accompanying prospectus supplement and prospectus for
additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on
the cover page of this pricing supplement based on proprietary
pricing models. CGMI’s proprietary pricing models
generated an estimated value for the securities by estimating the
value of a hypothetical package of financial instruments that would
replicate the payout on the securities, which consists of a
fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the
“derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our
internal funding rate. CGMI calculated the estimated
value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for
the instruments that constitute the derivative component based on
various inputs, including the factors described under “Summary Risk
Factors—The value of the securities prior to maturity will
fluctuate based on many unpredictable factors” in this pricing
supplement, but not including our or Citigroup Inc.’s
creditworthiness. These inputs may be market-observable
or may be based on assumptions made by CGMI in its discretionary
judgment.
The estimated value of the securities is a function of the terms of
the securities and the inputs to CGMI’s proprietary pricing models.
As of the date of this preliminary pricing supplement, it is
uncertain what the estimated value of the securities will be on the
pricing date because 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 three months following issuance of
the securities, the price, if any, at which CGMI would be willing
to buy the securities from investors, and the value that will be
indicated for the securities on any brokerage account statements
prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will
reflect a temporary upward adjustment from the price or value that
would otherwise be determined. This temporary upward
adjustment represents a portion of the hedging profit expected to
be realized by CGMI or its affiliates over the term of the
securities. The amount of this temporary upward
adjustment will decline to zero on a straight-line basis over the
three-month temporary adjustment period. However, CGMI
is not obligated to buy the securities from investors at any
time. See “Summary Risk Factors—The securities will not
be listed on any securities exchange and you may not be able to
sell them prior to maturity.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement
and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s
Republic of China (“Hong Kong”). Investors are advised to exercise
caution in relation to the offer. If investors are in any doubt
about any of the contents of this pricing supplement and the
accompanying product supplement, underlying supplement, prospectus
supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other
than
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(i) |
to persons whose ordinary business is to buy or sell shares or
debentures (whether as principal or agent); or |
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(ii) |
to “professional investors” as defined in the Securities and
Futures Ordinance (Cap. 571) of Hong Kong (the “Securities and
Futures Ordinance”) and any rules made under that Ordinance;
or |
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(iii) |
in other circumstances which do not result in the document
being a “prospectus” as defined in the Companies Ordinance (Cap.
32) of Hong Kong or which do not constitute an offer to the public
within the meaning of that Ordinance; and |
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Citigroup Global Markets Holdings
Inc. |
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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,
underlying supplement, prospectus supplement and prospectus have
not been registered as a prospectus with the Monetary Authority of
Singapore, and the securities will be offered pursuant to
exemptions under the Securities and Futures Act, Chapter 289 of
Singapore (the “Securities and Futures Act”). Accordingly, the
securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing
supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any
securities be circulated or distributed, whether directly or
indirectly, to any person in Singapore other than (a) to an
institutional investor pursuant to Section 274 of the Securities
and Futures Act, (b) to a relevant person under Section 275(1) of
the Securities and Futures Act or to any person pursuant to Section
275(1A) of the Securities and Futures Act and in accordance with
the conditions specified in Section 275 of the Securities and
Futures Act, or (c) otherwise pursuant to, and in accordance with
the conditions of, any other applicable provision of the Securities
and Futures Act. Where the securities are subscribed or purchased
under Section 275 of the Securities and Futures Act by a relevant
person which is:
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(a) |
a corporation (which is not an accredited investor (as defined
in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of
which is owned by one or more individuals, each of whom is an
accredited investor; or |
|
(b) |
a trust (where the trustee is not an accredited investor) whose
sole purpose is to hold investments and each beneficiary is an
individual who is an accredited investor, securities (as defined in
Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever
described) in that trust shall not be transferable for 6 months
after that corporation or that trust has acquired the relevant
securities pursuant to an offer under Section 275 of the Securities
and Futures Act except: |
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(i) |
to an institutional investor or to a relevant person defined in
Section 275(2) of the Securities and Futures Act or to any person
arising from an offer referred to in Section 275(1A) or Section
276(4)(i)(B) of the Securities and Futures Act; or |
|
(ii) |
where no consideration is or will be given for the transfer;
or |
|
(iii) |
where the transfer is by operation of law; or |
|
(iv) |
pursuant to Section 276(7) of the Securities and Futures Act;
or |
|
(v) |
as specified in Regulation 32 of the Securities and Futures
(Offers of Investments) (Shares and Debentures) Regulations 2005 of
Singapore. |
Any securities referred to herein may not be registered with any
regulator, regulatory body or similar organization or institution
in any jurisdiction.
The securities are Specified Investment Products (as defined in the
Notice on Recommendations on Investment Products and Notice on the
Sale of Investment Product issued by the Monetary Authority of
Singapore on 28 July 2011) that is neither listed nor quoted on a
securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These
securities are not insured products subject to the provisions of
the Deposit Insurance and Policy Owners’ Protection Schemes Act
2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Notice to Canadian Investors
The notes may be sold in Canada only to purchasers purchasing, or
deemed to be purchasing, as principal that are accredited
investors, as defined in National Instrument 45-106 Prospectus
Exemptions or subsection 73.3(1) of the Securities Act
(Ontario), and are permitted clients, as defined in National
Instrument 31-103 Registration Requirements, Exemptions and
Ongoing Registrant Obligations. Any resale of the
notes must be made in accordance with an exemption from, or in a
transaction not subject to, the prospectus requirements of
applicable securities laws.
Securities legislation in certain provinces or territories of
Canada may provide a purchaser with remedies for rescission or
damages if this pricing supplement or an accompanying product
supplement, prospectus supplement or prospectus (including any
amendment thereto) contains a misrepresentation, provided that the
remedies for rescission or damages are exercised by the purchaser
within the
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time limit prescribed by the securities legislation of the
purchaser’s province or territory. The purchaser should
refer to any applicable provisions of the securities legislation of
the purchaser’s province or territory for particulars of these
rights or consult with a legal advisor.
Pursuant to section 3A.3 of National Instrument 33-105
Underwriting Conflicts (“NI 33-105”), the
underwriters are not required to comply with the disclosure
requirements of NI 33-105 regarding underwriter conflicts of
interest in connection with this offering.
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.
