The information in this preliminary
pricing supplement is not complete and may be changed. A registration statement relating to these notes has been filed with the Securities
and Exchange Commission. This preliminary pricing supplement and the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus are not an offer to sell these notes, nor are they soliciting an offer to buy these notes, in any state where
the offer or sale is not permitted.
SUBJECT TO COMPLETION, DATED DECEMBER
8, 2021
Pricing Supplement No. 2021—USNCH[ ] to 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
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302 and 333-255302-03
Dated December----, 2021
Citigroup Global Markets Holdings Inc. $---- Trigger Autocallable
Contingent Yield Notes
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Linked to the Least Performing of the S&P 500®
Index and the EURO STOXX 50® Index Due On or About December 13, 2024
All payments due on the notes are fully and unconditionally
guaranteed by Citigroup Inc.
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The Trigger Autocallable Contingent Yield Notes (the “notes”)
are unsecured, unsubordinated debt obligations of Citigroup Global Markets Holdings Inc. (the “issuer”), guaranteed
by Citigroup Inc. (the “guarantor”), linked to the least performing of the S&P 500®
Index and the EURO STOXX 50® Index (each, an “underlying”). The notes will pay a contingent
coupon on each quarterly coupon payment date if, and only if, the closing level of the least performing underlying on the
related quarterly valuation date is greater than or equal to its coupon barrier. If the closing level of the least performing
underlying on a quarterly valuation date is less than its coupon barrier, no contingent coupon will be paid on the related coupon
payment date. If the closing level of the least performing underlying on a quarterly valuation date is greater than or
equal to its initial underlying level, we will automatically call the notes and pay you the stated principal amount per note plus
the contingent coupon for that valuation date, and no further amounts will be owed to you. At maturity, if the notes have
not previously been automatically called, the amount you receive will depend on the final underlying level of the least performing
underlying on the final valuation date. If the final underlying level of the least performing underlying on the final
valuation date is greater than or equal to its downside threshold, you will receive the stated principal amount of your notes at
maturity (plus the final contingent coupon payment). However, if the notes have not been automatically called prior to
maturity and the final underlying level of the least performing underlying on the final valuation date is less than its downside
threshold, you will receive less than the stated principal amount of your notes at maturity, resulting in a loss that is proportionate
to the decline in the closing level of the least performing underlying from the trade date to the final valuation date, up to a 100%
loss of your investment. On each valuation date, the least performing underlying is the underlying with the lowest underlying
return from the trade date to that valuation date. Investing in the notes involves significant risks. You
may lose a substantial portion or all of your initial investment. The stated payout on the notes is based solely
on the performance of the least performing underlying. You will not benefit in any way from the performance of the better
performing underlying. You will therefore be adversely affected if either underlying performs poorly, regardless
of the performance of the other underlying. You will not receive dividends or other distributions paid on any stocks included
in the underlyings or participate in any appreciation of either underlying. The contingent repayment of the stated principal
amount applies only if you hold the notes to maturity or earlier automatic call. Any payment on the notes, including any
repayment of the stated principal amount, is subject to the creditworthiness of the issuer and the guarantor and is not, either directly
or indirectly, an obligation of any third party. If the issuer and the guarantor were to default on their payment obligations, you
may not receive any amounts owed to you under the notes and you could lose your entire investment.
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Features
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q Contingent
Coupon — We will pay you a contingent coupon on each quarterly coupon payment date if, and only if, the closing
level of the least performing underlying on the related valuation date is greater than or equal to its coupon barrier. Otherwise,
no contingent coupon will be paid for that quarter.
q Automatic
Call — We will automatically call the notes and pay you the stated principal amount per note plus the final contingent
coupon payment if the closing level of the least performing underlying on any quarterly valuation date occurring on or after June
10, 2022 is greater than or equal to its initial underlying level. If the notes are not automatically called, investors may have
full downside market exposure to the least performing underlying at maturity.
q Downside
Exposure with Contingent Repayment of Principal at Maturity — If the notes are not automatically called prior to maturity
and the final underlying level of the least performing underlying on the final valuation date is greater than or equal to its downside
threshold, you will receive the stated principal amount of your notes at maturity (plus the final contingent coupon payment). However,
if the final underlying level of the least performing underlying on the final valuation date is less than its downside threshold,
you will receive less than the stated principal amount of your notes at maturity, resulting in a loss that is proportionate to the
decline in the closing level of the least performing underlying from the trade date to the final valuation date, up to a 100% loss
of your investment. Any payment on the notes is subject to the creditworthiness of the issuer and guarantor. If the issuer and
the guarantor were to default on their obligations, you might not receive any amounts owed to you under the notes and you could lose
your entire investment.
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Key Dates1
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Trade date
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December 10, 2021
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Settlement date
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December 15, 2021
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Valuation dates2
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Quarterly, beginning on March 10, 2022 (See page PS-6)
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Final valuation date2
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December 10, 2024
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Maturity date
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December 13, 2024
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1 Expected
2 See page
PS-6 for additional details.
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NOTICE TO INVESTORS: The
notes are significantly riskier than conventional debt INSTRUMENTS. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY THE STATED PRINCIPAL
AMOUNT OF THE NOTES AT MATURITY, AND the notes CAN have downside MARKET risk SIMILAR TO the LEAST PERFORMING UNDERLYING. This MARKET
risk is in addition to the CREDIT risk INHERENT IN PURCHASING A DEBT OBLIGATION OF CITIGROUP GLOBAL MARKETS HOLDINGS INC. THAT IS
GUARANTEED BY CITIGROUP INC. You should not PURCHASE the notes if you do not understand or are not comfortable with the significant
risks INVOLVED in INVESTING IN the notes.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER ‘‘SUMMARY
RISK FACTORS’’ BEGINNING ON PAGE PS-7 OF THIS PRICING SUPPLEMENT AND UNDER ‘‘RISK FACTORS RELATING TO THE
SECURITIES’’ BEGINNING ON PAGE EA-7 OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING
TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES.
YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE AND MAY
HAVE LIMITED OR NO LIQUIDITY.
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Notes Offering
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We are offering Trigger Autocallable Contingent Yield Notes Linked to the Least Performing
of the S&P 500® Index and the EURO STOXX 50® Index. Any payment on the notes will be based on the
performance of the least performing underlying. The contingent coupon rate, initial underlying levels, coupon barriers and downside
thresholds will be determined on the trade date. The notes are our unsecured, unsubordinated debt obligations, guaranteed by Citigroup
Inc., and are offered for a minimum investment of 100 notes at the issue price described below.
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Underlyings
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Contingent Coupon Rate
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Initial Underlying Levels
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Coupon Barriers
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Downside Thresholds
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CUSIP/ISIN
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S&P 500® Index
(Ticker: SPX)
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8.00% to 8.40% per annum
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-----,
which is 70% of the applicable initial underlying level
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-----,
which is 70% of the applicable initial underlying level
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17329T666/ US17329T6661
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EURO STOXX 50® Index (Ticker: SX5E)
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-----,
which is 70% of the applicable initial underlying level
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-----,
which is 70% of the applicable initial underlying level
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See “Additional Terms Specific to the Notes” in this
pricing supplement. The notes will have the terms specified in the accompanying product supplement, prospectus supplement and prospectus,
as supplemented by this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense. The notes are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance
Corporation or any other governmental agency.
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Issue Price(1)
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Underwriting Discount(2)
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Proceeds to Issuer
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Per note
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$10.00
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—
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$10.00
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Total
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$
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—
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$
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(1) Citigroup
Global Markets Holdings Inc. currently expects that the estimated value of the notes on the trade date will be at least $9.70 per note,
which will be less than the issue price. The estimated value of the notes is based on proprietary pricing models of Citigroup Global
Markets Inc. (“CGMI”) 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 notes from
you at any time after issuance. See “Valuation of the Notes” in this pricing supplement.
(2) CGMI,
acting as principal, expects to purchase from Citigroup Global Markets Holdings Inc., and Citigroup Global Markets Holdings Inc. expects
to sell to CGMI, the aggregate stated principal amount of the notes set forth above for $10.00 per note. UBS Financial Services Inc.
(“UBS”), acting as agent for sales of the notes, expects to purchase from CGMI, and CGMI expects to sell to UBS, all
of the notes for $10.00 per note. UBS will not receive any underwriting discount for any note it sells in this offering. UBS proposes
to offer the notes to the public at a price of $10.00 per note. For additional information on the distribution of the notes, see “Supplemental
Plan of Distribution” in this pricing supplement. It is expected that CGMI and its affiliates may profit from expected hedging
activity related to this offering, even if the value of the notes declines. See “Use of Proceeds and Hedging” in the accompanying
prospectus.
Concurrent with this offering of the notes,
the issuer is offering other notes that are similar to the notes but that have economic terms that differ from those provided by the
notes. The differences in the economic terms reflect differences in costs to the issuer in connection with the distribution of the notes
and such other notes.
Citigroup Global Markets Inc.
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UBS Financial Services
Inc.
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Additional Terms Specific to the Notes
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The terms of the notes 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,
certain events may occur that could affect whether you receive a contingent coupon payment on a coupon payment date, whether the
notes are automatically called prior to maturity and whether you are repaid the stated principal amount of your notes at maturity.
These events and their consequences are described in the accompanying product supplement in the sections “Description of the
Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date” and “Description of the
Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance or Material Modification
of an Underlying Index,” and not in this pricing supplement. The accompanying underlying supplement contains important disclosures
regarding the underlyings that are 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 before you decide whether
to invest in the notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
You may access the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus on the SEC website at www.sec.gov as follows (or if such address has changed, by
reviewing our filings for May 14, 2018, February 15, 2019 and October 30, 2020 on the SEC website):
¨ Product
Supplement No. EA-04-09 dated May 11, 2021:
https://www.sec.gov/Archives/edgar/data/200245/000095010321007044/dp150747_424b2-coba0409.htm
¨ Underlying
Supplement No. 10 dated May 11, 2021:
https://www.sec.gov/Archives/edgar/data/200245/000095010321007028/dp150879_424b2-us10.htm
¨ Prospectus
Supplement and Prospectus each dated May 11, 2021:
https://www.sec.gov/Archives/edgar/data/200245/000119312521157552/d423193d424b2.htm
You may revoke your offer to purchase the notes at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject
any offer to purchase, the notes on or prior to the trade date. The applicable agent will notify you in the event of any material
changes to the terms of the notes, and you will be asked to accept such changes in connection with your purchase of the notes. You
may also choose to reject such changes, in which case the applicable agent may reject your offer to purchase the notes. References
to “Citigroup Global Markets Holdings Inc.,” “Citigroup,” “we,” “our” and “us”
refer to Citigroup Global Markets Holdings Inc. and not to any of its subsidiaries. References to “Citigroup Inc.” refer
to Citigroup Inc. and not to any of its subsidiaries. In this pricing supplement, “notes” refers to the Trigger Autocallable
Contingent Yield Notes Linked to the Least Performing of the S&P 500® Index and the EURO STOXX 50®
Index that are offered hereby, unless the context otherwise requires.
This pricing supplement, together with the documents listed
above, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
brochures or other educational materials of ours. The description in this pricing supplement of the particular terms of the notes
supplements, and, to the extent inconsistent with, replaces, the descriptions of the general terms and provisions of the debt securities
set forth in the accompanying product supplement, prospectus supplement and prospectus. You should carefully consider, among other
things, the matters set forth in “Summary Risk Factors” in this pricing supplement and “Risk Factors Relating to
the Securities” in the accompanying product supplement, as the notes involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the notes.
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The suitability considerations identified below are not exhaustive.
Whether or not the notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an
investment in the notes in light of your particular circumstances. You should also review “Summary Risk Factors” beginning
on page PS-7 of this pricing supplement, “The S&P 500® Index” beginning on page PS-14 of this pricing
supplement, “The EURO STOXX 50® Index“ beginning on page PS-16 of this pricing supplement, “Risk Factors
Relating to the Securities” beginning on page EA-7 of the accompanying product supplement, “Equity Index Descriptions—The
S&P U.S. Indices” beginning on page US-67 of the accompanying underlying supplement“ and “Equity Index Descriptions—The
STOXX Benchmark Indices—The EURO STOXX 50® Index” beginning on page US-75 of the accompanying underlying supplement.
The notes may be suitable for you if, among other considerations:
¨ You
fully understand the risks inherent in an investment in the notes, including the risk of loss of your entire initial investment.
¨ You
can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment that may have
the full downside market risk of an investment in the least performing underlying.
¨ You
understand and accept the risks associated with each of the underlyings.
¨ You
believe the closing level of each underlying is likely to be greater than or equal to its respective coupon barrier on the valuation
dates, and, if the closing level of either underlying is not, you can tolerate receiving few or no contingent coupon payments over
the term of the notes.
¨ You
believe the closing level of each underlying will be greater than or equal to its downside threshold on the final valuation date,
and, if the closing level of either underlying is below its downside threshold on the final valuation date, you can tolerate a loss
of all or a substantial portion of your investment.
¨ You
can tolerate fluctuations in the value of the notes prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the least performing underlying.
¨ You
understand that your return will be based on the performance of the least performing underlying and you will not benefit from the
performance of the other underlying.
¨ You
are willing to hold notes that will be called on the earliest valuation date on which the closing level of the least performing underlying
is greater than or equal to its respective initial underlying level, and you are otherwise willing to hold such notes to maturity.
¨ You
are willing to make an investment whose positive return is limited to the contingent coupon payments, regardless of the potential
appreciation of the underlyings, which could be significant.
¨ You
would be willing to invest in the notes if the contingent coupon rate were set equal to the lowest value indicated on the cover page
of this pricing supplement (the actual contingent coupon rate will be set on the trade date).
¨ You
are willing to invest in the notes based on the coupon barriers and downside thresholds indicated on the cover page of this pricing
supplement.
¨ You
are willing and able to hold the notes to maturity, and accept that there be little or no secondary market for the notes and that
any secondary market will depend in large part on the price, if any, at which CGMI is willing to purchase the notes.
¨ You
do not seek guaranteed current income from your investment and are willing to forgo dividends or any other distributions paid on
the stocks included in the underlyings for the term of the notes.
¨ You
are willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments under the notes,
and understand that if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you might not receive
any amounts due to you, including any repayment of the stated principal amount.
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The notes may not be suitable for you if, among
other considerations:
¨ You
do not fully understand the risks inherent in an investment in the notes, including the risk of loss of your entire initial investment.
¨ You
cannot tolerate the loss of all or a substantial portion of your initial investment, or you are not willing to make an investment
that may have the full downside market risk of an investment in the least performing underlying.
¨ You
do not understand or are not willing to accept the risks associated with each of the underlyings.
¨ You
do not believe the closing level of each underlying is likely to be greater than or equal to its respective coupon barrier on the
valuation dates, or you cannot tolerate receiving few or no contingent coupon payments over the term of the notes.
¨ You
believe the closing level of either underlying will be less than its respective downside threshold on the final valuation date, exposing
you to the full downside performance of the least performing underlying.
¨ You
require an investment designed to guarantee a full return of the stated principal amount at maturity.
¨ You
cannot tolerate fluctuations in the value of the notes prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the least performing underlying.
¨ You
are unwilling to accept that your return will be based on the performance of the least performing underlying, or you seek an investment
based on the performance of a basket composed of the underlyings.
¨ You
are unwilling to hold notes that will be called on the earliest valuation date on which the closing level of the least performing
underlying is greater than or equal to its respective initial underlying level, or you are otherwise unable or unwilling to hold
such notes to maturity.
¨ You
seek an investment that participates in the full appreciation of the underlyings and whose positive return is not limited to the
contingent coupon payments.
¨ You
would be unwilling to invest in the notes if the contingent coupon rate were set equal to the lowest value indicated on the cover
page of this pricing supplement (the actual contingent coupon rate will be set on the trade date).
¨ You
are unwilling to invest in the notes based on the coupon barriers and downside thresholds indicated on the cover page of this pricing
supplement.
¨ You
seek an investment for which there will be an active secondary market.
¨ You
seek guaranteed current income from this investment or prefer to receive the dividends and any other distributions paid on the stocks
included in the underlyings for the term of the notes.
¨ You
prefer the lower risk of conventional fixed income investments with comparable maturities and credit ratings.
¨ You
are not willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments under the
notes, including any repayment of the stated principal amount.
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Indicative Terms
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Issuer
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Citigroup Global Markets Holdings Inc.
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Guarantee
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All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
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Issue price
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100% of the stated principal amount per note
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Stated principal amount per note
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$10.00 per note
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Term
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Approximately three years, unless earlier automatically called
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Trade date1
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December 10, 2021
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Settlement date1
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December 15, 2021
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Final valuation date[1],
2
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December 10, 2024
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Maturity date1
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December 13, 2024
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Underlyings
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S&P 500® Index (Ticker: SPX)
EURO STOXX 50® Index (Ticker: SX5E)
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Automatic call feature
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The notes will be automatically called if the closing
level of the least performing underlying on any valuation date occurring on or after June 10, 2022 is greater than or equal to its
initial underlying level.
If the notes are automatically called, we will pay you
on the applicable coupon payment date a cash payment per $10.00 stated principal amount of each note equal to the stated principal
amount per note plus the contingent coupon for the applicable valuation date.
After the notes are automatically called, no further payments
will be made on the notes.
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Valuation dates1, 2
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See “Valuation Dates/Coupon Payment Dates for the Offering of the Notes” on page PS-6.
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Coupon payment dates
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Three (3) business days following the applicable valuation date, except that the coupon payment
date for the final valuation date is the maturity date. See “Valuation Dates/Coupon Payment Dates for the Offering of the Notes”
on page PS-6.
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Contingent coupon/contingent coupon rate
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If the closing level of the least performing underlying
on a quarterly valuation date is greater than or equal to its coupon barrier, we will make a contingent coupon payment with respect
to that valuation date on the related coupon payment date.
However, if the closing level of the least performing underlying
on a quarterly valuation date is below its coupon barrier, no contingent coupon will be payable on the related coupon payment date.
Each contingent coupon payment will be in the amount of
$0.20 to $0.21 for each $10.00 stated principal amount note (based on the per annum contingent coupon rate of 8.00% to 8.40%) (to
be determined on the trade date) and will be payable with respect to each valuation date on which the closing level of the least
performing underlying on that valuation date is greater than or equal to its coupon barrier.
Contingent coupon payments on the notes are not guaranteed.
We will not pay you the contingent coupon for any valuation date on which the closing level of least performing
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underlying on that valuation date is less than its coupon barrier.
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Payment at maturity (per $10.00 stated principal amount of notes)
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If the notes are not automatically called prior to maturity
and the final underlying level of the least performing underlying on the final valuation date is greater than or equal to its downside
threshold, we will pay you the $10.00 stated principal amount plus the contingent coupon with respect to the final valuation
date.
If the notes are not automatically called prior to maturity and
the final underlying level of the least performing underlying on the final valuation date is less than its downside threshold, we
will pay you a cash payment on the maturity date that is less than your stated principal amount and may be zero, resulting in a loss
that is proportionate to the negative underlying return of the least performing underlying on the final valuation date, equal to:
$10.00 × (1 + underlying return of
the least performing underlying on the final valuation date)
Accordingly, you may lose all or a substantial portion
of your stated principal amount at maturity, depending on how significantly the least performing underlying declines.
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Least performing underlying
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On each valuation date, including the final valuation date, the underlying with the lowest underlying
return as of that valuation date.
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Underlying return
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For either underlying on any valuation date, calculated as
follows:
current underlying level – initial
underlying level
initial underlying level
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Downside threshold
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For either underlying, 70% of the applicable initial underlying level, as specified on the cover
page of this pricing supplement.
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Coupon barrier
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For either underlying, 70% of the applicable initial underlying level, as specified on the cover
page of this pricing supplement.
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Initial underlying level
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For either underlying, its closing level on the trade date, as specified on the cover page of this
pricing supplement.
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Current underlying level
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For either underlying and any valuation date, the closing level of that underlying on that valuation
date.
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Final underlying level
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For either underlying, its closing level on the final valuation date.
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A
SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. THE CONTINGENT REPAYMENT OF THE STATED PRINCIPAL AMOUNT APPLIES ONLY
IF YOU HOLD THE NOTES TO MATURITY. ANY PAYMENT ON THE NOTES IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER AND THE GUARANTOR. IF
CITIGROUP GLOBAL MARKETS HOLDINGS INC. AND CITIGROUP INC. WERE TO DEFAULT ON THEIR OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS
OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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______________________
1 Expected. In the event that we make
any changes to the expected trade date and settlement date, the valuation dates and maturity date may be changed to ensure that the
stated term of the notes remains the same.
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2 Subject to postponement as described under “Description
of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying product
supplement.
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Trade
date
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The closing level of each underlying (its respective initial
underlying level) is observed, the contingent coupon rate is set and the coupon barrier and downside threshold for each underlying
are determined.
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Quarterly
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If the closing level of the least performing underlying on
any quarterly valuation date is greater than or equal to its coupon barrier, we will pay you a contingent coupon on the related coupon
payment date. However, if the closing level of the least performing underlying on any quarterly valuation date is below its coupon
barrier, no coupon will be payable on the related coupon payment date.
The notes will be automatically called if the closing level
of the least performing underlying on any valuation date is greater than or equal to its initial underlying level.
If the notes are automatically called on any valuation
date, we will pay the stated principal amount plus the applicable contingent coupon on the related coupon payment date.
After the notes are automatically called, no further payments
will be made on the notes.
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Maturity
date (if not previously automatically called)
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If the notes are not automatically called prior to maturity,
the final underlying level of each underlying is observed on the final valuation date.
If the final underlying level of the least performing
underlying on the final valuation date is greater than or equal to its downside threshold, we will pay you the $10.00 stated
principal amount plus the contingent coupon with respect to the final valuation date.
If the final underlying level of the least performing
underlying on the final valuation date is less than its downside threshold, we will pay you a cash payment on the maturity date
that is less than your stated principal amount and may be zero, resulting in a loss that is proportionate to the negative underlying
return of the least performing underlying on the final valuation date, equal to:
$10.00 × (1 + underlying return
of the least performing underlying on the final valuation date)
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Valuation
Dates/Coupon Payment Dates for the Offering of the Notes
Valuation Dates1
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Coupon Payment Dates
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March 10, 2022
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March 15, 2022
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June 10, 2022
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June 15, 2022
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September 12, 2022
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September 15, 2022
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December 12, 2022
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December 15, 2022
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March 10, 2023
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March 15, 2023
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June 12, 2023
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June 15, 2023
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September 11, 2023
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September 14, 2023
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December 11, 2023
|
December 14, 2023
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March 11, 2024
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March 14, 2024
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June 10, 2024
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June 13, 2024
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September 10, 2024
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September 13, 2024
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December 10, 2024
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December 15, 2024
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1 Subject to postponement as described under “Description
of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying product
supplement.
An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes 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 notes, and are
also subject to risks associated with each underlying. Accordingly, the notes are suitable only for investors who are capable of understanding
the complexities and risks of the notes. You should consult your own financial, tax and legal advisers as to the risks of an investment
in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the notes
contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product supplement.
You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
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You may lose some or all
of your investment — The notes differ from ordinary debt securities in that we
will not necessarily repay the full stated principal amount of your notes at maturity. If
the notes are not automatically called on any of the valuation dates and the final underlying
level of the least performing underlying on the final valuation date is less than its downside
threshold, you will lose 1% of the stated principal amount of the notes for every 1% by which
the final underlying level of the least performing underlying is less than its initial underlying
level. There is no minimum payment at maturity on the notes, and you may lose up to all of
your investment in the notes.
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You will not receive any
contingent coupon payment for any quarter in which the closing level of the least performing
underlying on the related valuation date is less than its coupon barrier — A contingent
coupon payment will be made on a coupon payment date if and only if the closing level of
the least performing underlying on the related valuation date is greater than or equal to
its coupon barrier. If the closing level of the least performing underlying on any valuation
date is less than its coupon barrier, you will not receive any contingent coupon payment
on the related coupon payment date. If the closing level of the least performing underlying
is below its coupon barrier on each valuation date, you will not receive any contingent coupon
payments over the term of the notes.
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The notes are subject to
the risks of both of the underlyings and will be negatively affected if either underlying
performs poorly, even if the other underlying performs well — You are subject to
risks associated with both of the underlyings. If either underlying performs poorly, you
will be negatively affected, even if the other underlying performs well. The notes are not
linked to a basket composed of the underlyings, where the better performance of one could
ameliorate the poor performance of the other. Instead, you are subject to the full risks
of whichever of the underlyings is the least performing underlying on each valuation date.
Furthermore, the risk that you will not receive the coupon and that you will lose some or
all of your initial investment in the notes is greater if you invest in the notes as opposed
to notes that are linked to the performance of a single underlying if their terms are otherwise
substantially similar. With a greater total number of underlyings, it is more likely that
an underlying will be below its coupon barrier or downside threshold on a valuation date
or the final valuation date, as applicable, and therefore it is more likely that you will
not receive any contingent coupon and that at maturity, you will receive an amount in cash
which is worth less than your principal amount.
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You will not benefit in
any way from the performance of the better performing underlying — The return on
the notes depends solely on the performance of the least performing underlying, and you will
not benefit in any way from the performance of the better performing underlying. The notes
may underperform a similar investment in both of the underlyings or a similar alternative
investment linked to a basket composed of the underlyings, since in either such case the
performance of the better performing underlying would be blended with the performance of
the least performing underlying, resulting in a better return than the return of the least
performing underlying.
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You will be subject to
risks relating to the relationship between the underlyings — It is preferable from
your perspective for the underlyings to be correlated with each other, in the sense that
they tend to increase or decrease at similar times and by similar magnitudes. By investing
in the notes, you assume the risk that the underlyings will not exhibit this relationship.
The less correlated the underlyings, the more likely it is that either one of the underlyings
will perform poorly over the term of the notes. All that is necessary for the notes to perform
poorly is for one of the underlyings to perform poorly; the performance of the underlying
that is not the least performing underlying is not relevant to your return on the notes.
It is impossible to predict what the relationship between the underlyings will be over the
term of the notes. The S&P 500® Index represents large capitalization
stocks in the United States and the EURO STOXX 50® Index represents large
capitalization stocks in the Eurozone. Accordingly, the underlyings represent markets that
differ in significant ways and, therefore, may not be correlated with each other.
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Higher contingent coupon
rates are associated with greater risk — The notes 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 trade date for the notes,
including the risks that you may not receive a contingent coupon payment on one or more,
or any, coupon payment dates, the notes will not be automatically called and the amount you
receive at maturity may be significantly less than the stated principal amount of your notes
and may be zero. The volatility of and the correlation between the underlyings are important
factors affecting these risks. Greater expected volatility of, and lower expected correlation
between, the underlyings as of the trade date may result in a higher contingent coupon rate,
but would also represent a greater expected likelihood as of the trade date that (i) the
closing level of the least performing underlying will be less than the applicable coupon
barrier on one or more valuation dates, such that you will not receive one or more, or any,
contingent
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coupon payments during the term of the
notes, (ii) the closing level of the least performing underlying will be less than the applicable initial underlying level on each valuation
date, such that the notes are not automatically called and (iii) the closing level of the least performing underlying will be less than
the applicable downside threshold on the final valuation date, such that you will not be repaid the stated principal amount of your notes
at maturity.
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You may not be adequately
compensated for assuming the downside risk of the least performing underlying —
The potential contingent coupon payments on the notes are the compensation you receive for
assuming the downside risk of the least performing underlying, as well as all the other risks
of the notes. That compensation is effectively “at risk” and may, therefore,
be less than you currently anticipate. First, the actual yield you realize on the notes could
be lower than you anticipate because the coupon is “contingent” and you may not
receive a contingent coupon payment on one or more, or any, of the coupon payment dates.
Second, the contingent coupon payments are the compensation you receive not only for the
downside risk of the least performing underlying, but also for all of the other risks of
the notes, including the risk that the notes may be called 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 notes, including the downside
risk of the least performing underlying.
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The notes offer downside
exposure to the least performing underlying, but no upside exposure to either underlying
— You will not participate in any appreciation in the level of the underlyings
over the term of the notes. Consequently, your return on the notes will be limited to the
contingent coupon payments you receive, if any, and may be significantly less than the return
on the underlyings over the term of the notes. In addition, you will not receive any dividends
or other distributions or have any other rights with respect to the underlyings or the stocks
included in the underlyings.
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The performance of the
notes will depend on the closing levels of the underlyings solely on the relevant valuation
dates, which makes the notes particularly sensitive to the volatility of the underlyings
— Whether the contingent coupon will be paid for any given quarter will depend
on the closing levels of the underlyings solely on the applicable quarterly valuation dates,
regardless of the closing levels of the underlyings on other days during the term of the
notes. If the notes are not automatically called, what you receive at maturity will depend
solely on the closing level of the least performing underlying on the final valuation date,
and not on any other day during the term of the notes. Because the performance of the notes
depends on the closing levels of the underlyings on a limited number of dates, the notes
will be particularly sensitive to volatility in the closing levels of the underlyings. You
should understand that both of the underlyings have historically been highly volatile.
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Investing in the notes
is not equivalent to investing in either underlying or the stocks that constitute either
underlying — You will not have voting rights, rights to receive any dividends or
other distributions or any other rights with respect to any of the stocks that constitute
the underlyings. It is important to understand that, for purposes of measuring the performance
of the underlyings, the levels used will not reflect the receipt or reinvestment of dividends
or distributions on the stocks that constitute either of the underlyings. Dividend or distribution
yield on the stocks that constitute the underlyings would be expected to represent a significant
portion of the overall return on a direct investment in the stocks that constitute the underlyings,
but will not be reflected in the performance of either of the underlyings as measured for
purposes of the notes (except to the extent that dividends and distributions reduce the levels
of the underlyings).
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The notes are subject to
the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. —
Any payment on the notes will be made by Citigroup Global Markets Holdings Inc. and is guaranteed
by Citigroup Inc., and therefore is subject to the credit risk of both Citigroup Global Markets
Holdings Inc. and Citigroup Inc. If we default on our obligations under the notes and Citigroup
Inc. defaults on its guarantee obligations, you may not receive any payments that become
due under the notes. As a result, the value of the notes prior to maturity will be affected
by changes in the market’s view of our and Citigroup Inc.’s creditworthiness.
Any decline, or anticipated decline, in either of our or Citigroup Inc.’s credit ratings
or increase, or anticipated increase, in the credit spreads charged by the market for taking
either of our or Citigroup Inc.’s credit risk is likely to adversely affect the value
of the notes.
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The notes may be automatically
called prior to maturity — On any valuation date occurring quarterly during the
term of the notes, the notes will be automatically called if the closing level of the least
performing underlying on that valuation date is greater than or equal to its respective initial
underlying level. Thus, the term of the notes may be limited to as short as three months.
If the notes are automatically called 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.
Generally, the longer the notes are outstanding, the less likely it is that they will be
automatically called due to the decline in the levels of the underlyings and the shorter
time remaining for the levels of underlyings to recover.
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The notes will not be listed
on any securities exchange and you may not be able to sell them prior to maturity —
The notes will not be listed on any securities exchange. Therefore, there may be little or
no secondary market for the notes. CGMI currently intends to make a secondary market in relation
to the notes and to provide an indicative bid price for the notes on a daily basis. Any indicative
bid price for the notes 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 notes 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 notes because it is likely that CGMI will be the only
broker-dealer that is willing to buy your notes prior to maturity. Accordingly, an investor
must be prepared to hold the notes until maturity.
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The probability that the
least performing underlying will fall below the coupon barrier on any valuation date or the
downside threshold on the final valuation date will depend in part on the volatility of,
and correlation between, the underlyings — “Volatility” refers to the
frequency and magnitude of changes in the level of the underlyings. “Correlation”
refers to the extent to which the underlyings tend to increase or decrease at similar times
and by similar magnitudes. In general, the greater the volatility of the underlyings, and
the lower the correlation between the underlyings, the greater the probability that one or
the other of the underlyings will experience a large decline over the term of the notes and
fall below its respective coupon barrier on one, or more, quarterly valuation dates and/or
below its respective downside threshold on the final valuation date. The underlyings have
historically experienced significant volatility, and as discussed above, the underlyings
represent markets that differ in significant ways and therefore may not be correlated. As
a result, there is a significant risk that one or the other of the underlyings will fall
below its respective coupon barrier on one or more valuation dates, such that you will not
receive one or more contingent coupon payments, and that one or the other of the underlyings
will fall below its respective downside threshold on the final valuation date, such that
you will incur a significant loss on your investment in the notes. The terms of the notes
are set, in part, based on expectations about the volatility of, and correlation between,
the underlyings as of the trade date. If expectations about the volatility of, and correlation
between, the underlyings change over the term of the notes, the value of the notes may be
adversely affected, and if the actual volatility of the underlyings prove to be greater than
initially expected, or if the actual correlation between the underlyings proves to be lower
than initially expected, the notes may prove to be riskier than expected on the trade date.
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The estimated value of
the notes on the trade date, based on CGMI’s proprietary pricing models and our internal
funding rate, will be less than the issue price — The difference is attributable
to certain costs associated with selling, structuring and hedging the notes that are included
in the issue price. These costs include (i) hedging and other costs incurred by us and our
affiliates in connection with the offering of the notes and (ii) 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 notes. These costs adversely affect the economic terms
of the notes because, if they were lower, the economic terms of the notes would be more favorable
to you. The economic terms of the notes are also likely to be adversely affected by the use
of our internal funding rate, rather than our secondary market rate, to price the notes.
See “The estimated value of the notes would be lower if it were calculated based on
our secondary market rate” below.
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The estimated value of
the notes was determined for us by our affiliate using proprietary pricing models —
CGMI derived the estimated value disclosed on the cover page of this pricing supplement from
its proprietary pricing models. In doing so, it may have made discretionary judgments about
the inputs to its models, such as the volatility of and correlation between the underlyings,
dividend yields on the stocks that constitute 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 notes. Moreover, the estimated value of the notes set forth on the cover page
of this pricing supplement may differ from the value that we or our affiliates may determine
for the notes for other purposes, including for accounting purposes. You should not invest
in the notes because of the estimated value of the notes. Instead, you should be willing
to hold the notes to maturity irrespective of the initial estimated value.
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The estimated value of
the notes would be lower if it were calculated based on our secondary market rate —
The estimated value of the notes 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 notes. 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 notes for
purposes of any purchases of the notes from you in the secondary market. If the estimated
value included in this pricing supplement were based on our secondary market rate, rather
than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the notes, which are generally higher
than the costs associated with conventional debt securities, and our liquidity needs and
preferences. Our internal funding rate is not the same as the contingent coupon rate that
is payable on the notes.
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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 notes, 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 notes prior to maturity.
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The estimated value of
the notes is not an indication of the price, if any, at which CGMI or any other person may
be willing to buy the notes from you in the secondary market — Any such secondary
market price will fluctuate over the term of the notes 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 notes 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 notes than if our internal funding rate were used. In addition, any secondary
market price for the notes will be reduced by a bid-ask spread, which may vary depending
on the aggregate stated principal amount of the notes 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 notes will be less than the issue price.
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The value of the notes
prior to maturity will fluctuate based on many unpredictable factors — As described
under “Valuation of the Notes” below, the payout on the notes could be replicated
by a hypothetical package of financial instruments consisting of a fixed-income bond and
one or more derivative instruments. As a result, the factors that influence the values of
fixed-income bonds and derivative instruments will also influence the terms of the notes
at issuance and the value of the notes prior to maturity. Accordingly, the value of your
notes prior to maturity will fluctuate based on the level and volatility of the underlyings
and a number of other factors, including the price and volatility of the stocks that constitute
the underlyings, the correlation between the underlyings, dividend yields on
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the stocks that constitute the underlyings,
interest rates generally, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation between that exchange
rate and the level of the EURO STOXX 50® Index, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness,
as reflected in our secondary market rate. Changes in the levels of the underlyings may not result in a comparable change in the value
of your notes. You should understand that the value of your notes at any time prior to maturity may be significantly less than the issue
price. The stated payout from the issuer only applies if you hold the notes to maturity or earlier automatic call, as applicable.
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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 decline
to zero over the temporary adjustment period. See “Valuation of the Notes” in
this pricing supplement.
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The EURO STOXX 50®
Index is subject to risks associated with non-U.S. markets — Investments
in securities linked to the value of non-U.S. stocks involve risks associated with the securities
markets in those countries, including risks of volatility in those markets, governmental
intervention in those markets and cross-shareholdings in companies in certain countries.
Also, there is generally less publicly available information about companies in some of these
jurisdictions than about U.S. companies that are subject to the reporting requirements of
the SEC. Further, non-U.S. companies are generally subject to accounting, auditing and financial
reporting standards and requirements and securities trading rules that are different from
those applicable to U.S. reporting companies. The prices of securities in foreign markets
may be affected by political, economic, financial and social factors in those countries,
or global regions, including changes in government, economic and fiscal policies and currency
exchange laws. Moreover, the economies in such countries may differ favorably or unfavorably
from the economy of the United States in such respects as growth of gross national product,
rate of inflation, capital reinvestment, resources and self-sufficiency.
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The performance of the
EURO STOXX 50® Index will not be adjusted for changes in the exchange rate
between the euro and the U.S. dollar — The EURO STOXX 50® Index
is composed of stocks traded in euro, the value of which may be subject to a high degree
of fluctuation relative to the U.S. dollar. However, the performance of the EURO STOXX 50®
Index and the value of your notes will not be adjusted for exchange rate fluctuations.
If the euro appreciates relative to the U.S. dollar over the term of the notes, the performance
of the EURO STOXX 50® Index as measured for purposes of the notes will be
less than it would have been if it offered exposure to that appreciation in addition to the
change in the prices of the underlying stocks.
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Our offering of the notes
is not a recommendation of either underlying — The fact that we are offering the
notes does not mean that we believe that investing in an instrument linked to the least performing
underlying is likely to achieve favorable returns. In fact, as we are part of a global financial
institution, our affiliates may have positions (including short positions) in the stocks
that constitute the underlyings or in instruments related to the underlyings or the stocks
that constitute 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 levels of the underlyings in a way that has a negative impact
on your interests as a holder of the notes.
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Our affiliates, or UBS
or its affiliates, may publish research, express opinions or provide recommendations that
are inconsistent with investing in or holding the notes — Any such research, opinions
or recommendations could affect the closing levels of the underlyings and the value of the
notes. Our affiliates, and UBS and its affiliates, publish research from time to time on
financial markets and other matters that may influence the value of the notes, or express
opinions or provide recommendations that may be inconsistent with purchasing or holding the
notes. Any research, opinions or recommendations expressed by our affiliates or by UBS or
its affiliates may not be consistent with each other and may be modified from time to time
without notice. These and other activities of our affiliates or UBS or its affiliates may
adversely affect the levels of the underlyings and may have a negative impact on your interests
as a holder of the notes. Investors should make their own independent investigation of the
merits of investing in the notes and the underlyings to which the notes are linked.
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Trading and other transactions
by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets
may impair the value of the notes — We expect to hedge our exposure under the notes
through CGMI or other of our affiliates, who will likely enter into equity and/or equity
derivative transactions, such as over-the-counter options or exchange-traded instruments,
relating to the underlyings or the stocks included in the underlyings and may adjust such
positions during the term of the notes. It is possible that our affiliates could receive
substantial returns from these hedging activities while the value of the notes declines.
Our affiliates and UBS and its affiliates may also engage in trading in instruments linked
to the underlyings on a regular basis as part of their respective general broker-dealer and
other businesses, for proprietary accounts, for other accounts under management or to facilitate
transactions for customers, including block transactions. Such trading and hedging activities
may affect the levels of the underlyings and reduce the return on your investment in the
notes. Our affiliates or UBS or its affiliates may also issue or underwrite other securities
or financial or derivative instruments with returns linked or related to the underlyings.
By introducing competing products into the marketplace in this manner, our affiliates or
UBS or its affiliates could adversely affect the value of the notes. Any of the foregoing
activities described in this paragraph may reflect trading strategies that differ from, or
are in direct opposition to, investors’ trading and investment strategies relating
to the notes.
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Our affiliates, or UBS
or its affiliates, may have economic interests that are adverse to yours as a result of their
respective business activities — Our affiliates or UBS or its affiliates may currently
or from time to time engage in business with the issuers of the stocks that constitute the
underlyings, including extending loans to, making equity investments in or providing advisory
services to such issuers. In the course of this business, our affiliates or UBS or its affiliates
may acquire non-public information about those issuers, which they will not disclose to you.
Moreover, if any of our affiliates or UBS or any of its affiliates is or becomes a creditor
of any such issuer, they may exercise any remedies against that issuer that are available
to them without regard to your interests.
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The calculation agent,
which is an affiliate of ours, will make important determinations with respect to the notes
— If certain events occur, such as market disruption events or the discontinuance
of an underlying, CGMI, as calculation agent, will be required to make discretionary judgments
that could significantly affect the payments on the notes. Such judgments could include,
among other things:
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determining whether a
market disruption event has occurred with respect to an underlying;
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if a market disruption
event occurs on any valuation date with respect to an underlying, determining whether to
postpone the valuation date;
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determining the levels
of the underlyings if the levels of the underlyings are not otherwise available or a market
disruption event has occurred; and
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selecting a successor
underlying or performing an alternative calculation of the level of an underlying if an underlying
is discontinued or materially modified (see “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Index—Discontinuance or Material
Modification of an Underlying Index” in the accompanying product supplement).
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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 notes.
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Adjustments to either underlying
may affect the value of your notes — S&P Dow Jones Indices LLC, as publisher
of the S&P 500® Index or STOXX Limited, as publisher of the EURO STOXX
50® Index, may add, delete or substitute the stocks that constitute either
underlying or make other methodological changes that could affect the level of either underlying.
S&P Dow Jones Indices LLC or STOXX Limited may discontinue or suspend calculation or
publication of either underlying at any time without regard to your interests as holders
of the notes.
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The U.S. federal tax consequences
of an investment in the notes are unclear — There is no direct legal authority
regarding the proper U.S. federal tax treatment of the notes, 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 notes are uncertain, and the IRS or a court might not
agree with the treatment of the notes as described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment of the notes, the
tax consequences of the ownership and disposition of the notes 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 notes, possibly retroactively.
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Non-U.S. investors should note that persons
having withholding responsibility in respect of the notes 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 notes, 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 notes, as well as tax consequences arising under the
laws of any state, local or non-U.S. taxing jurisdiction.
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon automatic
call or at maturity for a $10.00 stated principal amount note with the following assumptions* (the actual terms of the notes will be
determined on the trade date; amounts may have been rounded for ease of reference):
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t
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Stated Principal Amount: $10
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t
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Term: 2 years, unless earlier
automatically called
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t
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Hypothetical Initial Underlying
Levels: For each Underlying, 100.00
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t
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Hypothetical Contingent Coupon
Rate: 8.00% per annum (or 2.00% per quarter)
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t
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Hypothetical Quarterly Contingent
Coupon Payment: $0.20 per quarter per note
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t
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Valuation Dates: Quarterly,
as set forth on page PS-6 of this pricing supplement
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t
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Hypothetical Coupon Barriers:
For each Underlying, 70.00 (which, with respect to each Underlying, is 70% of its hypothetical
initial underlying level)
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t
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Hypothetical Downside Thresholds:
For each Underlying, 70.00 (which, with respect to each Underlying, is 70% of its hypothetical
initial underlying level)
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*The hypothetical contingent coupon rate may not represent the actual
contingent coupon rate. The actual contingent coupon rate will be determined on the trade date. In addition, the examples below are based
on the above hypothetical values and do not reflect the actual initial underlying levels, coupon barriers or downside thresholds of the
underlyings. For the actual initial underlying level, coupon barrier and downside threshold 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 any actual payments on the securities will be calculated
based on the actual initial underlying level, coupon barrier and downside threshold of each underlying, and not on the hypothetical values
indicated below.
Example 1 — Notes are automatically called on the first valuation
date.
Date
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Closing Level of the Underlying
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Payment (per note)
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S&P 500® Index
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EURO STOXX 50® Index
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First Valuation Date
|
110.00 (at or above coupon barrier and initial underlying level)*
|
120.000 (at or above coupon barrier and initial underlying
level)
|
$10.20 (settlement amount)
|
|
|
Total Payment:
|
$10.20 (2.00% total return)
|
|
|
|
|
|
* Denotes least performing underlying for the applicable valuation
date
On the first valuation date, the least performing underlying closes
above its initial underlying level, and the notes are automatically called on the related coupon payment date. You will receive on the
coupon payment date a total of $10.20 per note, reflecting the $10.00 stated principal amount plus the applicable contingent coupon.
You would have been paid a total of $10.20 per note for a 2.00% total return on the notes. No further amount would be owed to you under
the notes, and you would not participate in the appreciation of the underlyings.
Example 2 — Notes are NOT automatically called and the final
underlying level of the least performing underlying on the final valuation date is at or above its downside threshold.
Date
|
Closing Level of the Underlying
|
Payment (per note)
|
S&P 500® Index
|
EURO STOXX 50® Index
|
First Valuation Date
|
90.00 (at or above coupon barrier but below initial underlying
level)
|
80.000 (at or above coupon barrier but below
initial underlying level)*
|
$0.20 (contingent coupon — not called)
|
Second Valuation Date
|
95.00 (at or above coupon barrier but below initial underlying
level)
|
85.000 (at or above coupon barrier but below
initial underlying level)*
|
$0.20 (contingent coupon — not called)
|
Third to Eleventh Valuation Dates
|
Various (all at or above coupon barrier; all below initial
underlying level)
|
Various (all below coupon barrier and initial underlying
level)*
|
$0.00 (not called)
|
Final Valuation Date
|
95.00 (at or above downside threshold)
|
90.000 (at or above downside threshold)*
|
$10.20
|
|
|
Total Payment:
|
$10.60 (6.00% total return)
|
|
|
|
|
|
* Denotes least performing underlying for the applicable valuation
date(s)
The least performing underlying on each of the first two valuation
dates closes above its coupon barrier on the first two valuation dates and therefore a contingent coupon is paid on each of the first
two coupon payment dates. On each of the third to eleventh valuation dates, the least performing underlying closes below its coupon barrier.
Therefore, no contingent coupon is paid on any related coupon payment date. On the final valuation date, the least performing underlying
on the final valuation date closes at or above its downside threshold. Therefore, at maturity, you would receive a total of $10.20 per
note, reflecting the $10.00 stated principal amount plus the applicable contingent coupon. When added to the total contingent
coupon payments of $0.40 received in respect of the prior valuation dates, you would have been paid a total of $10.60 per note for a
6.00% total return on the notes over three years.
Example 3 — Notes are NOT automatically called and the final
underlying level of the least performing underlying on the final valuation date is below its downside threshold.
Date
|
Closing Level of the Underlying
|
Payment (per note)
|
S&P 500® Index
|
EURO STOXX 50® Index
|
First Valuation Date
|
80.00 (at or above coupon barrier but below
initial underlying level)
|
50.000 (below coupon barrier and initial underlying
level)*
|
$0 (not called)
|
Second Valuation Date
|
50.00 (below coupon barrier and initial underlying level)*
|
80.000 (at or above coupon barrier but below initial underlying
level)
|
$0 (not called)
|
Third to Eleventh Valuation Dates
|
Various (all at or above coupon barrier; all below initial
underlying level)
|
Various (all below coupon barrier and initial underlying level)*
|
$0 (not called)
|
Final Valuation Date
|
80.00 (at or above downside threshold)
|
30.000 (below downside threshold)*
|
$10.00 × [1 + underlying return of
the least performing underlying on the final valuation date] =
$10.00 × [1 + -70.00%] =
$10.00 × 0.30 =
$3.00 (payment at maturity)
|
|
|
Total Payment:
|
$3.00 (-70.00% total return)
|
* Denotes least performing underlying for the applicable valuation
date(s)
The least performing underlying on each valuation date closes below
its coupon barrier, and as a result no contingent coupon is paid on any coupon payment date during the term of the notes. On the final
valuation date, the least performing underlying on the final valuation date closes below its downside threshold. Therefore, at maturity,
investors are exposed to the downside performance of the least performing underlying and you will receive $3.00 per note, which reflects
the percentage decrease of the least performing underlying on the final valuation date from the trade date to the final valuation date.
The
S&P 500® Index
The S&P 500® Index
consists of the common stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the
U.S. equity markets. It is calculated and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index
is reported by Bloomberg L.P. under the ticker symbol “SPX.”
“Standard & Poor’s,”
“S&P” and “S&P 500®” are trademarks of Standard & Poor’s Financial Services
LLC and have been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
S&P U.S. Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section
“Equity Index Descriptions—The S&P U.S. Indices—The S&P 500® Index” in the accompanying
underlying supplement for important disclosures regarding the S&P 500® Index.
The graph below illustrates the performance of the S&P 500®
Index from January 3, 2011 to December 7, 2021. The closing level of the S&P 500® Index on December 7, 2021
was 4,686.75. We obtained the closing levels of the S&P 500® Index from Bloomberg, and we have not participated in
the preparation of or verified such information. The historical closing levels of the S&P 500® Index should not be
taken as an indication of future performance and no assurance can be given as to the final underlying level or any future closing level
of the S&P 500® Index. We cannot give you assurance that the performance of the S&P 500® Index
will result in a positive return on your initial investment and you could lose a significant portion or all of the stated principal amount
at maturity.
The
EURO STOXX 50® Index
The EURO STOXX 50® Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX® Supersector Indices, which represent the Eurozone portion
of the STOXX Europe 600® Supersector Indices. The STOXX Europe 600® Supersector Indices contain the 600
largest stocks traded on the major exchanges of 18 European countries. It is calculated and maintained by STOXX Limited. The EURO STOXX
50® Index is reported by Bloomberg L.P. under the ticker symbol “SX5E.”
The “EURO STOXX 50® Index” is a trademark
of STOXX Limited and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
STOXX Benchmark Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
STOXX Benchmark Indices—The EURO STOXX 50® Index” in the accompanying underlying supplement for important
disclosures regarding the EURO STOXX 50® Index.
The graph below illustrates the performance of the EURO STOXX
50® Index from January 3, 2011 to December 7, 2021. The closing level of the EURO STOXX 50® Index on December
7, 2021 was 4,276.20. We obtained the closing levels of the EURO STOXX 50® Index from Bloomberg, and we have not participated
in the preparation of or verified such information. The historical closing levels of the EURO STOXX 50® Index should not
be taken as an indication of future performance and no assurance can be given as to the final underlying level or any future closing
level of the EURO STOXX 50® Index. We cannot give you assurance that the performance of the EURO STOXX 50®
Index will result in a positive return on your initial investment and you could lose a significant portion or all of the stated principal
amount at maturity.
Correlation of the Underlyings
|
The following graph sets forth the historical performances of the S&P
500® Index and the EURO STOXX 50® Index from January 3, 2011 to December 7, 2021, based on the daily closing
levels of the underlyings. For comparison purposes, each underlying has been normalized to have a closing level of 100.00 on January
3, 2011 by dividing the closing level of that underlying on each day by the closing level of that underlying on January 3, 2011 and multiplying
by 100.00.
We obtained the closing levels used to determine the normalized closing
levels set forth below from Bloomberg, without independent verification. Historical performance of the underlyings should not be taken
as an indication of future performance. Future performance of the underlyings may differ significantly from historical performance, and
no assurance can be given as to the closing levels of the underlyings during the term of the notes, including on any valuation date.
Moreover, any historical correlation between the underlyings is not indicative of the degree of correlation between the underlyings,
if any, over the term of the notes.
PAST PERFORMANCE AND CORRELATION BETWEEN
THE UNDERLYINGS IS NOT INDICATIVE OF FUTURE PERFORMANCE OR CORRELATION
Correlation is a measure of the extent to which two underlyings tend
to increase or decrease at similar times and by similar magnitudes over a given time period. The closer the relationship of the returns
of a pair of underlyings over a given period, the more correlated those underlyings are. Conversely, the less closely related the returns
of a pair of underlyings, the less correlated those underlyings are. Two underlyings may also be inversely correlated, which means that
they tend to move in opposite directions from one another. The graph above illustrates the historical performance of each underlying
relative to the other over the time period shown and provides an indication of how close the performance of each underlying has historically
been to the other underlying. However, the graph does not provide a precise measure of correlation and there may be relevant aspects
of the historical correlation between the underlyings that cannot be discerned from the graph. Furthermore, regardless of the degree
of correlation between the underlyings in the past, past correlation is not indicative of future correlation, and it is possible that
the underlyings will exhibit significantly lower correlation in the future than they did in the past. We cannot predict the relationship
between the underlyings over the term of the notes. For additional information, see “Summary Risk Factors—You will be subject
to risks relating to the relationship between the underlyings.”
The lower (or more negative) the correlation between the underlyings,
the less likely it is that the underlyings will move in the same direction at the same time and, therefore, the greater the potential
for one of the underlyings to close below its coupon barrier or downside threshold on any valuation date or the final valuation date,
respectively. This is because the less correlated the underlyings are, the greater the likelihood that at least one of the underlyings
will decrease in value. However, even if the underlyings have a higher correlation, one or both of the underlyings might close below
its coupon barrier or downside threshold on any valuation date or the final valuation date, respectively, as both of the underlyings
may decrease in value together.
The terms of the notes are set, in part, based on expectations about
the correlation between the underlyings as of the trade date. If expectations about the correlation between the underlyings change over
the term of the notes, the value of the notes may be adversely affected, and if the actual correlation between the underlyings proves
to be lower than initially expected, the notes may prove to be riskier than expected on the trade date. The correlation referenced in
setting the terms of the notes is calculated using CGMI’s proprietary derivative-pricing model and is not derived from the returns
of the underlyings over the period set forth in the graph above. In addition, factors and inputs other than correlation impact how the
terms of the notes are set and the performance of the notes.
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 notes. In connection with any information reporting requirements
we may have in respect of the notes under applicable law, we intend (in the absence of an administrative determination or judicial ruling
to the contrary) to treat the notes 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 notes 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 notes 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:
|
·
|
Any coupon payments on the notes 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.
|
|
·
|
Upon a sale or exchange
of a note (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 note. 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 note for more than
one year.
|
We do not plan to request a ruling from the IRS regarding the treatment
of the notes. An alternative characterization of the notes could materially and adversely affect the tax consequences of ownership and
disposition of the notes, 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 notes, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative tax
treatments of the notes and potential changes in applicable law.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the notes are uncertain, persons having withholding responsibility in respect of the notes 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 notes, 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 notes, 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 notes and representations provided by us as of the date of this preliminary pricing supplement, our
counsel is of the opinion that the notes 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 notes under Section 871(m) will be made as of the pricing date
for the notes, and it is possible that the notes will be subject to withholding tax under Section 871(m) based on the circumstances as
of that date.
A determination that the notes 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 notes.
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 notes.
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 notes 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
lead agent for the sale of the notes, will not receive an underwriting discount for any note sold in this offering. UBS, as agent for
sales of the notes, expects to purchase from CGMI, and CGMI expects to sell to UBS, all of the notes sold in this offering for $10.00
per note. UBS proposes to offer the notes to the public at a price of $10.00 per note. UBS will not receive any underwriting discount
for any note it sells in this offering. Investors that purchase and hold the notes in fee-based advisory accounts will pay advisory fees
to UBS based on the amount of assets held in those accounts. If all of the notes are not sold at the initial offering price, CGMI may
change the public offering price and other selling terms.
CGMI is an affiliate of ours. Accordingly, this offering will conform
with the requirements addressing conflicts of interest when distributing the notes of an affiliate set forth in Rule 5121 of the Financial
Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment discretion will not be permitted
to purchase the notes, either directly or indirectly, without the prior written consent of the client.
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.
A portion of the net proceeds from the sale of the notes will be used
to hedge our obligations under the notes. We expect to hedge our obligations under the notes through CGMI or other of our affiliates.
It is expected that CGMI or such other affiliates may profit from such expected hedging activity even if the value of the notes declines.
This hedging activity could affect the closing levels of the underlyings and, therefore, the value of and your return on the notes. For
additional information on the ways in which our counterparties may hedge our obligations under the notes, see “Use of Proceeds
and Hedging” in the accompanying prospectus.
Valuation
of the Notes
CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the notes,
which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying the
economic terms of the notes (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 notes 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 notes is a function of the terms of the
notes 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 notes will be on the trade date because certain terms of the notes have not yet been fixed and because
it is uncertain what the values of the inputs to CGMI’s proprietary pricing models will be on the trade date.
During a temporary adjustment period immediately following issuance
of the notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated
for the notes on any 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 notes. The amount of this temporary upward
adjustment will decline to zero over the temporary adjustment period.
CGMI currently expects that the temporary adjustment period will be approximately three months, but the actual length of the temporary
adjustment period may be shortened due to various factors, such as the volume of secondary market purchases of the notes and other factors
that cannot be predicted. However, CGMI is not obligated to buy the notes from investors at any time. See “Summary Risk Factors—The
notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
© 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
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