Citigroup – Kind 424B2 CITIGROUP INC
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The
data on this preliminary pricing complement isn’t full and may be modified. This preliminary pricing complement and
the accompanying product complement, underlying complement, prospectus complement and prospectus should not a proposal to promote these
securities, nor are they soliciting a proposal to purchase these securities, in any state the place the supply or sale isn’t permitted.
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Topic Filed Registration |
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Citigroup World Markets Holdings $ Buffered S&P 500® All Funds Due from Citigroup World Absolutely and Unconditionally Assured by Citigroup Inc. |
In contrast to typical debt securities,
the notes supplied by this pricing complement don’t pay curiosity and don’t repay a hard and fast quantity of principal at maturity.
The quantity that you may be paid in your notes on the maturity date (anticipated to be the second enterprise day after the scheduled
willpower date) relies on the efficiency of the S&P 500® Index (the “underlier”) as measured
from the commerce date to and together with the willpower date (anticipated to be between 27 and 30 months after the commerce date). If
the ultimate underlier degree on the willpower date is bigger than the preliminary underlier degree (set on the commerce date and may
be greater or decrease than the precise closing degree of the underlier on the commerce date), the return in your notes will probably be optimistic,
topic to the utmost settlement quantity (set on the commerce date and anticipated to be between $1,207.74 and $1,244.40 for every $1,000
said principal quantity of your notes). If the ultimate underlier degree declines from the preliminary underlier degree by as much as a buffer
quantity of 15.00%, you’ll obtain the said principal quantity of your notes. Nonetheless, if the ultimate underlier degree declines
from the preliminary underlier degree by greater than the 15.00% buffer quantity, the return in your notes will probably be damaging and you’ll
lose roughly 1.1765% of the said principal quantity of your notes for each 1% by which that decline exceeds the 15.00%
buffer quantity. You may lose your whole funding within the notes. In exchange for the upside participation and restricted buffer
options of the notes, you should be keen to forgo (i) any return in extra of the utmost return at maturity of 20.774% to 24.440%
(set on the commerce date and outcomes from the utmost settlement quantity), (ii) any dividends paid on the stocks included within the
underlier and (iii) curiosity on the notes.
To find out your cost at maturity,
we’ll calculate the underlier return, which is the proportion improve or lower within the degree of the underlier from the preliminary
underlier degree (set on the commerce date) to the ultimate underlier degree on the willpower date. On the maturity date, for every
$1,000 said principal quantity observe you then maintain, you’ll obtain an quantity in cash equal to:
| · | if the underlier return is optimistic (the ultimate underlier degree is higher than the preliminary underlier degree), the sum of (i) $1,000 plus (ii) the product of (a) $1,000 instances (b) the upside participation charge of 130% instances (c) the underlier return, topic to the utmost settlement quantity; |
| · | if the underlier return is zero or damaging however not beneath -15.00% (the ultimate underlier degree is equal to or lower than the preliminary underlier degree however not by greater than 15.00%), $1,000; or |
| · | if the underlier return is damaging and is beneath -15.00% (the ultimate underlier degree is lower than the preliminary underlier degree by greater than 15.00%), the sum of (i) $1,000 plus (ii) the product of (a) roughly 1.1765 instances (b) the sum of the underlier return plus 15.00% instances (c) $1,000. This quantity will probably be lower than $1,000 and may be zero. |
The notes are unsecured senior debt securities
issued by Citigroup World Markets Holdings Inc. and assured by Citigroup Inc. All funds on the notes are topic to the
credit score threat of Citigroup World Markets Holdings Inc. and Citigroup Inc. If Citigroup World Markets Holdings Inc. and Citigroup
Inc. default on their obligations, you may not obtain any quantity due beneath the notes. The notes is not going to be listed on any securities
exchange and may have restricted or no liquidity.
Investing within the notes includes dangers
not related to an funding in typical debt securities. See “Summary Risk Factors” starting on web page PS-9.
| Situation price(1) | Underwriting Low cost(2) | Internet Proceeds to Issuer | |
| Per Observe: | $1,000.00 | – | $1,000.00 |
| Whole: | $ | – | $ |
(1)
Citigroup World Markets Holdings Inc. at the moment expects that the estimated value of the notes on the commerce date will probably be between
$977.00 and $997.00 per observe, which will probably be lower than the difficulty price. The estimated value of the notes relies on proprietary
pricing models of Citigroup World Markets Inc. (“CGMI”) and our inside funding charge. It isn’t a sign of
precise revenue to CGMI or different of our associates, neither is it a sign of the price, if any, at which CGMI or another individual
may be keen to purchase the notes from you at any time after issuance. See “Valuation of the Notes” on this pricing
complement.
(2) CGMI,
an affiliate of the issuer, is the underwriter for the providing of the notes and is appearing as principal. For extra data
on the distribution of the notes, see “Summary Information—Key Terms—Supplemental Plan of Distribution”
on this pricing complement. CGMI and its associates may revenue from anticipated hedging exercise associated to this providing, even when
the value of the notes declines. See “Use of Proceeds and Hedging” within the accompanying prospectus.
Neither the Securities and Alternate
Fee nor any state securities fee has permitted or disapproved of the notes or decided that this pricing complement
and the accompanying product complement, underlying complement, prospectus complement and prospectus are truthful or full.
Any illustration on the contrary is a legal offense.
The notes should not bank deposits
and should not insured or assured by the Federal Deposit Insurance coverage Company or another governmental company, nor are they
obligations of, or assured by, a bank.
The notes are a part of the Medium-Time period
Senior Notes, Sequence N of Citigroup World Markets Holdings Inc. This pricing complement is a complement to the paperwork listed
beneath and ought to be learn along with such paperwork, which can be found on the following hyperlinks:
Citigroup World Markets Inc.
Pricing Complement No. 2020—USNCH6178
dated———-, 2020
The problem
price, underwriting low cost and web proceeds listed above relate to the notes we promote initially. We may determine to promote further
notes after the date of this pricing complement, at challenge costs and with underwriting reductions and web proceeds that differ
from the quantities set forth above. The return (whether or not optimistic or damaging) in your funding in notes will rely partly on
the difficulty price you pay for such notes.
CGMI may use
this pricing complement within the preliminary sale of the notes. As well as, CGMI or another affiliate of Citigroup Inc. may use this
pricing complement in a market-making transaction in a observe after its preliminary sale.
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Buffered S&P 500® Index-Linked Notes due |
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· For · In · Traders |
| DETERMINING THE CASH SETTLEMENT AMOUNT |
|
At maturity, for every · If · If · If If the ultimate underlier degree declines |
| Issuer: | Citigroup World Markets Holdings Inc., a completely owned subsidiary of Citigroup Inc. |
| Assure: | All funds due on the notes are totally and unconditionally assured by Citigroup Inc. |
| Underlier: | The S&P 500® Index (ticker image: “SPX”) |
| Acknowledged Principal Quantity: | $———-within the mixture; every observe can have a said principal quantity equal to $1,000 |
| Commerce Date: | |
| Settlement Date: | Anticipated to be the fifth scheduled enterprise day following the commerce date. See “Supplemental plan of distribution” on web page PS-Four on this pricing complement for added data. |
| Dedication Date: | To be set on the commerce date and anticipated to be between 27 and 30 months after the commerce date. The willpower date is topic to postponement if such date isn’t a scheduled buying and selling day or if sure market disruption occasions happen |
| Maturity Date: | To be set on the commerce date and anticipated to be the second enterprise day after the scheduled willpower date |
| Preliminary Underlier Degree: | To be set on the commerce date and may be an intraday degree which may be greater or decrease than the precise closing degree of the underlier on the commerce date |
| Last Underlier Degree: | The closing degree of the underlier on the willpower date |
| Underlier Return: | The quotient of (i) the ultimate underlier degree minus the preliminary underlier degree divided by (ii) the preliminary underlier degree, expressed as a optimistic or damaging share |
| Upside Participation Fee: | 130.00% |
| Buffer Degree: | 85.00% of the preliminary underlier degree (equal to a -15.00% underlier return) |
| Buffer Quantity: | 15.00% |
| Buffer Fee: | The quotient of the preliminary underlier degree divided by the buffer degree, which equals roughly 117.65% |
| Most Settlement Quantity: | To be set on the commerce date and anticipated to be between $1,207.74 and $1,244.40 per $1,000 said principal quantity observe |
| Cap Degree: | To be set on the commerce date and anticipated to be between 115.98% and 118.80% of the preliminary underlier degree |
| CUSIP/ISIN: | 17328Y7J7 / US17328Y7J74 |
| HYPOTHETICAL PAYMENT AT MATURITY* |
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|
Hypothetical Last Underlier Degree (as % of Preliminary Underlier Degree) |
Hypothetical Cash Settlement Quantity (as % of Acknowledged Principal Quantity) |
| 200.000% | 120.774% |
| 175.000% | 120.774% |
| 150.000% | 120.774% |
| 115.980% | 120.774% |
| 105.000% | 106.500% |
| 100.000% | 100.000% |
| 95.000% | 100.000% |
| 85.000% | 100.000% |
| 75.000% | 88.235% |
| 50.000% | 58.824% |
| 25.000% | 29.412% |
| 0.000% | 0.000% |
*assumes
the cap degree is ready on the backside of the cap degree vary of between 115.98% and 118.80% of the preliminary underlier degree
Please
learn the part titled “Summary Risk Factors” on this pricing complement in addition to the extra detailed description
of dangers regarding an funding within the notes contained within the part “Risk Factors Relating to the Securities”
starting on web page EA-7 within the accompanying product complement. You also needs to rigorously learn the danger components included within the
accompanying prospectus complement and within the paperwork integrated by reference within the accompanying prospectus, together with Citigroup
Inc.’s most up-to-date Annual Report on Kind 10-Ok and any subsequent Quarterly Stories on Kind 10-Q, which describe dangers relating
to the enterprise of Citigroup Inc. extra typically.
SUMMARY INFORMATION
| The phrases of the notes are set forth within the accompanying product complement, prospectus complement and prospectus, as supplemented by this pricing complement. The accompanying product complement, prospectus complement and prospectus comprise necessary disclosures that aren’t repeated on this pricing complement. For instance, sure occasions may happen that might have an effect on your cost at maturity, comparable to market disruption occasions and different occasions affecting the underlier. These occasions and their penalties are described within the accompanying product complement within 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 never on this pricing complement. The accompanying underlying complement incorporates necessary disclosures concerning the underlier that aren’t repeated on this pricing complement. It will be important that you simply learn the accompanying product complement, underlying complement, prospectus complement and prospectus along with this pricing complement earlier than deciding whether or not to put money into the notes. Sure phrases used however not outlined on this pricing complement are outlined within the accompanying product complement. References to “securities” within the accompanying product complement embrace the notes. |
Key Phrases
Issuer: Citigroup World Markets Holdings Inc., a completely
owned subsidiary of Citigroup Inc.
Assure: all funds due on the notes are totally and
unconditionally assured by Citigroup Inc.
Underlier: the S&P 500® Index (ticker
image: “SPX”), as maintained by S&P Dow Jones Indices LLC (the “underlier sponsor”). The underlier
is known as the “underlying index” and the underlier sponsor is known as the “underlying index publisher”
within the accompanying product complement.
Acknowledged principal quantity: every observe can have a said
principal quantity of $1,000
Buy at quantity apart from the said principal quantity:
the quantity we pays you on the said maturity date in your notes is not going to be adjusted based mostly on the difficulty price you pay for
your notes, so in case you purchase notes at a premium (or low cost) to the said principal quantity and maintain them to the said maturity
date, it might have an effect on your funding in numerous methods. The return in your funding in such notes will probably be decrease (or greater)
than it will have been had you bought the notes on the said principal quantity. Additionally, the said buffer degree wouldn’t supply
the identical measure of safety to your funding as could be the case in case you had bought the notes on the said principal quantity.
Moreover, the cap degree could be triggered at a decrease (or greater) share return than indicated beneath, relative to your
preliminary funding. See “Abstract Danger Elements — If You Buy Your Notes at a Premium to the Acknowledged Principal Quantity,
the Return on Your Funding Will Be Decrease Than the Return on Notes Bought on the Acknowledged Principal Quantity and the Affect of
Sure Key Phrases of the Notes Will probably be Negatively Affected” on web page PS-12 of this pricing complement
Cash settlement quantity (paid on the maturity date): on
the maturity date, for every $1,000 said principal quantity of notes you then maintain, we pays you an quantity in cash equal to:
| · | if the ultimate underlier degree is higher than or equal to the cap degree, the utmost settlement quantity; |
| · | if the ultimate underlier degree is higher than the preliminary underlier degree however lower than the cap degree, the sum of (i) $1,000 plus (ii) the product of (a) $1,000 instances (b) the upside participation charge instances (c) the underlier return; |
| · | if the ultimate underlier degree is equal to or lower than the preliminary underlier degree however higher than or equal to the buffer degree, $1,000; or |
| · | if the ultimate underlier degree is lower than the buffer degree, the sum of (i) $1,000 plus (ii) the product of (a) the buffer charge instances (b) the sum of the underlier return plus the buffer quantity instances (c) $1,000 |
Preliminary underlier degree (to be set on the commerce date, which
may be an intraday degree and which may be greater or decrease than the precise closing degree of the underlier on the commerce date):
Last underlier degree: the closing degree of the underlier
on the willpower date, besides within the restricted circumstances described beneath “Description of the Securities — Sure
Extra Phrases for Securities Linked to an Underlying Index — Discontinuance or Materials Modification of an Underlying
Index” on web page EA-39 of the accompanying product complement and topic to adjustment as offered beneath “Description
of the Securities — Sure Extra Phrases for Securities Linked to an Underlying Index — Figuring out the Closing
Degree” on web page EA-36 of the accompanying product complement and “Description of the Securities — Penalties
of a Market Disruption Occasion; Postponement of a Valuation Date” on pages EA-21 and EA-22 of the accompanying product complement.
Underlier return: the quotient of (i) the ultimate underlier
degree minus the preliminary underlier degree divided by (ii) the preliminary underlier degree, expressed as a optimistic or damaging share
Upside participation charge: 130.00%
Cap degree (to be set on the commerce date): anticipated to be
between 115.98% and 118.80% of the preliminary underlier degree
Most settlement quantity (to be set on the commerce date):
anticipated to be between $1,207.74 and $1,244.40 per $1,000 said principal quantity observe
Buffer degree: 85.00% of the preliminary underlier degree
Buffer quantity: 15.00%
Buffer charge: the quotient of the preliminary underlier
degree divided by the buffer degree, which equals roughly 117.65%
Commerce date:———-.
The commerce date is known as the “pricing date” within the accompanying product complement.
Unique challenge date (settlement date) (to be set on the commerce
date): anticipated to be the fifth scheduled enterprise day following the commerce date. See “Supplemental plan of distribution”
beneath for added data.
Dedication date (to be set on the commerce date): anticipated
to be between 27 and 30 months after the commerce date. The willpower date is known as the “valuation date”
within the accompanying product complement and is topic to postponement if such date isn’t a scheduled buying and selling day or if sure
market disruption occasions happen, as described beneath “Description of the Securities — Penalties of a Market Disruption
Occasion; Postponement of a Valuation Date” on pages EA-21 and EA-22 of the accompanying product complement.
Maturity date (to be set on the commerce date): anticipated
to be the second enterprise day after the scheduled willpower date
No curiosity: the notes is not going to bear curiosity
No itemizing: the notes is not going to be listed on any securities
exchange or interdealer citation system
No redemption: the notes is not going to be topic to redemption
earlier than maturity
Enterprise day: as described beneath “Description of
the Securities — General” on web page EA-20 within the accompanying product complement.
Scheduled buying and selling day: as described beneath “Description
of the Securities — Sure Extra Phrases for Securities Linked to an Underlying Index — Definitions of Market Disruption
Occasion and Scheduled Buying and selling Day and Associated Definitions” on web page EA-37 of the accompanying product complement.
Supplemental plan of distribution: Citigroup World Markets
Holdings Inc. expects to promote to CGMI, and CGMI expects to buy from Citigroup World Markets Holdings Inc., the mixture
said principal quantity of the supplied notes specified on the entrance cowl of this pricing complement. CGMI proposes initially to
supply the notes to the general public and to sure unaffiliated securities sellers on the challenge price set forth on the quilt web page of
this pricing complement. CGMI and its associates may revenue from anticipated hedging exercise associated to this providing, even when the
value of the notes declines. See “Use of Proceeds and Hedging” within the accompanying prospectus.
CGMI is an affiliate of ours. Accordingly, this providing will
conform with the necessities addressing conflicts of curiosity when distributing the securities of an affiliate set forth in Rule
5121 of the Monetary Trade Regulatory Authority. Shopper accounts over which Citigroup Inc. or its subsidiaries have funding
discretion is not going to be permitted to buy the notes, both straight or not directly, with out the prior written consent of the
shopper.
Secondary market gross sales of securities usually settle two enterprise
days after the date on which the events comply with the sale. As a result of the settlement date for the notes is greater than two enterprise
days after the commerce date, buyers who want to promote the notes at any time previous to the second enterprise day previous the unique
challenge date will probably be required to specify an alternate settlement date for the secondary market sale to stop a failed settlement.
Traders ought to seek the advice of their very own funding advisors on this regard.
See “Plan of Distribution; Conflicts of Interest”
within the accompanying product complement and “Plan of Distribution” in every of the accompanying prospectus complement
and prospectus for added data.
A portion of the web proceeds from the sale of the notes will
be used to hedge our obligations beneath the notes. We anticipate to hedge our obligations beneath the notes by CGMI or different of our
associates, or by a supplier collaborating on this providing or its associates. CGMI or such different of our associates or such
supplier or its associates may revenue from this anticipated hedging exercise even when the value of the notes declines. This hedging exercise
might have an effect on the closing degree of the underlier and, due to this fact, the value of and your return on the notes. For added data
on the methods wherein our counterparties may hedge our obligations beneath the notes, see “Use of Proceeds and Hedging”
within the accompanying prospectus.
Prohibition of Gross sales to EEA Retail Traders
The notes may not be supplied, offered or in any other case made accessible
to any retail investor within the European Financial Space. For the needs of this provision:
| (a) | the expression “retail investor” means an individual who’s one (or extra) of the next: |
| (i) | a retail shopper as outlined in level (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or |
| (ii) | a buyer inside the that means of Directive 2002/92/EC, the place that buyer wouldn’t qualify as knowledgeable shopper as outlined in level (10) of Article 4(1) of MiFID II; or |
| (iii) | not a professional investor as outlined in Directive 2003/71/EC; and |
| (b) | the expression “offer” contains the communication in any type and by any technique of adequate data on the phrases of the supply and the notes supplied in order to allow an investor to determine to buy or subscribe the notes. |
ERISA: as described beneath “Profit Plan Investor
Concerns” on pages EA-52 and EA-53 within the accompanying product complement.
Calculation Agent: CGMI
CUSIP: 17328Y7J7
ISIN: US17328Y7J74
Prospectus: The primary sentence of
“Description of Debt Securities— Events of Default and Defaults” within the accompanying prospectus shall be amended
to learn in its entirety as follows:
Occasions of default beneath the indenture are:
| • | failure of Citigroup World Markets Holdings or Citigroup to pay required curiosity on any debt safety of such collection for 30 days; | ||
| • | failure of Citigroup World Markets Holdings or Citigroup to pay principal, apart from a scheduled installment cost to a sinking fund, on any debt safety of such collection for 30 days; | ||
| • | failure of Citigroup World Markets Holdings or Citigroup to make any required scheduled installment cost to a sinking fund for 30 days on debt securities of such collection; | ||
| • | failure of Citigroup World Markets Holdings to carry out for 90 days after discover another covenant within the indenture relevant to it apart from a covenant included within the indenture solely for the advantage of a collection of debt securities apart from such collection; and | ||
| • | sure occasions of chapter or insolvency of Citigroup World Markets Holdings, whether or not voluntary or not (Part 6.01). |
HYPOTHETICAL EXAMPLES
The desk and chart beneath are offered for functions of illustration
solely. They shouldn’t be taken as a sign or prediction of future funding outcomes and are meant merely for instance
the impression that numerous hypothetical underlier ranges on the willpower date might have on the cash settlement quantity at maturity.
The desk and chart beneath are based mostly on a variety of ultimate underlier
ranges which might be solely hypothetical; nobody can predict what the underlier degree will probably be on any day all through the lifetime of your
notes, and nobody can predict what the ultimate underlier degree will probably be on the willpower date. The underlier has been extremely risky
previously — that means that the underlier degree has modified significantly in comparatively brief intervals — and its efficiency
can’t be predicted for any future interval. Traders within the notes is not going to obtain any dividends on the stocks that represent
the underlier. The desk and chart beneath don’t present any impact of misplaced dividend yield over the time period of the notes. See “Abstract
Danger Elements—Investing within the Notes Is Not Equal to Investing within the Underlier or the Stocks that Represent the Underlier”
beneath.
The knowledge within the desk and chart beneath displays hypothetical
returns on the notes assuming that they’re bought on the unique challenge date on the said principal quantity and held to the
maturity date. In the event you promote your notes in a secondary market previous to the maturity date, your return will depend on the value
of your notes on the time of sale, which may be affected by numerous components that aren’t mirrored within the desk or, chart beneath
comparable to rates of interest, the volatility of the underlier and our and Citigroup Inc.’s creditworthiness. Please learn “Abstract
Danger Elements—The Worth of the Notes Previous to Maturity Will Fluctuate Primarily based on Many Unpredictable Elements” on this pricing
complement. It’s probably that any secondary market price for the notes will probably be lower than the difficulty price.
The knowledge within the desk and chart additionally displays the important thing
phrases and assumptions within the field beneath.
| Key Phrases and Assumptions | |
| Acknowledged principal quantity | $1,000 |
| Cap degree | 115.98% of the preliminary underlier degree |
| Most settlement quantity | $1,207.74 per $1,000 said principal quantity observe |
| Buffer degree | 85.00% of the preliminary underlier degree |
| Buffer charge | Roughly 117.65% |
| Buffer quantity | 15.00% |
|
Neither a market disruption occasion nor a non-scheduled buying and selling
No change in or affecting any of the stocks comprising the underlier
Notes bought on authentic challenge date on the said |
|
Furthermore, we have now not but set the preliminary underlier degree that
will function the baseline for figuring out the underlier return and the quantity that we’ll pay in your notes, if any, at maturity.
We is not going to achieve this till the commerce date. Because of this, the precise preliminary underlier degree may differ considerably from the underlier
degree previous to the commerce date and may be greater or decrease than the closing degree of the underlier on the commerce date.
For these causes, the precise efficiency of the underlier over
the lifetime of your notes, in addition to the quantity payable at maturity, if any, may bear little relation to the hypothetical examples
proven beneath or to the historic underlier ranges proven elsewhere on this pricing complement. For details about the historic
ranges of the underlier throughout current intervals, see “The Underlier — Historical Closing Levels of the Underlier”
beneath. Earlier than investing within the supplied notes, it is best to seek the advice of publicly accessible data to find out the degrees of the
underlier between the date of this pricing complement and the date of your buy of the supplied notes.
The degrees within the left column of the desk beneath signify hypothetical
closing underlier ranges and are expressed as percentages of the preliminary underlier degree. The quantities in the correct column signify
the hypothetical cash settlement quantities, based mostly on the corresponding hypothetical closing underlier degree (expressed as a share
of the preliminary underlier degree), and are expressed as percentages of the said principal quantity of a observe (rounded to the closest
one-thousandth of a p.c). Thus, a hypothetical cash settlement quantity of 100.000% signifies that the value of the cash cost
that we might ship for every $1,000 of the excellent said principal quantity of the notes on the maturity date would equal
100.000% of the said principal quantity of a observe, based mostly on the corresponding hypothetical closing underlier degree (expressed as
a share of the preliminary underlier degree) and the assumptions famous above.
| Hypothetical Last Underlier Degree (as Share of Preliminary Underlier Degree) | Hypothetical Cash Settlement Quantity (as Share of Acknowledged Principal Quantity) |
| 200.000% | 120.774% |
| 175.000% | 120.774% |
| 150.000% | 120.774% |
| 115.980% | 120.774% |
| 105.000% | 106.500% |
| 100.000% | 100.000% |
| 95.000% | 100.000% |
| 85.000% | 100.000% |
| 75.000% | 88.235% |
| 50.000% | 58.824% |
| 25.000% | 29.412% |
| 0.000% | 0.000% |
If, for instance, the ultimate underlier degree had been decided to
be 25.000% of the preliminary underlier degree, the cash settlement quantity that we might ship in your notes at maturity could be
roughly 29.412% of the said principal quantity of your notes, as proven within the desk above. Because of this, in case you bought
your notes on the unique challenge date on the said principal quantity and held them to the maturity date, you’ll lose roughly
70.588% of your funding. As well as, if the ultimate underlier degree had been decided to be 150.000% of the preliminary underlier degree,
the cash settlement quantity that we might ship in your notes at maturity could be capped on the most settlement quantity (expressed
as a share of the said principal quantity), or 120.774% of every $1,000 said principal quantity of your notes, as proven in
the desk above. Because of this, you wouldn’t profit from any improve within the closing underlier degree over 115.980% of the preliminary
underlier degree.
The desk above demonstrates the diminishing good thing about the buffer
function of the notes the decrease the ultimate underlier degree. For instance, if the ultimate underlier degree had been decided to be 75.000%
of the preliminary underlier degree, the cash settlement quantity that we might ship in your notes at maturity could be roughly
88.235% of the said principal quantity of your notes, leading to an efficient buffer (i.e., the distinction between the underlier
return and your return on the notes) of roughly 13.235%. Nonetheless, if the ultimate underlier degree had been decided to be 50.000%
of the preliminary underlier degree, the cash settlement quantity that we might ship in your notes at maturity could be roughly
58.824% of the said principal quantity of your notes, leading to an efficient buffer of solely roughly 8.824%. The decrease
the ultimate underlier degree, the decrease the efficient buffer offered by the notes will probably be.
The next chart additionally reveals a graphical illustration of the
hypothetical cash settlement quantities that we might pay in your notes on the maturity date, if the ultimate underlier degree (expressed
as a share of the preliminary underlier degree) had been any of the hypothetical ranges proven on the horizontal axis. The chart reveals
that any hypothetical closing underlier degree (expressed as a share of the preliminary underlier degree) of lower than 85.000% (the
part left of the 85.000% marker on the horizontal axis) would end in a hypothetical cash settlement quantity of lower than 100.000%
of the said principal quantity of your notes (the part beneath the 100.000% marker on the vertical axis) and, accordingly, in
a lack of principal to the holder of the notes. The chart additionally reveals that any hypothetical closing underlier degree (expressed as
a share of the preliminary underlier degree) of higher than or equal to 115.980% (the part proper of the 115.980% marker on
the horizontal axis) would end in a capped return in your funding.
The cash settlement quantities proven above are solely hypothetical;
they’re based mostly on ranges of the underlier that may not be achieved on the willpower date. The precise cash settlement quantity
you obtain on the maturity date may bear little relation to the hypothetical cash settlement quantities proven above, and these quantities
shouldn’t be seen as a sign of the monetary return on an funding within the notes. The precise market value of your notes
on the said maturity date or at another time, together with any time you may want to promote your notes, may bear little relation
to the hypothetical cash settlement quantities proven above, and these quantities shouldn’t be seen as a sign of the monetary
return on an funding within the supplied notes. The hypothetical cash settlement quantities on notes held to the said maturity date
within the examples above assume you bought your notes at their said principal quantity and haven’t been adjusted to mirror the
precise challenge price you pay in your notes. The return in your funding (whether or not optimistic or damaging) in your notes will probably be affected
by the quantity you pay in your notes. If you are going to buy your notes for a price apart from the said principal quantity, the return
in your funding will differ from, and may be considerably decrease than, the hypothetical returns urged by the above examples.
Please learn “Abstract Danger Elements — The Worth of the Notes Previous to Maturity Will Fluctuate Primarily based on Many Unpredictable
Elements” starting on web page PS-11 of this pricing complement.
| We can’t predict the precise closing underlier degree or what the value of your notes will probably be on any specific day, nor can we predict the connection between the underlier degree and the value of your notes at any time previous to the maturity date. The precise quantity that you’ll obtain, if any, at maturity and the return on the notes will rely upon the precise preliminary underlier degree, the cap degree and the utmost settlement quantity, which we’ll set on the commerce date, and the precise closing underlier degree decided by the calculation agent as described above. Furthermore, the assumptions on which the hypothetical returns are based mostly may develop into inaccurate. Consequently, the quantity of cash to be paid in respect of your notes, if any, on the maturity date may be very totally different from the knowledge mirrored within the desk and chart above. |
SUMMARY RISK FACTORS
|
An funding within the notes is considerably riskier The next is a abstract of sure key threat |
You May Lose Some or All of Your Funding
In contrast to typical debt securities, the notes don’t repay a
fastened quantity of principal at maturity. As an alternative, your cost at maturity will rely upon the efficiency of the underlier. If the
underlier depreciates by greater than the buffer quantity, you’ll obtain lower than the said principal quantity of your notes at maturity.
It’s best to perceive that any depreciation of the underlier past the buffer quantity will end in a lack of greater than 1% of
the said principal quantity for every 1% by which the depreciation exceeds the buffer quantity, which is able to progressively offset any
safety that the buffer quantity would supply. Accordingly, the decrease the ultimate underlier degree, the much less profit you’ll obtain
from the buffer. There is no such thing as a minimal cost at maturity, and also you may lose as much as your whole funding.
The Preliminary Underlier Degree Will Be
Decided on the Discretion of CGMI, because the Calculation Agent
The preliminary underlier degree may be an intraday degree of the underlier
on the commerce date, as decided by the calculation agent in its sole discretion, and may not be based mostly on the closing degree of
the underlier on such commerce date. The preliminary underlier degree may be greater or decrease than the precise closing degree of the underlier
on the commerce date. Though the calculation agent will decide the preliminary underlier degree in good religion, the discretion exercised
by the calculation agent in figuring out the preliminary underlier degree might have an effect (optimistic or damaging) on the value of
your notes. The calculation agent is beneath no obligation to think about your pursuits as a holder of the notes in taking any actions
that may have an effect on the value of your notes, together with the willpower of the preliminary underlier degree.
The Notes Do Not Pay Curiosity
In contrast to typical debt securities, the notes don’t pay curiosity
or another quantities previous to maturity. You shouldn’t put money into the notes in case you search present earnings throughout the time period of the notes.
Your Potential Return On the Notes Is
Restricted
Your potential complete return on the notes at maturity is proscribed
by the utmost settlement quantity. Any improve within the closing underlier degree over the cap degree is not going to improve your return on
the notes and can progressively cut back the efficient diploma of your participation within the appreciation of the underlier.
The Dedication Date of the Notes Is
a Pricing Time period and Will Be Decided by the Issuer on the Commerce Date
We is not going to decide the willpower date till the
commerce date, so you’ll not know the precise time period of, or the maturity date for, the notes on the time that you simply make your funding
determination. The time period of the notes could possibly be as brief because the shorter finish of the willpower date vary described on PS-4, and as
lengthy because the longer finish of the willpower date vary. You have to be keen to carry your notes till the most recent potential maturity
date contemplated by the willpower date vary. The willpower date chosen by us might have an effect on the value of the
notes. Assuming no modifications in different financial phrases of the notes, the value of the notes would probably be decrease if the time period of the
notes is on the longer finish of the willpower date vary, slightly than the shorter finish of the willpower date vary.
Investing within the Notes Is Not Equal
to Investing within the Underlier or the Stocks that Represent the Underlier
You’ll not have voting rights, rights to obtain dividends
or different distributions or another rights with respect to the stocks that represent the underlier. As of December 16, 2020, the
common dividend yield of the stocks that represent the underlier was roughly 1.636%
per 12 months. Whereas it’s unattainable to know the long run dividend yield of the stocks that represent the underlier, if this
common dividend yield had been to stay fixed for the time period of the notes, you’ll be forgoing an mixture yield of roughly
4.09% (assuming no reinvestment of dividends and assuming the willpower date is ready on the most distant date within the vary set
forth on the quilt web page) by investing within the notes as an alternative of investing straight within the stocks that represent the underlier or
in one other funding linked to the underlier that gives for a pass-through of dividends. The cost situations described in
this pricing complement don’t present any impact of misplaced dividend yield over the time period of the notes.
Your Fee at Maturity Depends upon
the Closing Degree of the Underlier on a Single Day
As a result of your cost at maturity relies on the closing degree
of the underlier solely on the willpower date, you’re topic to the danger that the closing degree of the underlier on that
day may be decrease, and presumably considerably decrease, than on a number of different dates throughout the time period of the notes. In the event you had invested
in one other instrument linked to the underlier that you can promote for full value at a time chosen by you, or if the cost at
maturity had been based mostly on a mean of closing ranges of the underlier, you may need achieved higher returns.
The Notes Are Topic to the Credit score
Danger of Citigroup World Markets Holdings Inc. and Citigroup Inc.
If we default on our obligations beneath the notes and Citigroup
Inc. defaults on its assure obligations, you may not obtain something owed to you beneath the notes.
The Notes Will Not Be Listed on Any
Securities Alternate and You May Not Be In a position to Promote Them Previous to Maturity
The notes is not going to be listed on any securities exchange. Subsequently,
there may be little or no secondary marketplace for the notes. CGMI at the moment intends to make a secondary market in relation to the
notes and to offer an indicative bid price for the notes each day. Any indicative bid price for the notes offered by
CGMI will probably be decided in CGMI’s sole discretion, taking into consideration prevailing market situations and different related components,
and won’t be a illustration by CGMI that the notes may be offered at that price, or in any respect. CGMI may droop or terminate making
a market and offering indicative bid costs with out discover, at any time and for any cause. If CGMI suspends or terminates making
a market, there may be no secondary market in any respect for the notes as a result of it’s probably that CGMI would be the solely broker-dealer that
is keen to purchase your notes previous to maturity. Accordingly, an investor should be ready to carry the notes till maturity.
The Estimated Worth of the Notes on
the Commerce Date, Primarily based on CGMI’s Proprietary Pricing Models and Our Inner Funding Fee, Will Be Lower than the Situation price
The distinction is attributable to sure prices related to
promoting, structuring and hedging the notes which might be included within the challenge price. These prices embrace (i) hedging and different prices
incurred by us and our associates in reference to the providing of the notes and (ii) the anticipated revenue (which may be extra
or lower than precise revenue) to CGMI or different of our associates in reference to hedging our obligations beneath the notes. These
prices additionally embrace a price paid to SIMON Markets LLC, an digital platform affiliated with Goldman Sachs & Co. LLC, who’s
appearing as a supplier in reference to the distribution of the notes. These prices adversely have an effect on the financial phrases of the notes
as a result of, in the event that they had been decrease, the financial phrases of the notes could be extra favorable to you. The financial phrases of the notes are
additionally prone to be adversely affected by way of our inside funding charge, slightly than our secondary market charge, to price the
notes. See “The Estimated Value of the Notes Would Be Lower if It Were Calculated Based on Our Secondary Market Rate”
beneath.
The Estimated Worth of the Notes Was
Decided for Us by Our Affiliate Utilizing Proprietary Pricing Models
CGMI derived the estimated value disclosed on the quilt web page
of this pricing complement from its proprietary pricing models. In doing so, it may have made discretionary judgments concerning the
inputs to its models, such because the volatility of the underlier, dividend yields on the stocks that represent the underlier and
rates of interest. CGMI’s views on these inputs may differ out of your or others’ views, and as an underwriter on this providing,
CGMI’s pursuits may battle with yours. Each the models and the inputs to the models may show to be incorrect and due to this fact
not an correct reflection of the value of the notes. Furthermore, the estimated value of the notes set forth on the quilt web page of
this pricing complement may differ from the value that we or our associates may decide for the notes for different functions, together with
for accounting functions. You shouldn’t put money into the notes due to the estimated value of the notes. As an alternative, try to be
keen to carry the notes to maturity no matter the preliminary estimated value.
The Estimated Worth of the Notes Would
Be Decrease if It Had been Calculated Primarily based on Our Secondary Market Fee
The estimated value of the notes included on this pricing complement
is calculated based mostly on our inside funding charge, which is the speed at which we’re keen to borrow funds by the issuance
of the notes. Our inside funding charge is usually decrease than our secondary market charge, which is the speed that CGMI will use
in figuring out the value of the notes for functions of any purchases of the notes from you within the secondary market. If the estimated
value included on this pricing complement had been based mostly on our secondary market charge, slightly than our inside funding charge, it will
probably be decrease. We decide our inside funding charge based mostly on components comparable to the prices related to the notes, that are
typically greater than the prices related to typical debt securities, and our liquidity wants and preferences. Our inside
funding charge isn’t an rate of interest that we’ll pay to buyers within the notes, which don’t bear curiosity.
As a result of there’s not an energetic marketplace for traded devices
referencing our excellent debt obligations, CGMI determines our secondary market charge based mostly available on the market price of traded devices
referencing the debt obligations of Citigroup Inc., our guardian firm and the guarantor of all funds due on the notes, however
topic to changes that CGMI makes in its sole discretion. Because of this, our secondary market charge isn’t a market-determined
measure of our creditworthiness, however slightly displays the market’s notion of our guardian firm’s creditworthiness
as adjusted for discretionary components comparable to CGMI’s preferences with respect to buying the notes previous to maturity.
The Estimated Worth of the Notes Is
Not an Indication of the price, if Any, at Which CGMI or Any Different Particular person May Be Prepared to Purchase the Notes From You within the Secondary
Market
Any such secondary market price will fluctuate over the time period
of the notes based mostly available on the market and different components described within the subsequent threat issue. Furthermore, in contrast to the estimated value included
on this pricing complement, any value
of the notes decided for functions of a secondary market transaction
will probably be based mostly on our secondary market charge, which is able to probably end in a decrease value for the notes than if our inside funding
charge had been used. As well as, any secondary market price for the notes will probably be lowered by a bid-ask unfold, which may differ relying
on the mixture said principal quantity of the notes to be bought within the secondary market transaction, and the anticipated price
of unwinding associated hedging transactions. Because of this, it’s probably that any secondary market price for the notes will probably be much less
than the difficulty price.
The Worth of the Notes Previous to Maturity
Will Fluctuate Primarily based on Many Unpredictable Elements
The value of your notes previous to maturity will fluctuate based mostly
on the extent and volatility of the underlier and numerous different components, together with the price and volatility of the stocks that
represent the underlier, the dividend yields on the stocks that represent the underlier, rates of interest typically, the time remaining
to maturity and our and Citigroup Inc.’s creditworthiness, as mirrored in our secondary market charge. Adjustments within the degree
of the underlier may not end in a comparable change within the value of your notes. It’s best to perceive that the value of your
notes at any time previous to maturity may be considerably lower than the difficulty price.
If the Degree of the Underlier Adjustments,
the Market Worth of Your Notes May Not Change within the Similar Method
Your notes may commerce fairly otherwise from the efficiency of
the underlier. Adjustments within the degree of the underlier may not end in a comparable change available in the market value of your notes. We
talk about a number of the causes for this disparity beneath “— The Worth of the Notes Previous to Maturity Will Fluctuate Primarily based
on Many Unpredictable Elements” above.
Instantly Following Issuance, Any
Secondary Market Bid price Supplied by CGMI, and the Worth That Will Be Indicated on Any Brokerage Account Statements Ready
by CGMI or Its Associates, Will Mirror a Momentary Upward Adjustment
The quantity of this non permanent upward adjustment will steadily
decline to zero over the non permanent adjustment interval. See “Valuation of the Notes” on this pricing complement.
Our Providing of the Notes Does Not Represent
a Advice of the Underlier
The truth that we’re providing the notes doesn’t imply that we
consider that investing in an instrument linked to the underlier is prone to obtain favorable returns. In truth, as we’re half
of a worldwide monetary establishment, our associates may have positions (together with brief positions) within the stocks that represent
the underlier or in devices associated to the underlier or such stocks and may publish analysis or express opinions, that in every
case are inconsistent with an funding linked to the underlier. These and different actions of our associates may have an effect on the extent
of the underlier in a manner that has a damaging impression in your pursuits as a holder of the notes.
The Degree of the Underlier May Be Adversely
Affected by Our or Our Associates’ Hedging and Different Buying and selling Actions
We anticipate to hedge our obligations beneath the notes by CGMI
or different of our associates, or by a supplier collaborating on this providing or its associates, who may take positions straight
within the stocks that represent the underlier and different monetary devices associated to the underlier or such stocks and may modify
such positions throughout the time period of the notes. Our associates additionally commerce the stocks that represent the underlier and different monetary
devices associated to the underlier or such stocks frequently (taking lengthy or brief positions or each), for his or her accounts,
for different accounts beneath their administration or to facilitate transactions on behalf of shoppers. Any supplier collaborating within the
providing of the notes or its associates may have interaction in related actions. These actions might have an effect on the extent of the underlier
in a manner that negatively impacts the value of the notes. They might additionally end in substantial returns for us or our associates
or any supplier or its associates whereas the value of the notes declines. If the supplier from which you buy notes is to conduct
hedging actions for us in reference to the notes, that supplier may revenue in reference to such hedging actions and such
revenue, if any, will probably be along with the compensation that the supplier receives for the sale of the notes to you. You have to be
conscious that the potential to earn charges in reference to hedging actions may create an additional incentive for the supplier to promote
the notes to you along with the compensation they’d obtain for the sale of the notes.
We and Our Associates May Have Financial
Pursuits That Are Adversarial to Yours as a Results of Our Associates’ Enterprise Actions
Our associates may at the moment or infrequently have interaction in enterprise
with the issuers of the stocks that represent the underlier, together with extending loans to, making fairness investments in or offering
advisory providers to such issuers. In the middle of this enterprise, we or our associates may purchase private details about
such issuers, which we is not going to open up to you. Furthermore, if any of our associates is or turns into a creditor of any such issuer,
they may train any treatments in opposition to such issuer which might be accessible to them with out regard to your pursuits. Any supplier collaborating
within the providing of the notes or its associates may have interaction in related actions.
The Calculation Agent, Which Is an Affiliate
of Ours, Will Make Necessary Determinations With Respect to the Notes
If sure occasions happen, comparable to market disruption occasions or
the discontinuance of the underlier, CGMI, as calculation agent, will probably be required to make discretionary judgments that might considerably
have an effect on your cost at maturity. In making these judgments, the calculation agent’s pursuits as an affiliate of ours might
be opposed to your pursuits as a holder of the notes.
Changes to the Underlier May Have an effect on
the Worth of Your Notes
The underlier sponsor may add, delete or substitute the stocks
that represent the underlier or make different methodological modifications that might have an effect on the extent of the underlier. The underlier
sponsor may discontinue or droop calculation or publication of the underlier at any time with out regard to your pursuits as
holders of the notes.
We May Promote an Extra Combination
Acknowledged Principal Quantity of the Notes at a Completely different Situation price
At our sole choice, we may determine to promote a further mixture
said principal quantity of the notes subsequent to the date of this pricing complement. The problem price of the notes within the subsequent
sale may differ considerably (greater or decrease) from the unique challenge price you paid as offered on the quilt of this pricing
complement.
If You Buy Your Notes at a Premium
to the Acknowledged Principal Quantity, the Return on Your Funding Will Be Decrease Than the Return on Notes Bought on the Acknowledged Principal
Quantity and the Affect of Sure Key Phrases of the Notes Will probably be Negatively Affected
The cash settlement quantity is not going to be adjusted based mostly on the
challenge price you pay for the notes. If you are going to buy notes at a price that differs from the said principal quantity of the notes,
then the return in your funding in such notes held to the said maturity date will differ from, and may be considerably much less
than, the return on notes bought on the said principal quantity. If you are going to buy your notes at a premium to the said principal
quantity and maintain them to the said maturity date, the return in your funding within the notes will probably be decrease than it will have been
had you bought the notes on the said principal quantity or a reduction to the said principal quantity. As well as, the impression
of the buffer degree and the cap degree on the return in your funding will depend on the price you pay in your notes relative
to the said principal quantity. For instance, if you buy your notes at a premium to the said principal quantity, the cap degree
will solely allow a decrease share improve in your funding within the notes than would have been the case for notes bought
on the said principal quantity or a reduction to the said principal quantity. Equally, the buffer degree, whereas nonetheless offering
some safety for the return on the notes, will permit a higher share lower in your funding within the notes than would
have been the case for notes bought on the said principal quantity or a reduction to the said principal quantity.
The U.S. Federal Tax Penalties of
an Funding within the Notes Are Unclear
There is no such thing as a direct authorized authority concerning the right U.S.
federal tax remedy of the notes, and we don’t plan to request a ruling from the Inner Income Service (the “IRS”).
Consequently, important elements of the tax remedy of the notes are unsure, and the IRS or a court docket won’t agree with
the remedy of the notes as pay as you go ahead contracts. If the IRS had been profitable in asserting an alternate remedy of the
notes, the tax penalties of the possession and disposition of the notes could be materially and adversely affected. Furthermore,
future laws, Treasury rules or IRS steering might adversely have an effect on the U.S. federal tax remedy of the notes, presumably
retroactively.
If you’re a non-U.S. investor, it is best to evaluation the dialogue
of withholding tax points in “United States Federal Tax Considerations—Non-U.S. Holders” beneath.
It’s best to learn rigorously the dialogue
beneath “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” within the accompanying
product complement and “United States Federal Tax Considerations” on this pricing complement. You also needs to seek the advice of
your tax adviser concerning the U.S. federal tax penalties of an funding within the notes, in addition to tax penalties arising
beneath the legal guidelines of any state, native or non-U.S. taxing jurisdiction.
THE UNDERLIER
The S&P 500® Index consists
of frequent stocks of 500 issuers chosen to offer a efficiency benchmark for the big capitalization section of the U.S. fairness
markets. The S&P 500® Index is calculated and maintained by S&P Dow Jones Indices LLC. The S&P 500®
Index is reported by Bloomberg L.P. beneath the ticker image “SPX.”
“Standard & Poor’s,” “S&P”
and “S&P 500®” are emblems of Commonplace & Poor’s Monetary Companies LLC and have been
licensed to be used by Citigroup Inc. and its associates. For extra data, see “Fairness Index Descriptions—The S&P
U.S. Indices—License Settlement” within the accompanying underlying complement.
Please confer with the part “Fairness Index
Descriptions—The S&P U.S. Indices—The S&P 500® Index” within the accompanying underlying complement
for added data. Extra data is on the market on the underlier sponsor’s web site (together with data
concerning (i) the underlier’s prime ten constituents and (ii) the underlier’s sector weightings). We aren’t incorporating
by reference the web site or any materials it contains on this doc. Neither the issuer nor CGMI makes any illustration that
such publicly accessible data concerning the underlier is correct or full.
Historic Closing Ranges of the Underlier
The closing degree of the underlier has fluctuated previously
and may, sooner or later, expertise important fluctuations. Any historic upward or downward pattern within the closing degree of the
underlier throughout the interval proven beneath isn’t a sign that the underlier is kind of prone to improve or lower
at any time throughout the lifetime of your notes.
You shouldn’t take the historic ranges of the underlier
as a sign of the long run efficiency of the underlier. We can’t provide you with any assurance that the long run efficiency of
the underlier will end in your receiving an quantity higher than the said principal quantity of your notes on the maturity date.
Neither we nor any of our associates make any illustration
to you as to the efficiency of the underlier. The precise efficiency of the underlier over the lifetime of the notes, in addition to the
cash settlement quantity, may bear little relation to the historic ranges proven beneath.
The graph beneath reveals the closing degree of the underlier for
every day such degree was accessible from January 2, 2015 to December 16, 2020. We obtained the closing ranges from Bloomberg L.P.,
with out impartial verification.
The closing degree of the underlier on December 16, 2020 was 3,701.17.
UNITED STATES FEDERAL TAX CONSIDERATIONS
It’s best to learn rigorously the dialogue beneath “United
States Federal Tax Concerns” and “Risk Factors Relating to the Securities” within the accompanying product
complement and “Summary Risk Factors” on this pricing complement.
Within the opinion of our counsel, Davis Polk & Wardwell LLP,
a observe ought to be handled as a pay as you go ahead contract for U.S. federal earnings tax functions. By buying a observe, you agree (in
the absence of an administrative willpower or judicial ruling on the contrary) to this remedy. There may be uncertainty concerning
this remedy, and the IRS or a court docket won’t agree with it. Furthermore, our counsel’s opinion relies on market situations
as of the date of this preliminary pricing complement and is topic to affirmation on the pricing date.
Assuming this remedy of the notes is revered and topic
to the dialogue in “United States Federal Tax Considerations” within the accompanying product complement, the next
U.S. federal earnings tax penalties ought to outcome beneath present regulation:
| · | You shouldn’t acknowledge taxable earnings over the time period of the notes previous to maturity, apart from pursuant to a sale or exchange. |
| · | Upon a sale or exchange of a observe (together with retirement at maturity), it is best to acknowledge capital acquire or loss equal to the distinction between the quantity realized and your tax foundation within the observe. Such acquire or loss ought to be long-term capital acquire or loss in case you held the observe for a couple of 12 months. |
We don’t plan to request a ruling from the IRS concerning the
remedy of the notes. An alternate characterization of the notes might materially and adversely have an effect on the tax penalties
of possession and disposition of the notes, together with the timing and character of earnings acknowledged. As well as, the U.S. Treasury
Division and the IRS have requested feedback on numerous points concerning the U.S. federal earnings tax remedy of “pay as you go
ahead contracts” and related monetary devices and have indicated that such transactions may be the topic of future
rules or different steering. Moreover, members of Congress have proposed legislative modifications to the tax remedy of by-product
contracts. Any laws, Treasury rules or different steering promulgated after consideration of those points might materially
and adversely have an effect on the tax penalties of an funding within the notes, presumably with retroactive impact. It’s best to seek the advice of your
tax adviser concerning potential various tax remedies of the notes and potential modifications in relevant regulation.
Non-U.S. Holders. Topic to the discussions beneath and
in “United States Federal Tax Considerations” within the accompanying product complement, if you’re a Non-U.S. Holder
(as outlined within the accompanying product complement) of the notes, you typically shouldn’t be topic to U.S. federal withholding
or earnings tax in respect of any quantity paid to you with respect to the notes, offered that (i) earnings in respect of the notes
isn’t successfully related together with your conduct of a commerce or enterprise in the USA, and (ii) you adjust to the relevant
certification necessities.
As mentioned beneath “United States Federal Tax Concerns—Tax
Penalties to Non-U.S. Holders” within the accompanying product complement, Part 871(m) of the Code and Treasury rules
promulgated thereunder (“Section 871(m)”) typically impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to sure monetary devices linked to U.S. equities (“U.S. Underlying Equities”)
or indices that embrace U.S. Underlying Equities. Part 871(m) typically applies to devices that considerably replicate
the financial efficiency of a number of U.S. Underlying Equities, as decided based mostly on exams set forth within the relevant Treasury
rules. Nonetheless, the rules, as modified by an IRS discover, exempt monetary devices issued previous to January 1, 2023
that do not need a “delta” of 1. Primarily based on the phrases of the notes and representations offered by us as of the date
of this preliminary pricing complement, our counsel is of the opinion that the notes shouldn’t be handled as transactions that
have a “delta” of 1 inside the that means of the rules with respect to any U.S. Underlying Fairness and, due to this fact,
shouldn’t be topic to withholding tax beneath Part 871(m). Nonetheless, the ultimate willpower concerning the remedy of the
notes beneath Part 871(m) will probably be made as of the pricing date for the notes, and it’s potential that the notes will probably be topic
to withholding tax beneath Part 871(m) based mostly on the circumstances as of that date.
A willpower that the notes should not topic to Part 871(m)
isn’t binding on the IRS, and the IRS may disagree with this remedy. Furthermore, Part 871(m) is advanced and its software
may rely in your specific circumstances, together with your different transactions. It’s best to seek the advice of your tax adviser concerning the
potential software of Part 871(m) to the notes.
If withholding tax applies to the notes, we is not going to be required
to pay any further quantities with respect to quantities withheld.
It’s best to learn the part entitled “United States
Federal Tax Concerns” within the accompanying product complement. The previous dialogue, when learn together with
that part, constitutes the total opinion of Davis Polk & Wardwell LLP concerning the fabric U.S. federal tax penalties
of proudly owning and disposing of the notes.
You also needs to seek the advice of your tax adviser concerning all elements
of the U.S. federal earnings and property tax penalties of an funding within the notes and any tax penalties arising beneath the
legal guidelines of any state, native or non-U.S. taxing jurisdiction.
VALUATION OF THE NOTES
CGMI calculated the estimated value of the notes set forth on
the quilt web page of this pricing complement based mostly on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the notes by estimating the value of a hypothetical package deal of economic devices that might replicate
the payout on the notes, which consists of a fixed-income bond (the “bond component”) and a number of by-product devices
underlying the financial phrases of the notes (the “derivative component”). CGMI calculated the estimated value of the
bond element utilizing a reduction charge based mostly on our inside funding charge. CGMI calculated the estimated value of the by-product
element based mostly on a proprietary derivative-pricing model, which generated a theoretical price for the devices that represent
the by-product element based mostly on numerous inputs, together with the components described beneath “Abstract Danger Elements—The Worth
of the Notes Previous to Maturity Will Fluctuate Primarily based on Many Unpredictable Elements” on this pricing complement, however not together with
our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based mostly on assumptions made by CGMI
in its discretionary judgment.
The estimated value of
the notes is a operate of the phrases of the notes and the inputs to CGMI’s proprietary pricing models. The vary for the
estimated value of the notes set forth on the quilt web page of this preliminary pricing complement displays phrases of the notes that
haven’t but been fastened in addition to uncertainty on the date of this preliminary pricing complement concerning the inputs to CGMI’s
proprietary pricing models on the commerce date.
For a interval of roughly three months following issuance
of the notes, the price, if any, at which CGMI could be keen to purchase the notes from buyers, and the value that will probably be indicated
for the notes on any brokerage account statements ready by CGMI or its associates (which value CGMI may additionally publish by
a number of monetary data distributors), will mirror a brief upward adjustment from the price or value that might in any other case
be decided. This non permanent upward adjustment represents a portion of the hedging revenue anticipated to be realized by CGMI or its
associates over the time period of the notes. The quantity of this non permanent upward adjustment will decline to zero on a straight-line foundation
over the three-month non permanent adjustment interval. Nonetheless, CGMI isn’t obligated to purchase the notes from buyers at any time. See
“Abstract Danger Elements — The Notes Will Not Be Listed on Any Securities Alternate and You May Not Be In a position to Promote Them
Previous to Maturity.”
© 2020 Citigroup World Markets Inc. All
rights reserved. Citi and Citi and Arc Design are emblems and repair marks of Citigroup Inc. or its associates and are used
and registered all through the world.
