Autocallable Contingent Coupon Equity Linked
Securities Linked to the Worst Performing of the Energy Select Sector SPDR® Fund and the VanEck Vectors®
Oil Services ETF Due May 24, 2023
KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlyings:
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Underlying
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Initial underlying value*
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Coupon barrier value**
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Final barrier value***
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Energy Select Sector SPDR® Fund
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$
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$
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$
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VanEck Vectors® Oil Services ETF
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$
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$
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$
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*For
each underlying, its closing value on the pricing date
**For each underlying, 85.00%
of its initial underlying value
***For each underlying, 60.00% 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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May 19, 2021
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Issue date:
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May 24, 2021
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Valuation dates:
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June 21, 2021, July 19, 2021, August 19, 2021, September 20, 2021, October 19, 2021, November 19, 2021, December 20, 2021, January 19, 2022, February 22, 2022, March 21, 2022, April 19, 2022, May 19, 2022, June 20, 2022, July 19, 2022, August 19, 2022, September 19, 2022, October 19, 2022, November 21, 2022, December 19, 2022, January 19, 2023, February 21, 2023, March 20, 2023, April 19, 2023 and May 19, 2023 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Maturity date:
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Unless earlier redeemed, May 24, 2023
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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 1.00% of the stated principal amount of the securities (equivalent to a contingent coupon rate of 12.00% 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 automatically redeemed prior to maturity,
you will receive at maturity for each security you then hold (in addition to the final contingent coupon payment, if applicable):
§ If
the final underlying value of the worst performing underlying on the final valuation date is greater than or equal to its final
barrier value: $1,000
§ If
the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value:
$1,000 + ($1,000 × the underlying return of the
worst performing underlying on the final valuation date)
If the securities are not automatically redeemed prior to maturity
and the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value, you
will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity, and you will
not receive any contingent coupon payment at maturity.
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Listing:
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The securities will not be listed on any securities exchange
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee(2)
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Proceeds to issuer(3)
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Per security:
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$1,000.00
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$25.00
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$975.00
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Total:
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$
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$
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$
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(Key Terms continued on next page)
(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the securities on the pricing date will be at least $850.00 per security, which will
be less than the issue price. The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal
funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any,
at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation of the
Securities” in this pricing supplement.
(2) CGMI will receive an underwriting
fee of up to $25.00 for each security sold in this offering. The total underwriting fee and proceeds to issuer in the table above give
effect to the actual total underwriting fee. For more information on the distribution of the securities, see “Supplemental Plan
of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit from expected
hedging activity related to this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging”
in the accompanying prospectus.
(3) The per security proceeds to issuer
indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting
fee. As noted above, the underwriting fee is variable.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-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:
Product Supplement No. EA-04-09 dated May 11, 2021 Underlying Supplement No. 10 dated May 11, 2021
Prospectus Supplement and Prospectus each dated May 11, 2021
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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Automatic early redemption:
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If, on any potential autocall date, the closing value of the worst performing underlying on that potential autocall date is greater than or equal to its initial underlying value, each security you then hold will be automatically called on that potential autocall date for redemption on the immediately following contingent coupon payment date for an amount in cash equal to $1,000.00 plus the related contingent coupon payment. The automatic early redemption feature may significantly limit your potential return on the securities. If the worst performing underlying performs in a way that would otherwise be favorable, the securities are likely to be automatically called for redemption prior to maturity, cutting short your opportunity to receive contingent coupon payments. The securities may be automatically called for redemption as early as the first potential autocall date specified below.
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Potential autocall dates:
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The valuation dates scheduled to occur on November 19, 2021, February 22, 2022, May 19, 2022, August 19, 2022, November 21, 2022 and February 21, 2023
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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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17329FFJ8 / US17329FFJ84
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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 each underlying
on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement. The “underlying
shares” of the underlyings are their respective shares that are traded on a U.S. national securities exchange. Please see the accompanying
product supplement for more information.
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 and whether the securities will be automatically called for redemption following a valuation
date that is also a potential autocall date. The examples in the second section below illustrate how to determine the payment at maturity
on the securities, assuming the securities are not automatically redeemed prior to maturity. The examples are solely for illustrative
purposes, do not show all possible outcomes and are not a prediction of any payment that may be made on the securities.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values, coupon barrier values or final barrier values of the underlyings. For the actual
initial underlying value, coupon barrier value and final barrier 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 barrier 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 barrier value
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Energy Select Sector SPDR® Fund
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$100.00
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$85.00 (85.00% of its hypothetical initial underlying value)
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$60.00 (60.00% of its hypothetical initial underlying value)
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VanEck Vectors® Oil Services ETF
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$100.00
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$85.00 (85.00% of its hypothetical initial underlying value)
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$60.00 (60.00% of its hypothetical initial underlying value)
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Hypothetical Examples of Contingent Coupon Payments
and any Payment upon Automatic Early Redemption Following a Valuation Date that is also a Potential Autocall Date
The three hypothetical examples below illustrate how to determine whether
a contingent coupon will be paid and whether the securities will be automatically redeemed following a hypothetical valuation date that
is also a potential autocall 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 Energy Select Sector SPDR® Fund on hypothetical valuation date
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Hypothetical closing value of the VanEck Vectors® Oil Services ETF on hypothetical valuation date
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Hypothetical payment per $1,000.00 security on related contingent coupon payment date
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Example 1
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$120
(underlying return =
($120 - $100) / $100 = 20%)
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$95
(underlying return =
($95 - $100) / $100 = -5%)
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$10.00
(contingent coupon is paid; securities not redeemed)
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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; securities not redeemed)
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Example 3
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$110
(underlying return =
($110 - $100) / $100 = 10%)
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$115
(underlying return =
($115 - $100) / $100 = 15%)
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$1,010.00
(contingent coupon is paid; securities redeemed)
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Example 1: On the hypothetical
valuation date, the VanEck Vectors® Oil Services ETF has the lowest underlying return and, therefore, is the worst performing
underlying on the hypothetical valuation date. In this scenario, the closing value of the worst performing underlying on the hypothetical
valuation date is greater than its coupon barrier value but less than its initial underlying value. As a result, investors in the securities
would receive the contingent coupon payment on the related contingent coupon payment date and the securities would not be automatically
redeemed.
Example 2: On the hypothetical
valuation date, the Energy Select Sector SPDR® Fund 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 and the securities would not be automatically redeemed.
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 Energy Select Sector SPDR® Fund 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 both its coupon barrier value and its initial underlying value. As a result, the securities would be automatically
redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000.00 plus the related contingent coupon
payment.
If the hypothetical valuation date were not also a potential autocall
date, the securities would not be automatically redeemed on the related contingent coupon payment date.
Hypothetical Examples of the Payment at Maturity
on the Securities
The next four hypothetical examples illustrate the calculation of the
payment at maturity on the securities, assuming that the securities have not been earlier automatically redeemed and that the final underlying
values of the underlyings are as indicated below.
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Hypothetical final underlying value of the Energy Select Sector SPDR® Fund
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Hypothetical final underlying value of the VanEck Vectors® Oil Services ETF
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Hypothetical payment at maturity per $1,000.00 security
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Example 4
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$110
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$120
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$1,010.00
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Citigroup Global Markets Holdings Inc.
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(underlying return =
($110 - $100) / $100 = 10%)
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(underlying return =
($120 - $100) / $100 = 20%)
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(contingent coupon is paid)
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Example 5
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$130
(underlying return =
($130 - $100) / $100 = 30%)
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$65
(underlying return =
($65 - $100) / $100 = -35%)
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$1,000.00
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Example 6
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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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$500.00
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Example 7
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$20
(underlying return =
($20 - $100) / $100 = -80%)
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$80
(underlying return =
($80 - $100) / $100 = -20%)
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$200.00
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Example 4: On the final valuation
date, the Energy Select Sector SPDR® Fund has the lowest underlying return and, therefore, is the worst performing underlying
on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on the final valuation date
is greater than its final barrier value and its coupon barrier value. Accordingly, at maturity, you would receive the stated principal
amount of the securities plus the contingent coupon payment due at maturity, but you would not participate in the appreciation
of any of the underlyings.
Example 5: On the final valuation
date, the VanEck Vectors® Oil Services 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 coupon barrier value but greater than its final barrier value. Accordingly, at maturity, you would receive the stated
principal amount of the securities, but would not receive any contingent coupon payment at maturity.
Example 6: On the final valuation
date, the VanEck Vectors® Oil Services ETF has the lowest underlying return and, therefore, is the worst performing underlying
on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on the final valuation date
is less than its final barrier value. Accordingly, at maturity, you would receive 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)
= $1,000.00 + ($1,000.00 × -50.00%)
= $1,000.00 + -$500.00
= $500.00
In this scenario, because the final underlying value of the worst performing
underlying on the final valuation date is less than its final barrier value, you would lose a significant portion of your investment in
the securities. 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 7: On the final valuation
date, the Energy Select Sector SPDR® Fund has the lowest underlying return and, therefore, is the worst performing underlying
on the final valuation date. In this scenario, the final underlying value of the worst performing underlying on the final valuation date
is less than its final barrier value. Accordingly, at maturity, you would receive 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)
= $1,000.00 + ($1,000.00 × -80.00%)
= $1,000.00 + -$800.00
= $200.00
In this scenario, because the final underlying value of the worst performing
underlying on the final valuation date is less than its final barrier value, you would lose a significant portion of your investment in
the securities. 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 barrier value on the final valuation date, such
that you will not receive any contingent coupon payments over the term of the securities and will receive significantly less than the
stated principal amount of your securities, and possibly nothing, at maturity.
Citigroup Global Markets Holdings Inc.
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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 or all of your investment. Unlike conventional debt securities, the securities do not provide
for the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed prior
to maturity, your payment at maturity will depend on the final underlying value of the worst performing underlying on the final valuation
date. If the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value,
you will lose 1% of the stated principal amount of your securities for every 1% by which the worst performing underlying on the final
valuation date has declined from its initial underlying value. There is no minimum payment at maturity on the securities, and you may
lose up to all of your investment.
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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 and may be zero.
The volatility of, and correlation between, the closing values of the underlyings are important factors affecting these risks. Greater
expected volatility of, and lower expected correlation between, the closing values of the underlyings as of the pricing date may result
in a higher contingent coupon rate, but would also represent a greater expected likelihood as of the pricing date that the closing value
of the worst performing underlying on one or more valuation dates will be less than its coupon barrier value, such that you will not receive
one or more, or any, contingent coupon payments during the term of the securities and that the final underlying value of the worst performing
underlying on the final valuation date will be less than its final barrier value, such that you will not be repaid the stated principal
amount of your securities at maturity.
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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 automatically 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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The securities may be automatically redeemed prior to maturity, limiting your opportunity to receive contingent coupon payments.
On any potential autocall date, the securities will be automatically called for redemption if the closing value of the worst performing
underlying on that potential autocall date is greater than or equal to its initial underlying value. As a result, if the worst performing
underlying performs in a way that would otherwise be favorable, the securities are likely to be automatically redeemed, cutting short
your opportunity to receive contingent coupon payments. If the securities are automatically redeemed prior to maturity, you may not be
able to reinvest your funds in another investment that provides a similar yield with a similar level of risk.
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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 and whether the securities will be automatically redeemed
prior to maturity 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 automatically 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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§
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the securities that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
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§
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of, and correlation between, the closing values of
the underlyings, 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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§
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The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather
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Citigroup Global Markets Holdings Inc.
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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 Energy Select Sector SPDR® Fund is subject to concentrated risks associated with the energy sector. The
stocks included in the index underlying the Energy Select Sector SPDR® Fund and that are generally tracked by the Energy
Select Sector SPDR® Fund are stocks of companies whose primary business is directly associated with the energy sector,
including the following two sub-sectors: (i) oil, gas and consumable fuels and (ii) energy equipment and services. Because the securities
are linked to the performance of the Energy Select Sector SPDR® Fund, an investment in the securities exposes investors
to concentrated risks associated with investments in the energy sector.
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Energy companies develop and produce crude oil and natural
gas and/or provide drilling and other energy resources production and distribution related services. Stock prices for these types of companies
are mainly affected by the business, financial and operating conditions of the particular company, as well as changes in prices for oil,
gas and other types of fuels, which in turn largely depend on supply and demand for various energy products and services. Some of the
factors that may influence supply and demand for energy products and services include: general economic conditions and growth rates; weather
conditions; the cost of exploring for, producing and delivering oil and gas; technological advances affecting energy efficiency and energy
consumption; the ability of the Organization of Petroleum Exporting Countries (OPEC) to set and maintain production levels of oil; currency
fluctuations; inflation; natural disasters; civil unrest, acts of sabotage or terrorism; and other regional or global events. The profitability
of energy companies may also be adversely affected by existing and future laws, regulations, government actions and other legal requirements
relating to protection of the environment, health and safety matters and others that may increase the costs of conducting their business
or may reduce or delay available business opportunities. Increased supply or weak demand for energy products and services, as well as
various developments leading to higher costs of doing business or missed business opportunities, would adversely impact the performance
of companies in the energy sector. The value of the securities may be subject to greater volatility and be more adversely affected by
a single economic, political or regulatory occurrence affecting the energy sector or one of the sub-sectors of the energy sector than
a different investment linked to securities of a more broadly diversified group of issuers.
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Risks associated with the oil services sector will affect the price of the underlying shares of the VanEck Vectors®
Oil Services ETF. The equity securities included in the MVIS™ U.S. Listed Oil Services 25 Index (the “ETF underlying index”)
and that are generally tracked by the VanEck Vectors® Oil Services ETF are common stocks of companies involved in oil services.
The underlying shares of the VanEck Vectors® Oil Services ETF may be subject to increased price volatility as they are
linked to a single industry, market or sector and may be more susceptible to adverse economic, market, political or regulatory occurrences
affecting that industry, market or sector.
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Because the VanEck Vectors®
Oil Services ETF invests in common stocks of companies that are involved in the oil industry, the underlying shares of the VanEck Vectors®
Oil Services ETF are subject to certain risks associated with such companies. The profitability of companies in the oil services sector
is related to worldwide energy prices, including all sources of energy, and exploration and production costs. The price of energy, the
earnings of companies in the oil services sector, and the value of these companies’ securities have recently experienced significant
volatility. Additionally, the price of oil has also recently experienced significant volatility and has declined significantly, which
may materially impact companies operating in the oil services sector. These companies are also subject to risks of changes in exchange
rates and the price of oil and gas, changes in prices for competitive energy services, changes in the global
Citigroup Global Markets Holdings Inc.
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supply of and demand for oil and gas, the
imposition of import controls, world events, actions of the Organization of Petroleum Exporting Countries, negative perception and publicity,
depletion of resources and general economic conditions, development of alternative energy sources, energy conservation efforts, technological
developments and labor relations, as well as market, economic, social and political risks of the countries where oil services companies
are located or do business. The values of securities of oil services companies are subject to swift price and supply fluctuations
caused by events relating to international politics, including political instability, expropriation, social unrest and acts of war, energy
conservation, the success of exploration projects and tax and other governmental regulatory policies. Oil services companies operate
in a highly competitive and cyclical industry, with intense price competition. The oil services sector is exposed to significant
and numerous operating hazards. Oil services companies’ operations are subject to hazards inherent in the oil and gas industry,
such as fire, explosion, blowouts, loss of well control, oil spills, pipeline and equipment leaks and ruptures and discharges or releases
of toxic or hazardous gases. Oil and gas exploration and production can be significantly affected by natural disasters and adverse
weather conditions in the regions in which they operate. The revenues of oil services companies may be negatively affected by contract
termination and renegotiation. In the oil services sector, it is customary for contracts to provide for either automatic termination
or termination at the option of the customer if the drilling unit is destroyed or lost or if drilling operations are suspended for a specified
period of time as a result of events beyond the control of either party or because of equipment breakdowns. In periods of depressed
market conditions, the customers of oil services companies may not honor the terms of existing contracts and may terminate contracts or
seek to renegotiate contract rates and terms to reduce their obligations. Oil services companies are subject to, and may be adversely
affected by, extensive federal, state, local and foreign laws, rules and regulations. Oil exploration and production companies may
also be adversely affected by environmental damage claims and other types of litigation. Laws and regulations protecting the environment
may expose oil services companies to liability for the conduct of or conditions caused by others or for acts that were in compliance with
all applicable laws at the time they were performed. Changes to environmental protection laws, including the implementation of policies
with less stringent environmental protection standards and those geared away from sustainable energy development, could lead to fluctuations
in supply, demand and prices of oil and gas. The international operations of oil services companies expose them to risks associated
with instability and changes in economic and political conditions, foreign currency fluctuations, changes in interest rates, changes in
foreign regulations and other risks inherent to international business. Additionally, changes to U.S. trading policies could cause
friction with certain oil producing countries and between the governments of the United States and other major exporters of oil to the
United States. Some of the companies in the oil services sector are engaged in other lines of business unrelated to oil services,
and they may experience problems with these lines of business which could adversely affect their operating results. The operating
results of these companies may fluctuate as a result of these additional risks and events in the other lines of business. In addition,
a company’s ability to engage in new activities may expose it to business risks with which it has less experience than it has with
the business risks associated with its traditional businesses. Despite a company’s possible success in traditional oil services
activities, there can be no assurance that the other lines of business in which these companies are engaged will not have an adverse effect
on a company’s business or financial condition. It is not possible to predict the aggregate effect of all or any combination of
these factors.
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Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities does
not mean that we believe that investing in an instrument linked to the underlyings is likely to achieve favorable returns. In fact, as
we are part of a global financial institution, our affiliates may have positions (including short positions) in the underlyings or in
instruments related to the underlyings, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlyings. These and other activities of our affiliates may affect the closing values of the underlyings in a way that
negatively affects the value of and your return on the securities.
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The closing value of an underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the underlyings
or in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates
also take positions in the underlyings or in financial instruments related to the underlyings on a regular basis (taking long or short
positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers.
These activities could affect the closing values of the underlyings in a way that negatively affects the value of and your return on the
securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines.
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates may acquire
non-public information, which will not be disclosed to you.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur during the term of the securities, such as market disruption events and other events with respect to an underlying,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities.
In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder
of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product
supplement.
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Even if an underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the
securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general, an adjustment
will not be made under the terms of the securities for any cash dividend paid by an underlying unless the amount of the dividend per share,
together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an amount
equal to at least 10% of the closing value of that underlying on the date of declaration of the dividend. Any dividend will reduce the
closing value of the underlying by the amount of the dividend per share. If an underlying pays any dividend for which an
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Citigroup Global Markets Holdings Inc.
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adjustment is not made under the terms of
the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain Additional
Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” in the accompanying product supplement.
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The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the closing
value of an underlying. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not
meet the criteria described above, partial tender offers or additional underlying share issuances. Moreover, the adjustments we do make
may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by
such an event in a circumstance in which a direct holder of the underlying shares of an underlying would not.
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The securities may become linked to an underlying other than an original underlying upon the occurrence of a reorganization event
or upon the delisting of the underlying shares of that original underlying. For example, if an underlying enters into a merger agreement
that provides for holders of its underlying shares to receive shares of another entity and such shares are marketable securities, the
closing value of that underlying following consummation of the merger will be based on the value of such other shares. Additionally, if
the underlying shares of an underlying are delisted, the calculation agent may select a successor underlying. See “Description of
the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying
product supplement.
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The value and performance of the underlying shares of an underlying may not completely track the performance of the underlying
index that the underlying seeks to track or the net asset value per share of the underlying. Each underlying does not fully replicate
the underlying index that it seeks to track and may hold securities different from those included in its underlying index. In addition,
the performance of an underlying will reflect additional transaction costs and fees that are not included in the calculation of its underlying
index. All of these factors may lead to a lack of correlation between the performance of an underlying and its underlying index. In addition,
corporate actions with respect to the equity securities held by an underlying (such as mergers and spin-offs) may impact the variance
between the performance of an underlying and its underlying index. Finally, because the underlying shares are traded on an exchange and
are subject to market supply and investor demand, the closing value of an underlying may differ from the net asset value per share of
an underlying.
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During periods of market volatility, securities included in
an underlying’s underlying index may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of an underlying and the liquidity of an underlying may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of an underlying. Further, market volatility may adversely
affect, sometimes materially, the price at which market participants are willing to buy and sell the underlying shares. As a result, under
these circumstances, the closing value of an underlying may vary substantially from the net asset value per share of an underlying. For
all of the foregoing reasons, the performance of an underlying may not correlate with the performance of its underlying index and/or its
net asset value per share, which could materially and adversely affect the value of the securities and/or reduce your return on the securities.
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Changes that affect the underlyings may affect the value of your securities. The sponsors of the underlyings may at any time
make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings. We are
not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may make. Such
changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
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The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment of the securities as described in “United States Federal Tax Considerations” below. If the IRS
were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the
securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the securities, possibly retroactively.
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Non-U.S. investors should note that persons
having withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Information About the Energy Select Sector SPDR®
Fund
The Energy Select Sector SPDR® Fund is an exchange-traded
fund that seeks to provide investment results that, before expenses, correspond generally to the performance of publicly traded equity
securities of companies in the S&P Energy Select Sector Index. The S&P Energy Select Sector Index is intended to provide an indication
of the pattern of common stock price movements of companies that are components of the S&P 500® Index and are involved
in the development or production of energy. The S&P Energy Select Sector Index includes companies in the following two industries:
(i) oil, gas and consumable fuels and (ii) energy equipment and services. The Energy Select Sector SPDR® Fund is managed
by the Select Sector SPDR® Trust, a registered investment company. The Select Sector SPDR® Trust consists
of numerous separate investment portfolios, including the Energy Select Sector SPDR® Fund.
Information provided to or filed with the SEC by the Select Sector SPDR®
Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference
to SEC file numbers 333-57791 and 811-08837, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The underlying shares of the Energy Select Sector SPDR® Fund trade on the NYSE Arca under the ticker symbol “XLE.”
Please refer to the section “Fund Descriptions— The Select
Sector SPDR® Funds” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Energy Select Sector SPDR®
Fund from publicly available information and have not independently verified any information regarding the Energy Select Sector SPDR®
Fund. This pricing supplement relates only to the securities and not to the Energy Select Sector SPDR® Fund. We make no
representation as to the performance of the Energy Select Sector SPDR® Fund over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Energy Select Sector SPDR® Fund is not involved in any way
in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Energy Select Sector SPDR® Fund
on May 13, 2021 was $51.88.
The graph below shows the closing value of the Energy Select Sector
SPDR® Fund for each day such value was available from January 3, 2011 to May 13, 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.
Energy Select Sector SPDR® Fund – Historical Closing Values
January 3, 2011 to May 13, 2021
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Citigroup Global Markets Holdings Inc.
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Information About the VanEck Vectors®
Oil Services ETF
The VanEck Vectors® Oil Services 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 of companies involved primarily in oil services, as measured by the MVISTM U.S. Listed Oil Services
25 Index. The MVISTM U.S. Listed Oil Services 25 Index tracks the overall performance of U.S.-listed companies involved in
oil services to the upstream oil sector, which include oil equipment, oil services or oil drilling. The VanEck Vectors®
Oil Services ETF is an investment portfolio of Market Vectors® ETF Trust. Van Eck Associates Corporation is currently the
investment adviser to the VanEck Vectors® Oil Services ETF.
Information provided to or filed with the SEC by VanEck Vectors®
ETF Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference
to SEC file numbers 333-123257 and 811-10325, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The underlying shares of the VanEck Vectors® Oil Services ETF trade on the NYSE Arca under the ticker symbol “OIH.”
Please refer to the section “Fund Descriptions— The VanEck
Vectors® ETFs” in the accompanying underlying supplement for additional information.
We have derived all information regarding the VanEck Vectors®
Oil Services ETF from publicly available information and have not independently verified any information regarding the VanEck Vectors®
Oil Services ETF. This pricing supplement relates only to the securities and not to the VanEck Vectors® Oil Services ETF.
We make no representation as to the performance of the VanEck Vectors® Oil Services ETF over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the VanEck Vectors® Oil Services ETF is not involved in any way
in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the VanEck Vectors® Oil Services
ETF on May 13, 2021 was $210.21.
The graph below shows the closing value of the VanEck Vectors®
Oil Services ETF for each day such value was available from December 21, 2011 to May 13, 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.
VanEck Vectors® Oil Services ETF – Historical Closing Values
December 21, 2011 to May 13, 2021
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United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the securities is reasonable under current
law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be
upheld, and that alternative treatments are possible. Moreover, our counsel’s opinion is based on market conditions as of the date
of this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
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Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance with
your regular method of accounting for U.S. federal income tax purposes.
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Upon a sale or exchange of a security (including retirement at maturity), 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 as of the date of this
preliminary pricing supplement, our counsel is of the opinion that the securities should not be treated as transactions that have a “delta”
of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding
tax under Section 871(m). However, the final determination regarding the treatment of the securities under Section 871(m) will be made
as of the pricing date for the securities, and it is possible that the securities will be subject to withholding tax under Section 871(m)
based on the circumstances as of that date.
A determination that the securities
are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is
complex and its application may depend on your particular circumstances, including your other transactions. You should consult your tax
adviser regarding the potential application of Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect to
amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $25.00 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 $25.00 for each security they sell. For the avoidance of doubt, any fees or selling concessions described in this pricing supplement
will not be rebated if the securities are automatically redeemed prior to maturity.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms of
the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement, it is
uncertain what the estimated value of the securities will be on the pricing date because it is uncertain what the values of the inputs
to CGMI’s proprietary pricing models will be on the pricing date.
For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority in the Hong
Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are advised to exercise
caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent professional advice.
The securities have not been offered or sold and will not be offered
or sold in Hong Kong by means of any document, other than
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(i)
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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
Citigroup Global Markets Holdings Inc.
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with the offer or sale or invitation for subscription or purchase of
any securities be circulated or distributed, whether directly or indirectly, to any person in Singapore other than (a) to an institutional
investor pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person under Section 275(1) of the Securities and
Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures Act and in accordance with the conditions specified
in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable
provision of the Securities and Futures Act. Where the securities are subscribed or purchased under Section 275 of the Securities and
Futures Act by a relevant person which is:
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(a)
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a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is an individual
who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that corporation or the
beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for 6 months after that corporation
or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the Securities and Futures Act except:
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any person
arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005 of Singapore.
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Any securities referred to herein may not be registered with any regulator,
regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined in the
Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority of Singapore
on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any governmental
agency. These securities are not bank deposits. These securities are not insured products subject to the provisions of the Deposit Insurance
and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance coverage under the Deposit
Insurance Scheme.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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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