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 OCTOBER
20, 2020
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Citigroup Global Markets Holdings Inc.
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October---,
2020
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2020-USNCH[ ]
Filed Pursuant
to Rule 424(b)(2)
Registration
Statement Nos. 333-224495 and 333-224495-03
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Autocallable Securities Linked to the EURO STOXX
50® Index Due October 31, 2025
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▪
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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
on the performance of the underlying specified below.
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|
▪
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The securities offer the potential for automatic early
redemption at a premium following the first valuation date (other than the final valuation date) on which the closing value of
the underlying is greater than or equal to the initial underlying value. If the securities are not automatically redeemed prior
to maturity, the securities will provide for modified exposure to the performance of the underlying, with (i) a return of the
principal amount plus a premium if the final underlying value is greater than or equal to the initial underlying value,
(ii) 1-to-1 participation in any appreciation of the underlying in excess of the premium applicable to the final valuation date
and (iii) contingent repayment of the stated principal amount at maturity if the underlying depreciates, but only so long as the
final underlying value is greater than or equal to the trigger value specified below. In exchange for those features, investors
in the securities must be willing to forgo any dividends with respect to the underlying. However,
if the securities are not automatically redeemed prior to maturity and the final underlying value is less than the trigger value,
you will lose 1% of the stated principal amount of your securities for every 1% by which the final underlying value is less than
the initial underlying value. You may lose a significant portion, and up to all, of your investment.
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▪
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In order to obtain the modified exposure to the underlying
that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii)
the risk of not receiving any amount 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.
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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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Underlying:
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EURO STOXX 50® Index
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Stated principal amount:
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$1,000 per security
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Pricing date:
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October 28, 2020
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Issue date:
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October 30, 2020
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Valuation dates:
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October 28, 2021, October 28, 2022, October 30, 2023, October 28, 2024 and October 28, 2025 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Maturity date:
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Unless earlier redeemed, October 31, 2025
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Automatic early redemption:
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If, on any valuation date prior to the final valuation date, the closing value of the underlying is greater than or equal to the initial underlying 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 any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable to any later valuation date.
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Payment at maturity:
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If the securities are not automatically redeemed prior to maturity,
you will receive at maturity, for each security you then hold, an amount in cash equal to:
· If
the final underlying value is greater than or equal to the initial underlying value:
$1,000 + the greater of (i) the
premium applicable to the final valuation date and (ii) $1,000 × the underlying return
· If
the final underlying value is less than the initial underlying value but greater than or equal to the trigger value:
$1,000
· If
the final underlying value is less than the trigger value:
$1,000 + ($1,000 × the underlying return)
If the securities are not automatically redeemed prior to maturity
and the final underlying value is less than the trigger value, you will receive significantly less than the stated principal amount
of your securities, and possibly nothing, at maturity.
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Initial underlying value:
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….., the closing value of the underlying on the pricing date
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Trigger value:
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….., 75% of the initial underlying value
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17328WWQ7 / US17328WWQ76
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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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$23.50
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$976.50
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Total:
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$
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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 $897.50 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 $23.50 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, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any
representation to the contrary is a criminal offense. You
should read this pricing supplement together with the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus,
which can be accessed via the hyperlinks below:
Product
Supplement No. EA-02-08 dated February 15, 2019 Underlying
Supplement No. 8 dated February 21, 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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Premium:
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The premium applicable to each valuation date is set forth below.
The premium may be significantly less than the appreciation of the underlying from the pricing date to the applicable valuation
date.
|
|
·
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October 28, 2021:
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8.45% of the stated principal amount
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|
·
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October 28, 2022:
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16.90% of the stated principal amount
|
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·
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October 30, 2023:
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25.35% of the stated principal amount
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·
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October 28, 2024:
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33.80% of the stated principal amount
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·
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October 28, 2025:
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30.00% of the stated principal amount
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Final underlying value:
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The closing value of the underlying on the final valuation date
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Underlying return:
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(i) The final underlying value minus the initial underlying value divided by (ii) the initial underlying value
|
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 the 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 the underlying. The accompanying underlying supplement contains information about the
underlying that is not repeated in this pricing supplement. It is important that you read the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus together with this pricing supplement in deciding whether to invest
in the securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Prospectus. The first sentence of “Description of
Debt Securities— Events of Default and Defaults” in the accompanying prospectus shall be amended to read in its entirety
as follows:
Events of default under the indenture are:
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•
|
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for 30 days;
|
|
|
|
|
|
•
|
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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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|
•
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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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•
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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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|
|
•
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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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|
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Citigroup Global Markets Holdings Inc.
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Payout Table and Diagram
The table below illustrates how the amount payable per security
will be calculated if the closing value of the underlying on any valuation date is greater than or equal to the initial underlying
value.
If the first valuation date on which the closing value of the underlying is greater than or equal to the initial underlying value is . . .
|
|
. . . then you will receive the following payment per $1,000 security upon automatic early redemption or at maturity, as applicable:
|
October 28, 2021
|
|
$1,000 + applicable premium = $1,000 + $84.50 = $1,084.50
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October 28, 2022
|
|
$1,000 + applicable premium = $1,000 + $169.00 = $1,169.00
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October 30, 2023
|
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$1,000 + applicable premium = $1,000 + $253.50 = $1,253.50
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October 28, 2024
|
|
$1,000 + applicable premium = $1,000 + $338.00 = $1,338.00
|
October 28, 2025
|
|
$1,000 + the greater of (i) the applicable premium and (ii) $1,000
× the underlying return
= $1,000 + the greater of (i) $300.00 and (ii) $1,000 ×
the underlying return
|
If, on any valuation date, the closing value of the underlying
is less than the initial underlying value, you will not receive the payment indicated above following that valuation date. In order
to receive the payment indicated above, the closing value of the underlying on the applicable valuation date must be greater than
or equal to the initial underlying 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.
Investors in the securities will not receive any dividends
with respect to the underlying. 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
underlying” below.
Payment at Maturity
|
|
n The Securities
|
n The Underlying
|
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 and assuming the various hypothetical
final underlying values indicated below. The examples are solely for illustrative purposes, do not show all possible outcomes and
are not a prediction of what the actual payment at maturity on the securities will be. The actual payment at maturity will depend
on the actual final underlying value.
The examples below are based on a hypothetical initial underlying
value of 100 and a hypothetical trigger value of 75 and do not reflect the actual initial underlying value or trigger value. For
the actual initial underlying value and trigger value, 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 payment at maturity on the securities will be calculated based on the actual initial underlying
value and trigger value, and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded.
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. Your actual
payment at maturity per security will depend on the actual initial underlying value and the actual final underlying value.
Example 1—Upside Scenario A. The final underlying
value is 105 (an approximately 5% increase from the initial underlying value), which is greater than the initial underlying
value.
Payment at maturity per security = $1,000 + the greater of (i)
the premium applicable to the final valuation date and (ii) $1,000 × the underlying return
= $1,000 + the greater of (i) $300.00 and (ii) $1,000 ×
5%
= $1,300.00
In this scenario, the underlying has appreciated from the initial
underlying value to the final underlying value and the premium applicable to the final valuation date is greater than the return
you would have received based on the performance of the underlying. As a result, your total return on the securities at maturity
per security would be equal to the $1,000 stated principal amount plus the premium applicable to the final valuation date.
Example 2—Upside Scenario B. The
final underlying value is 175 (an approximately 175% increase from the initial underlying value), which is greater than
the initial underlying value.
Payment at maturity per
security = $1,000 + the greater of (i) the premium applicable to the final valuation date and (ii) $1,000 × the underlying
return
= $1,000 + the greater
of (i) $300.00 and (ii) $1,000 × 75%
= $1,000 + $750
= $1,750
In this scenario, the underlying
has appreciated from the initial underlying value to the final underlying value and the 75% return based on the performance of
the underlying is greater than the premium applicable to the final valuation date. As a result, your total return on the securities
at maturity would reflect 1-to-1 exposure to the positive performance of the underlying.
Example 3—Par Scenario. The
final underlying value is 95 (a 5% decrease from the initial underlying value), which is less than the initial underlying
value but greater than the trigger value.
Payment at maturity per security = $1,000
In this scenario, the underlying
has depreciated from the initial underlying value to the final underlying value, but not below the trigger value. Because the final
underlying value is greater than the trigger value, you would be repaid the stated principal amount of $1,000 per security at maturity
but would not receive any positive return on your investment.
Example 4—Downside Scenario. The
final underlying value is 30 (a 70% decrease from the initial underlying value), which is less than the trigger value.
Because the final underlying
value is less than the trigger value, you would receive a payment at maturity per security that is less than the stated principal
amount, calculated as follows:
Payment at maturity per
security = $1,000 + ($1,000 × the underlying return)
= $1,000 + ($1,000 ×
-70%)
Citigroup Global Markets Holdings Inc.
|
|
= $1,000 + -$700
= $300
In this scenario, the underlying
has depreciated from the initial underlying value to the final underlying value and the final underlying value is less than the
trigger value. As a result, your total return at maturity in this scenario would be negative and would reflect 1-to-1 exposure
to the negative performance of the underlying.
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 the underlying. Accordingly, the securities are
suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult your
own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
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§
|
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. If the final underlying value is less than the trigger value, you will lose 1% of the stated principal amount of the securities
for every 1% by which the underlying has declined from the initial underlying value. There is no minimum payment at maturity on
the securities, and you may lose up to all of your investment.
|
|
§
|
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 may be automatically redeemed prior to maturity, limiting the term of the securities. If the closing
value of the underlying on any valuation date (other than the final valuation date) is greater than or equal to the initial underlying
value, the securities will be automatically redeemed. If the securities are automatically redeemed following any valuation date
(other than the final valuation date), they will cease to be outstanding and you will not receive the payment applicable to any
later valuation date. Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield
with a similar level of risk.
|
|
§
|
You will not receive dividends or have any other rights with respect to the underlying. You will not receive any dividends
with respect to the underlying. This lost dividend yield may be significant over the term of the securities. The payment scenarios
described in this pricing supplement do not show any effect of such lost dividend yield over the term of the securities. In addition,
you will not have voting rights or any other rights with respect to the underlying or the stocks included in the underlying.
|
|
§
|
The performance of the securities will depend on the closing values of the underlying solely on the valuation dates, which
makes the securities particularly sensitive to volatility in the closing values of the underlying on or near the valuation dates.
Whether the securities will be automatically redeemed prior to maturity will depend on the closing values of the underlying solely
on the valuation dates (other than the final valuation date), regardless of the closing value of the underlying 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 closing value of the 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 underlying on a limited number of dates,
the securities will be particularly sensitive to volatility in the closing values of the underlying. You should understand that
the closing value of the 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
|
Citigroup Global Markets Holdings Inc.
|
|
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 the closing value of the
underlying, the dividend yield on the underlying and interest rates. CGMI’s views on these inputs may differ from your or
others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and
the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we
or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest
in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity
irrespective of the initial estimated value.
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|
§
|
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.
|
§
|
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 value of the underlying, the volatility of the closing value of
the underlying, the dividend yield on the underlying, 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 value of the
underlying 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.
|
Citigroup Global Markets Holdings Inc.
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|
|
§
|
The EURO STOXX 50® Index is subject to risks associated with non-U.S.
markets. Investments linked to the value of non-U.S. stocks involve risks associated with the securities markets in those countries,
including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies
in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions
than about U.S. companies that are subject to the reporting requirements of the SEC. Further, non-U.S. companies are generally
subject to accounting, auditing and financial reporting standards and requirements and securities trading rules that are different
from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political, economic,
financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws. Moreover, the economies in such countries may differ favorably or unfavorably from the economy of the
United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
|
|
§
|
The performance of the EURO STOXX 50® Index will not be adjusted for
changes in the exchange rate between the euro and the U.S. dollar. The EURO STOXX 50® Index is composed of stocks
traded in euro, the value of which may be subject to a high degree of fluctuation relative to the U.S. dollar. However, the performance
of the EURO STOXX 50® Index and the value of your securities will not be adjusted for exchange rate fluctuations.
If the euro appreciates relative to the U.S. dollar over the term of the securities, the performance of the EURO STOXX 50®
Index as measured for purposes of the securities will be less than it would have been if it offered exposure to that appreciation
in addition to the change in the prices of the stocks included in the EURO STOXX 50® Index.
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|
§
|
Our offering of the securities is not a recommendation of the underlying. The fact that we are offering the securities
does not mean that we believe that investing in an instrument linked to the underlying 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
underlying or in instruments related to the underlying, and may publish research or express opinions, that in each case are inconsistent
with an investment linked to the underlying. These and other activities of our affiliates may affect the closing value of the underlying
in a way that negatively affects the value of and your return on the securities.
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|
§
|
The closing value of the 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 underlying or in financial instruments related to the underlying and may adjust such positions during the term of the securities.
Our affiliates also take positions in the underlying or in financial instruments related to the underlying 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 value of the underlying 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 underlying 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 the
underlying, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return
on the securities. In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse
to your interests as a holder of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating
to All Securities—The calculation agent, which is an affiliate of ours, will make important determinations with respect to
the securities” in the accompanying product supplement.
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§
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Changes that affect the underlying may affect the value of your securities. The sponsor of the underlying may at any
time make methodological changes or other changes in the manner in which it operates that could affect the value of the underlying.
We are not affiliated with the underlying sponsor and, accordingly, we have no control over any changes such sponsor may make.
Such changes could adversely affect the performance of the underlying 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. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect
the U.S. federal tax treatment of the securities, possibly retroactively.
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If you are a non-U.S. investor, you should review
the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
Citigroup Global Markets Holdings Inc.
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You should read carefully the
discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities”
in the accompanying product supplement and “United States Federal Tax Considerations” in this pricing supplement. You
should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as
tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Information
About the EURO STOXX 50® Index
The EURO STOXX 50®
Index is composed of 50 component stocks of market sector leaders from within the 19 EURO STOXX Supersector indices, which represent
the Eurozone portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600® Supersector
indices contain the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50®
Index is calculated and maintained by STOXX Limited.
Please refer to the section
“Equity Index Descriptions—The EURO STOXX 50® Index” in the accompanying underlying supplement
for additional information.
We have derived all information
regarding the EURO STOXX 50® Index from publicly available information and have not independently verified any information
regarding the EURO STOXX 50® Index. This pricing supplement relates only to the securities and not to the EURO STOXX
50® Index. We make no representation as to the performance of the EURO STOXX 50® Index over the term
of the securities.
The securities represent
obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the EURO STOXX 50®
Index is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical
Information
The closing value of the
EURO STOXX 50® Index on October 19, 2020 was 3,242.51.
The graph below shows the
closing value of the EURO STOXX 50® Index for each day such value was available from January 4, 2010 to October
19, 2020. 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.
EURO STOXX 50® Index – Historical Closing Values
January 4, 2010 to October 19, 2020
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Citigroup Global Markets Holdings Inc.
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United States Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
a security should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you
agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty
regarding this treatment, and the IRS or a court might not agree with it. Moreover, our counsel’s opinion is based on market
conditions as of the date of this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
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·
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year.
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We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences
of ownership and disposition of the securities, including the timing and character of income recognized. In addition, the U.S.
Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future
regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative
contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and
in “United States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder
(as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding
or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”)
or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate
the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury
regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023
that do not have a “delta” of one. Based on the terms of the securities and representations provided by us as of the
date of this preliminary pricing supplement, our counsel is of the opinion that the securities should not be treated as transactions
that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore,
should not be subject to withholding tax under Section 871(m). However, the final determination regarding the treatment of the
securities under Section 871(m) will be made as of the pricing date for the securities, and it is possible that the securities
will be subject to withholding tax under Section 871(m) based on the circumstances as of that date.
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $23.50
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 $23.50 for each security they sell. For the avoidance of doubt, any fees or selling concessions
described in this pricing supplement will not be rebated if the securities are automatically redeemed prior to maturity.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms
of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement,
it is uncertain what the estimated value of the securities will be on the pricing date because it is uncertain what the values
of the inputs to CGMI’s proprietary pricing models will be on the pricing date.
For a period of approximately four months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the four-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Certain
Selling Restrictions
Hong
Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Citigroup Global Markets Holdings Inc.
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Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority
of Singapore, and the securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore
(the “Securities and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly,
to any person in Singapore other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act,
(b) to a relevant person under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of
the Securities and Futures Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act,
or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures
Act. Where the securities are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person
which is:
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(a)
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a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
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Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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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