Citigroup Global Markets Holdings Inc.
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February 26, 2021
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2021-USNCH6520
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
Nos. 333-224495 and 333-224495-03
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Callable Contingent Coupon Equity Linked Securities
Linked to the Worst Performing of the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
Due March 3, 2026
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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. The securities offer
the potential for periodic contingent coupon payments at an annualized rate that, if all are paid, would produce a yield that
is generally higher than the yield on our conventional debt securities of the same maturity. In exchange for this higher potential
yield, you must be willing to accept the risks that (i) your actual yield may be lower than the yield on our conventional debt
securities of the same maturity because you may not receive one or more, or any, contingent coupon payments, and (ii) the value
of what you receive at maturity may be significantly less than the stated principal amount of your securities. Each of these risks
will depend solely on the performance of the worst performing of the underlyings specified below.
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▪
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We have the right to call the securities for mandatory
redemption on any potential redemption date specified below.
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▪
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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, you will not receive dividends with respect to any underlying
or participate in any appreciation of any underlying.
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▪
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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.
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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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Underlyings:
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Underlying
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Initial underlying value*
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Coupon barrier value**
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Final buffer value***
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iShares® MSCI Emerging Markets ETF
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$53.73
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$42.984
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$45.671
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Russell 2000® Index
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2,201.051
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1,760.841
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1,870.893
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*For each underlying, its closing value on the pricing
date
**For each underlying, 80.00% of its initial underlying
value
***For each underlying, 85.00% of its initial underlying
value
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Stated principal amount:
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$1,000 per security
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Pricing date:
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February 26, 2021
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Issue date:
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March 3, 2021
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Valuation dates:
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May 26, 2021, August 26, 2021, November 26, 2021, February 28, 2022, May 26, 2022, August 26, 2022, November 28, 2022, February 27, 2023, May 26, 2023, August 28, 2023, November 27, 2023, February 26, 2024, May 28, 2024, August 26, 2024, November 26, 2024, February 26, 2025, May 27, 2025, August 26, 2025, November 26, 2025 and February 26, 2026 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Maturity date:
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Unless earlier redeemed, March 3, 2026
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Contingent coupon payment dates:
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The third business day after each valuation date, except that the contingent coupon payment date following the final valuation date will be the maturity date
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Contingent coupon:
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On each contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 2.25% of the stated principal amount of the securities (equivalent to a contingent coupon rate of 9.00% per annum) if and only if the closing value of the worst performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying on any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately following contingent coupon payment date.
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Payment at maturity:
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If the securities are not redeemed prior to maturity, you will
receive at maturity for each security you then hold (in addition to the final contingent coupon payment, if applicable):
§
If
the final underlying value of the worst performing underlying on the final valuation date is greater than or equal to its
final buffer value: $1,000
§
If
the final underlying value of the worst performing underlying on the final valuation date is less than its final buffer
value:
$1,000
+ [$1,000 × (the underlying return of the worst performing underlying on the final valuation date + the buffer percentage)]
If the securities are not redeemed prior to maturity and the
final underlying value of the worst performing underlying on the final valuation date is less than its final buffer value, which
means that the worst performing underlying on the final valuation date has depreciated from its initial underlying value by more
than the buffer percentage, you will lose 1% of the stated principal amount of your securities at maturity for every 1% by which
that depreciation exceeds the buffer percentage.
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Buffer percentage:
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15.00%
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Listing:
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The securities will not be listed on any securities exchange
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee(2)
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Proceeds to issuer(3)
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Per security:
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$1,000.00
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$11.25
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$988.75
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Total:
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$77,000.00
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$385.00
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$76,615.00
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(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value
of the securities is $962.00 per security, which is less than the issue price. The estimated value of the securities is based on
CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other
of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities
from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) CGMI will receive an underwriting fee of up to $11.25 for
each security sold in this offering. The total underwriting fee and proceeds to issuer in the table above give effect to the actual
total underwriting fee. For more information on the distribution of the securities, see “Supplemental Plan of Distribution”
in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity related
to this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying
prospectus.
(3) The per security proceeds to issuer indicated above represent
the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting fee. As noted above,
the underwriting fee is variable.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and
the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, which can be accessed
via the hyperlinks below:
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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Redemption:
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We may call the securities, in whole and not in part, for mandatory redemption on any potential redemption date upon not less than three business days’ notice. Following an exercise of our call right, you will receive for each security you then hold an amount in cash equal to $1,000.00 plus the related contingent coupon payment, if any.
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Potential redemption dates:
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The contingent coupon payment dates related to the valuation dates scheduled to occur on February 28, 2022, May 26, 2022, August 26, 2022, November 28, 2022, February 27, 2023, May 26, 2023, August 28, 2023, November 27, 2023, February 26, 2024, May 28, 2024, August 26, 2024, November 26, 2024, February 26, 2025, May 27, 2025, August 26, 2025 and November 26, 2025
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Final underlying value:
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For each underlying, its closing value on the final valuation date
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Worst performing underlying:
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For any valuation date, the underlying with the lowest underlying return determined as of that valuation date
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Underlying return:
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For each underlying on any valuation date, (i) its closing value on that valuation date minus its initial underlying value, divided by (ii) its initial underlying value
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CUSIP / ISIN:
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17328YN42 / US17328YN421
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Citigroup Global Markets Holdings Inc.
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Additional Information
General. The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, the accompanying product supplement contains important information about how the closing value of each underlying
will be determined and about adjustments that may be made to the terms of the securities upon the occurrence of market disruption
events and other specified events with respect to each underlying. 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 an underlying
on any date is (i) in the case of an underlying that is an underlying index, its closing level on such date and (ii) in the case
of an underlying that is an underlying ETF, the closing price of its underlying shares on such date, as provided in the accompanying
product supplement. The “underlying shares” of an underlying ETF are its 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:
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·
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for
30 days;
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·
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failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a
sinking fund, on any debt security of such series for 30 days;
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·
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failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking fund
for 30 days on debt securities of such series;
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·
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failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture applicable
to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other than such series;
and
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·
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certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).
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Citigroup Global Markets Holdings Inc.
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Hypothetical Examples
The examples in the first section below illustrate how to determine
whether a contingent coupon will be paid following a valuation date. The examples in the second section below illustrate how to
determine the payment at maturity on the securities, assuming the securities are not redeemed prior to maturity. The examples are
solely for illustrative purposes, do not show all possible outcomes and are not a prediction of any payment that may be made on
the securities.
The examples below are based on the following hypothetical values
and do not reflect the actual initial underlying values, coupon barrier values or final buffer values of the underlyings. For the
actual initial underlying value, coupon barrier value and final buffer value of each underlying, see the cover page of this pricing
supplement. We have used these hypothetical values, rather than the actual values, to simplify the calculations and aid understanding
of how the securities work. However, you should understand that the actual payments on the securities will be calculated based
on the actual initial underlying value, coupon barrier value and final buffer value of each underlying, and not the hypothetical
values indicated below. For ease of analysis, figures below have been rounded.
Underlying
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Hypothetical initial underlying value
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Hypothetical coupon barrier value
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Hypothetical final buffer value
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iShares® MSCI Emerging Markets ETF
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$100.00
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$80.00 (80.00% of its hypothetical initial underlying value)
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$85.00 (85.00% of its hypothetical initial underlying value)
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Russell 2000® Index
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100.00
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80.00 (80.00% of its hypothetical initial underlying value)
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85.00 (85.00% of its hypothetical initial underlying value)
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Hypothetical Examples of Contingent Coupon
Payments Following a Valuation Date
The three hypothetical examples below illustrate how to determine
whether a contingent coupon will be paid following a hypothetical valuation date, assuming that the closing values of the underlyings
on the hypothetical valuation date are as indicated below.
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Hypothetical closing value of the iShares® MSCI Emerging Markets ETF on hypothetical valuation date
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Hypothetical closing value of the Russell 2000® Index on hypothetical valuation date
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Hypothetical payment per $1,000.00 security on related contingent coupon payment date
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Example 1
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$120
(underlying return =
($120 - $100) / $100 = 20%)
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85
(underlying return =
(85 - 100) / 100 = -15%)
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$22.50
(contingent coupon is paid)
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Example 2
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$45
(underlying return =
($45 - $100) / $100 = -55%)
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120
(underlying return =
(120 - 100) / 100 = 20%)
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$0.00
(no contingent coupon)
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Example 3
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$10
(underlying return =
($10 - $100) / $100 = -90%)
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40
(underlying return =
(40 - 100) / 100 = -60%)
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$0.00
(no contingent coupon)
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Example 1: On the
hypothetical valuation date, the Russell 2000® Index has the lowest underlying return and, therefore, is the worst
performing underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying
on the hypothetical valuation date is greater than its coupon barrier value. As a result, investors in the securities would receive
the contingent coupon payment on the related contingent coupon payment date.
Example 2: On the
hypothetical valuation date, the iShares® MSCI Emerging Markets ETF has the lowest underlying return and, therefore,
is the worst performing underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing
underlying on the hypothetical valuation date is less than its coupon barrier value. As a result, investors would not receive any
payment on the related contingent coupon payment date.
Investors in the securities will not receive a contingent
coupon on the contingent coupon payment date following a valuation date if the closing value of the worst performing underlying
on that valuation date is less than its coupon barrier value. Whether a contingent coupon is paid following a valuation date depends
solely on the closing value of the worst performing underlying on that valuation date.
Example 3: On the
hypothetical valuation date, the iShares® MSCI Emerging Markets ETF has the lowest underlying return and, therefore,
is the worst performing underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing
underlying on the hypothetical valuation date is less than its coupon barrier value. As a result, investors would not receive any
payment on the related contingent coupon payment date.
Hypothetical Examples of the Payment at
Maturity on the Securities
The next three hypothetical examples illustrate the calculation
of the payment at maturity on the securities, assuming that the securities have not been earlier redeemed and that the final underlying
values of the underlyings are as indicated below.
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Hypothetical final underlying value of the iShares® MSCI Emerging Markets ETF
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Hypothetical final underlying value of the Russell 2000® Index
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Hypothetical payment at maturity per $1,000.00 security
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Example 4
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$110
(underlying return =
($110 - $100) / $100 = 10%)
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120
(underlying return =
(120 - 100) / 100 = 20%)
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$1,022.50
(contingent coupon is paid)
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Example 5
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$110
(underlying return =
($110 - $100) / $100 = 10%)
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50
(underlying return =
(50 - 100) / 100 = -50%)
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$650.00
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Example 6
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$20
(underlying return =
($20 - $100) / $100 = -80%)
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35
(underlying return =
(35 - 100) / 100 = -65%)
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$350.00
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Citigroup Global Markets Holdings Inc.
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Example 4: On the
final valuation date, the iShares® MSCI Emerging Markets ETF has the lowest underlying return and, therefore, is
the worst performing underlying on the final valuation date. In this scenario, the final underlying value of the worst performing
underlying on the final valuation date is greater than its final buffer value. Accordingly, at maturity, you would receive the
stated principal amount of the securities plus the contingent coupon payment due at maturity, but you would not participate
in the appreciation of any of the underlyings.
Example 5: On the
final valuation date, the Russell 2000® Index has the lowest underlying return and, therefore, is the worst performing
underlying on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on the
final valuation date is less than its final buffer value. Accordingly, at maturity, you would receive a payment per security calculated
as follows:
Payment at maturity = $1,000.00 + [$1,000.00 × (the underlying
return of the worst performing underlying on the final valuation date + the buffer percentage)]
= $1,000.00 + [$1,000.00 × (-50.00% + 15.00%)]
= $1,000.00 + ($1,000.00 × -35.00%)
= $1,000.00 + -$350.00
= $650.00
In this scenario, because the final underlying value of the worst
performing underlying on the final valuation date is less than its final buffer value, you would lose a portion of your investment
in the securities. Your payment at maturity would reflect a loss of 1% of the stated principal amount of your securities for every
1% by which the depreciation of the worst performing underlying on the final valuation date has exceeded the buffer percentage.
In addition, because the final underlying value of the worst performing underlying on the final valuation date is below its coupon
barrier value, you would not receive any contingent coupon payment at maturity.
Example 6: On the
final valuation date, the iShares® MSCI Emerging Markets ETF has the lowest underlying return and, therefore, is
the worst performing underlying on the final valuation date. In this scenario, the final underlying value of the worst performing
underlying on the final valuation date is less than its final buffer value. Accordingly, at maturity, you would receive a payment
per security calculated as follows:
Payment at maturity = $1,000.00 + [$1,000.00 × (the underlying
return of the worst performing underlying on the final valuation date + the buffer percentage)]
= $1,000.00 + [$1,000.00 × (-80.00% + 15.00%)]
= $1,000.00 + ($1,000.00 × -65.00%)
= $1,000.00 + -$650.00
= $350.00
In this scenario, because the final underlying value of the worst
performing underlying on the final valuation date is less than its final buffer value, you would lose a significant portion of
your investment in the securities. Your payment at maturity would reflect a loss of 1% of the stated principal amount of your securities
for every 1% by which the depreciation of the worst performing underlying on the final valuation date has exceeded the buffer percentage.
In addition, because the final underlying value of the worst performing underlying on the final valuation date is below its coupon
barrier value, you would not receive any contingent coupon payment at maturity.
It is possible that the closing value of the worst performing
underlying will be less than its coupon barrier value on each valuation date and less than its final buffer value on the final
valuation date, such that you will not receive any contingent coupon payments over the term of the securities and will receive
significantly less than the stated principal amount of your securities at maturity.
Citigroup Global Markets Holdings Inc.
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Summary Risk Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with each underlying. Accordingly, the securities are
suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult your
own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
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§
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You may lose a significant portion of your investment. Unlike conventional debt securities, the securities do not provide
for the repayment of the stated principal amount at maturity in all circumstances. If the securities are not redeemed prior to
maturity, your payment at maturity will depend on the final underlying value of the worst performing underlying on the final valuation
date. If the final underlying value of the worst performing underlying on the final valuation date is less than its final buffer
value, which means that the worst performing underlying on the final valuation date has depreciated from its initial underlying
value by more than the buffer percentage, you will lose 1% of the stated principal amount of your securities for every 1% by which
that depreciation exceeds the buffer percentage.
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§
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You will not receive any contingent coupon on the contingent coupon payment date following any valuation date on which the
closing value of the worst performing underlying on that valuation date is less than its coupon barrier value. A contingent
coupon payment will be made on a contingent coupon payment date if and only if the closing value of the worst performing underlying
on the immediately preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst
performing underlying on any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment
on the immediately following contingent coupon payment date. If the closing value of the worst performing underlying on each valuation
date is below its coupon barrier value, you will not receive any contingent coupon payments over the term of the securities.
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§
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Higher contingent coupon rates are associated with greater risk. The securities offer contingent coupon payments at
an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing
date for the securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that the value of what you receive at maturity may be significantly less than the stated principal
amount of your securities. The volatility of, and correlation between, the closing values of the underlyings are important factors
affecting these risks. Greater expected volatility of, and lower expected correlation between, the closing values of the underlyings
as of the pricing date may result in a higher contingent coupon rate, but would also represent a greater expected likelihood as
of the pricing date that the closing value of the worst performing underlying on one or more valuation dates will be less than
its coupon barrier value, such that you will not receive one or more, or any, contingent coupon payments during the term of the
securities and that the final underlying value of the worst performing underlying on the final valuation date will be less than
its final buffer value, such that you will not be repaid the stated principal amount of your securities at maturity.
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§
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The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky
than similar investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that
any one underlying will perform poorly, adversely affecting your return on the securities.
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§
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The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying
performs poorly. You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you
will be negatively affected. The securities are not linked to a basket composed of the underlyings, where the blended performance
of the underlyings would be better than the performance of the worst performing underlying alone. Instead, you are subject to the
full risks of whichever of the underlyings is the worst performing underlying.
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§
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You will not benefit in any way from the performance of any better performing underlying. The return on the securities
depends solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance
of any better performing underlying.
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§
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You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective
for the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar
times and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this
relationship. The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over
the term of the securities. All that is necessary for the securities to perform poorly is for one of the underlyings to perform
poorly. It is impossible to predict what the relationship between the underlyings will be over the term of the securities. The
underlyings differ in significant ways and, therefore, may not be correlated with each other.
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§
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You may not be adequately compensated for assuming the downside risk of the worst performing underlying. The potential
contingent coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst performing
underlying, as well as all the other risks of the securities. That compensation is effectively “at risk” and may, therefore,
be less than you currently anticipate. First, the actual yield you realize on the securities could be lower than you anticipate
because the coupon is
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Citigroup Global Markets Holdings Inc.
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“contingent” and you
may not receive a contingent coupon payment on one or more, or any, of the contingent coupon payment dates. Second, the contingent
coupon payments are the compensation you receive not only for the downside risk of the worst performing underlying, but also for
all of the other risks of the securities, including the risk that the securities may be redeemed prior to maturity, interest rate
risk and our and Citigroup Inc.’s credit risk. If those other risks increase or are otherwise greater than you currently
anticipate, the contingent coupon payments may turn out to be inadequate to compensate you for all the risks of the securities,
including the downside risk of the worst performing underlying.
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§
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We may redeem the securities at our option, which will limit your ability to receive the contingent coupon payments.
We may redeem the securities on any potential redemption date. In the event that we redeem the securities, you will receive the
stated principal amount of your securities and the related contingent coupon payment, if any. Thus, the term of the securities
may be limited. If we redeem the securities prior to maturity, you will not receive any additional contingent coupon payments.
Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield with a similar level of
risk. If we redeem the securities prior to maturity, it is likely to be at a time when the underlyings are performing in a manner
that would otherwise have been favorable to you. By contrast, if the underlyings are performing unfavorably from your perspective,
we are less likely to redeem the securities. If we redeem the securities, we will do so at a time that is advantageous to us and
without regard to your interests.
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§
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The securities offer downside exposure to the worst performing underlying, but no upside exposure to any underlying.
You will not participate in any appreciation in the value of any underlying over the term of the securities. Consequently, your
return on the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly less than
the return on any underlying over the term of the securities. In addition, as an investor in the securities, you will not receive
any dividends or other distributions or have any other rights with respect to any of the underlyings.
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§
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The performance of the securities will depend on the closing values of the underlyings solely on the valuation dates, which
makes the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates.
Whether the contingent coupon will be paid on any given contingent coupon payment date will depend on the closing values of the
underlyings solely on the applicable valuation dates, regardless of the closing values of the underlyings on other days during
the term of the securities. If the securities are not redeemed prior to maturity, what you receive at maturity will depend solely
on the closing value of the worst performing underlying on the final valuation date, and not on any other day during the term of
the securities. Because the performance of the securities depends on the closing values of the underlyings on a limited number
of dates, the securities will be particularly sensitive to volatility in the closing values of the underlyings on or near the valuation
dates. You should understand that the closing value of each underlying has historically been highly volatile.
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§
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The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
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§
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The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) any selling concessions or other fees
paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection
with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other
of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the economic terms
of the securities because, if they were lower, the economic terms of the securities would be more favorable to you. The economic
terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary
market rate, to price the securities. See “The estimated value of the securities would be lower if it were calculated based
on our secondary market rate” below.
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of, and correlation between,
the closing values of the underlyings, dividend yields on the underlyings and interest rates. CGMI’s views on these inputs
may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours.
Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the
securities. Moreover, the estimated value of the securities set 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
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Citigroup Global Markets Holdings Inc.
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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, and correlation
between, the closing values of the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining
to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors
described under “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The value of
your securities prior to maturity will fluctuate based on many unpredictable factors” in the accompanying product supplement.
Changes in the closing values of the underlyings may not result in a comparable change in the value of your securities. You should
understand that the value of your securities at any time prior to maturity may be significantly less than the issue price.
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
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The iShares® MSCI Emerging Markets ETF is subject to risks associated with emerging markets. The stocks
included in the iShares® MSCI Emerging Markets ETF have been issued by companies in various foreign emerging markets.
Foreign equity securities involve risks associated with the securities markets in foreign countries, including risks of volatility
in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. There is
also generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting
requirements of the Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial
reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities in foreign
markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes
in government, economic and fiscal policies and currency exchange laws. Stocks issued by companies in emerging markets may be subject
to heightened risks, including risks of relatively unstable governments, nationalization of businesses, restrictions on foreign
ownership, prohibitions on the repatriation of assets and less protection of property rights. The economies of countries with emerging
markets may be based on only a few industries, be highly vulnerable to changes in local or global trade conditions and suffer from
extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and be unable
to respond effectively to increases in trading volume, potentially increasing price volatility. Moreover, the economies in such
countries may differ unfavorably from the economy in the United States in such respects as growth of gross national product, rate
of inflation, capital reinvestment, resources and self-sufficiency.
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Fluctuations in exchange rates will affect the closing value of the iShares® MSCI Emerging Markets ETF.
Because the iShares® MSCI Emerging Markets ETF includes stocks that trade outside the United States and the closing
value of the iShares® MSCI Emerging Markets ETF is based on the U.S. dollar value of those stocks, the iShares®
MSCI Emerging Markets ETF is subject to currency exchange rate risk with respect to each of the currencies in which such stocks
trade. Exchange rate movements may be volatile and may be driven by numerous factors specific to the relevant countries, including
the supply of, and the demand for, the applicable currencies, as well as government policy and intervention and macroeconomic factors.
Exchange rate movements may also be influenced significantly by speculative trading. In general, if the U.S. dollar strengthens
against the currencies in which the stocks included in the iShares® MSCI Emerging Markets ETF trade, the closing
value of the iShares® MSCI Emerging Markets ETF will be adversely affected for that reason alone.
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The Russell 2000® Index is subject to risks associated with small capitalization stocks. The stocks that
constitute the Russell 2000® Index are issued by companies with relatively small market capitalization. The stock
prices of smaller companies may be more volatile than stock prices of large capitalization companies. These companies tend to be
less well-established than large market capitalization companies. Small capitalization companies may be less able to withstand
adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less
likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price
pressure under adverse market conditions.
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Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities
does not mean that we believe that investing in an instrument linked to the underlyings is likely to achieve favorable returns.
In fact, as we are part of a
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Citigroup Global Markets Holdings Inc.
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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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In the case of an underlying that is an underlying ETF, even if the 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 the 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 the 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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In the case of an underlying that is an underlying ETF, the securities will not be adjusted for all events that may have
a dilutive effect on or otherwise adversely affect the closing value of the 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 the underlying would not.
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In the case of an underlying that is an underlying ETF, the securities may become linked to an underlying other than the
original underlying upon the occurrence of a reorganization event or upon the delisting of the underlying shares of that original
underlying. For example, if the 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 the 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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In the case of the underlying that is an underlying ETF, the value and performance of the underlying shares of the 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. In the case of the underlying that is an underlying ETF, the 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 the 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 the underlying and its
underlying index. In addition, corporate actions with respect to the equity securities held by the underlying (such as mergers
and spin-offs) may impact the variance between the performance of the 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 the underlying
may differ from the net asset value per share of the underlying.
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During periods of market volatility, securities included
in the 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 the underlying and the liquidity of the underlying may be adversely affected. This
kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the 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 the underlying may vary substantially from the net asset value per
share of the underlying. For all of the foregoing reasons, the performance of the
Citigroup Global Markets Holdings Inc.
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underlying may not correlate with the performance
of its underlying index and/or its net asset value per share, which could materially and adversely affect the value of the securities
and/or reduce your return on the securities.
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Changes that affect the underlyings may affect the value of your securities. The sponsors of the underlyings may at
any time make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings.
We are not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may
make. Such changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
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The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership
and disposition of the securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations
or IRS guidance could adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.
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Non-U.S. investors should note that persons having
withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Information About the iShares®
MSCI Emerging Markets ETF
The iShares® MSCI Emerging Markets ETF is an exchange-traded
fund that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities in emerging markets, as measured by the MSCI Emerging Markets Index. The MSCI Emerging Markets Index
was developed by MSCI Inc. as an equity benchmark for international stock performance, and is designed to measure equity market
performance in the global emerging markets.
The iShares® MSCI Emerging Markets ETF is an investment
portfolio managed by iShares® Inc. BlackRock Fund Advisors is the investment adviser to the iShares®
MSCI Emerging Markets ETF. iShares®, Inc. is a registered investment company that consists of numerous separate
investment portfolios, including the iShares® MSCI Emerging Markets ETF.
Information provided to or filed with the SEC by iShares®,
Inc. 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 033-97598 and 811-09102, respectively, through the SEC’s website at http://www.sec.gov. In
addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and
other publicly disseminated documents. The underlying shares of the iShares® MSCI Emerging Markets ETF trade on
the NYSE Arca under the ticker symbol “EEM.”
Please refer to the section “Fund Descriptions— The
iShares® ETFs” in the accompanying underlying supplement for additional information.
We have derived all information regarding the iShares®
MSCI Emerging Markets ETF from publicly available information and have not independently verified any information regarding the
iShares® MSCI Emerging Markets ETF. This pricing supplement relates only to the securities and not to the iShares®
MSCI Emerging Markets ETF. We make no representation as to the performance of the iShares® MSCI Emerging Markets
ETF over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the iShares® MSCI Emerging Markets ETF is not
involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the iShares® MSCI Emerging
Markets ETF on February 26, 2021 was $53.73.
The graph below shows the closing value of the iShares®
MSCI Emerging Markets ETF 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 historical closing values as an indication of
future performance.
iShares® MSCI Emerging Markets ETF – Historical Closing Values
January 3, 2011 to February 26, 2021
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Information About the Russell 2000®
Index
The Russell 2000® Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000®
Index are traded on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section “Equity Index Descriptions—
The Russell Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000®
Index from publicly available information and have not independently verified any information regarding the Russell 2000®
Index. This pricing supplement relates only to the securities and not to the Russell 2000® Index. We make no representation
as to the performance of the Russell 2000® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000® Index is not involved in any
way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Russell 2000® Index on
February 26, 2021 was 2,201.051.
The graph below shows the closing value of the Russell 2000®
Index 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 historical closing values as an indication of future performance.
Russell 2000® Index – 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.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any
information reporting requirements we may have in respect of the securities under applicable law, we intend (in the absence of
an administrative determination or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes
as prepaid forward contracts with associated coupon payments that will be treated as gross income to you at the time received or
accrued in accordance with your regular method of tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, this treatment of the securities is reasonable under current law; however, our counsel
has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative
treatments are possible.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance
with your regular method of accounting for U.S. federal income tax purposes.
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. For this purpose, the amount realized does not include
any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon
payment. Such gain or loss should be long-term capital gain or loss if you held the security for more than one year.
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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.
Withholding Tax on Non-U.S. Holders. Because significant
aspects of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities
may withhold on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a
rate of 30%. To the extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities,
we intend to so withhold. In order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with
certification requirements to establish that you are not a U.S. person and are eligible for such an exemption or reduction under
an applicable tax treaty. You should consult your tax adviser regarding the tax treatment of the securities, including the possibility
of obtaining a refund of any amounts withheld and the certification requirement described above.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”)
or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate
the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury
regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023
that do not have a “delta” of one. Based on the terms of the securities and representations provided by us, 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).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect
to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
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 up to $11.25
for each security sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected
dealers, as described in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a
variable selling concession of up to $11.25 for each security they sell. For the avoidance of doubt, any fees or selling concessions
described in this pricing supplement will not be rebated if we redeem the securities prior to maturity.
Citigroup Global Markets Holdings Inc.
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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.
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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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
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
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Citigroup Global Markets Holdings Inc.
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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.
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against
payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to
applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets of Citigroup Inc. In addition, this
opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated May 17, 2018, which has been
filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on May 17, 2018, that the indenture has been duly authorized,
executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms of the
securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup Global Markets
Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result in a violation
of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc., as
applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets Holdings
Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, Secretary and General Counsel
of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc.
has duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup
Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance
by Citigroup Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene
its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing
supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of
all documents submitted to him or such persons as originals, the conformity to original documents of all documents submitted to
him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly existing
and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed and delivered
by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of its obligations
thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other
Citigroup Global Markets Holdings Inc.
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constitutive
documents. This opinion is given as of the date of this pricing supplement and is limited to the General Corporation Law of the
State of Delaware.
Barbara Politi, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals,
the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 2021 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
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