Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
February 26 2021 - 01:21PM
Edgar (US Regulatory)
Citigroup Global Markets Holdings Inc.
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Term
Sheet No. 2021–USNCH6873 dated February 26, 2021 relating to Preliminary Pricing Supplement
No.
2021–USNCH6873 dated February 26, 2021
Registration Statement
Nos. 333-224495 and 333-224495-03
Filed Pursuant
to Rule 433
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Market Linked
Securities—Contingent Fixed Return and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000®
Index and the Nasdaq-100 Index® due April 6, 2026
Term Sheet
to Preliminary Pricing Supplement No. 2021—USNCH6873 dated February 26, 2021
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Issuer
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Term
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Approximately 5 years
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Underlyings
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The Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® (each, an “underlying”)
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Stated Principal Amount
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$1,000 per security
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Pricing Date
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March 30, 2021*
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Issue Date
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April 5, 2021*
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Valuation Date
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March 27, 2026*
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Maturity Date
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April 6, 2026*
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Payment at Maturity
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See “Payment at Maturity” on Page 3
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Worst Performing Underlying
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The underlying with the lowest underlying return
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Underlying Return
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For each underlying, (i) its final underlying value minus its initial underlying value, divided by (ii) its initial underlying value
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Initial Underlying Value
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For each underlying, its closing value on the pricing date
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Final Underlying Value
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For each underlying, its closing value on the valuation date
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Contingent Fixed Return Amount
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$480 to $520, which represents a fixed return equal to 48% to 52% of the stated principal amount (to be determined on the pricing date)
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Final Barrier Value
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For each underlying, 70% of its initial underlying value
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Calculation Agent
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer
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Denominations
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$1,000 and any integral multiple of $1,000
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Agent Discount and Commission
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Up to 3.62%, of which dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession of 2.50% and WFA will receive a distribution expense fee of 0.12%. In respect of certain securities sold in this offering, CGMI may pay a fee of up to 0.1% to selected securities dealers in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers.
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CUSIP / ISIN
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17328YVE1 / US17328YVE12
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· Linked
to the worst performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100
Index® (each referred to as an “underlying”)
· Unlike
ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity.
Instead, the securities provide for a payment at maturity that may be greater than, equal to or less than the stated principal
amount of the securities, depending on the performance of the worst performing underlying from its initial underlying value to
its final underlying value.
The payment at maturity will reflect the following terms:
o If
the value of the worst performing underlying increases (regardless of the extent of that increase) or stays the same, you will
receive the stated principal amount plus the contingent fixed return of $480 to $520 (to be determined on the pricing date)
o If
the value of the worst performing underlying decreases but the decrease is to a value that is greater than or equal to its final
barrier value, you will be repaid the stated principal amount
o If
the value of the worst performing underlying decreases to a value less than its final barrier value, you will lose a significant
portion, and possibly all, of the stated principal amount of your securities
· The
worst performing underlying is the underlying that has the lowest underlying return
· The
final barrier value for each underlying is equal to 70% of its initial underlying value
· Investors
may lose up to 100% of the stated principal amount
· Any
positive return on the securities at maturity will be limited to the contingent fixed return, even if the final underlying value
of the worst performing underlying significantly exceeds its initial underlying value; you will not participate in any appreciation
of the worst performing underlying beyond the contingent fixed return
· Your
return on the securities will depend solely on the performance of the underlying that is the worst performing underlying. You will
not benefit in any way from the performance of any better performing underlying. Therefore, you will be adversely affected if any
underlying performs poorly, even if any other underlying performs favorably
· All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.; if Citigroup
Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you could lose some or all of your investment
· No
periodic interest payments or dividends
· The
securities will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should not invest
in the securities unless you are willing to hold them to maturity.
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*
Expected. To the extent that the issuer makes any change to the expected pricing date
or expected issue date, the valuation date and maturity date may also be changed in the
issuer’s discretion to ensure that the term of the securities remains the same.
On the date of the related
preliminary pricing supplement, Citigroup Global Markets Holdings Inc. expects that the estimated value of the securities
on the pricing date will be at least $900.00 per security, which will be less than the public offering price. The estimated
value of the securities is based on CGMI’s proprietary pricing models and Citigroup Global Markets Holdings Inc.’s
internal funding rate. It is not an indication of actual profit to CGMI or other of Citigroup Global Markets Holdings
Inc.’s affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you at any time after issuance. See “Valuation of the Securities” in the accompanying
preliminary pricing supplement.
The securities have complex features and investing in the
securities involves risks not associated with an investment in conventional debt securities. See “Risk Factors” beginning
on page 3 in this term sheet, “Summary Risk Factors” in the accompanying preliminary pricing supplement, “Risk
Factors Relating to the Securities” in the accompanying product supplement and “Risk Factors” in the accompanying
prospectus supplement.
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This
introductory term sheet does not provide all of the information that an investor should consider prior to making an investment
decision.
Investors should carefully review the accompanying
preliminary pricing supplement, product supplement, underlying supplement, prospectus supplement and prospectus before making a
decision to invest in the securities.
NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC
OR ANY OTHER GOVERNMENTAL AGENCY
Hypothetical Examples
The
diagram at right illustrates your payment at maturity for a range of underlying returns
of the worst performing underlying. The diagram assumes that the contingent fixed return
will be set at the lowest value indicated under “Key Terms” above. The
actual contingent fixed return will be set on the pricing date.
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Hypothetical Returns
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nThe Securities n The Worst Performing Underlying
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The table below is based on a range of hypothetical underlying
returns of the worst performing underlying and illustrates:
• the
hypothetical underlying return of the worst performing underlying;
• the
hypothetical payment at maturity per security; and
• the
hypothetical total pre-tax rate of return.
The table below is based on a hypothetical
initial underlying value for each underlying of 100 and does not reflect the actual initial underlying value of any underlying.
The table assumes that the contingent fixed return will be set at the lowest value indicated under “Key Terms” above.
The actual contingent fixed return will be set on the pricing date.
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Hypothetical final underlying value of the worst performing underlying
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Hypothetical underlying return of the worst performing underlying
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Hypothetical payment at maturity per security
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Hypothetical total pre-tax rate of return
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200.00
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100.00%
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$1,480.00
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48.00%
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175.00
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75.00%
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$1,480.00
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48.00%
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150.00
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50.00%
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$1,480.00
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48.00%
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140.00
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40.00%
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$1,480.00
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48.00%
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130.00
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30.00%
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$1,480.00
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48.00%
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120.00
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20.00%
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$1,480.00
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48.00%
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110.00
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10.00%
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$1,480.00
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48.00%
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105.00
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5.00%
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$1,480.00
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48.00%
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100.00
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0.00%
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$1,480.00
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48.00%
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95.00
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-5.00%
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$1,000.00
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0.00%
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90.00
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-10.00%
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$1,000.00
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0.00%
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80.00
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-20.00%
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$1,000.00
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0.00%
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70.00
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-30.00%
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$1,000.00
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0.00%
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69.99
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-30.01%
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$699.90
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-30.01%
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60.00
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-40.00%
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$600.00
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-40.00%
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50.00
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-50.00%
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$500.00
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-50.00%
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25.00
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-75.00%
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$250.00
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-75.00%
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0.00
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-100.00%
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$0.00
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-100.00%
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The above figures are for purposes of illustration only and may have been rounded for ease of analysis.
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Payment at Maturity
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For each $1,000 stated principal
amount you hold at maturity:
• If
the final underlying value of the worst performing underlying is greater than or equal to its initial underlying value:
$1,000
+ contingent fixed return;
• If
the final underlying value of the worst performing underlying is less than its initial underlying value, but greater
than or equal to its final barrier value:
$1,000;
or
• If
the final underlying value of the worst performing underlying is less than its final barrier value:
$1,000
+ ($1,000 × underlying return of the worst performing underlying)
If the final underlying value of the worst performing underlying
is less than its final barrier value, you will receive significantly less than the stated principal amount of your securities,
and possibly nothing, at maturity.
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Risk Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with each of the underlyings. Accordingly, the securities
are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult
your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the full description of the risk considerations provided for in the
Preliminary Pricing Supplement and the more detailed description of risks relating to an investment in the securities contained
in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product supplement.
You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
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You May Lose Some Or All Of Your Investment.
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The Securities Do Not Pay Interest.
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Your Potential Return On The Securities Is Limited.
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The Securities Are Subject To Heightened Risk Because
They Have Multiple Underlyings.
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The Securities Are Subject To The Risks Of Each Of The
Underlyings And Will Be Negatively Affected If Any One Underlying Performs Poorly, Regardless Of The Performance Of Any Other
Underlying.
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You Will Not Benefit In Any Way From The Performance
Of Any Better Performing Underlying.
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You Will Be Subject To Risks Relating To The Relationship
Between The Underlyings.
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You Will Not Receive Dividends Or Have Any Other Rights
With Respect To The Securities Included In The Underlyings.
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Your Payment At Maturity Depends On The Value Of The Worst Performing Underlying On A Single Day.
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The Securities Are Subject To The Credit Risk Of Citigroup Global Markets Holdings Inc. And Citigroup
Inc.
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The Securities Will Not Be Listed On Any Securities Exchange
And You May Not Be Able To Sell Them Prior To Maturity.
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The Estimated Value Of The Securities On The Pricing
Date, Based On CGMI’s Proprietary Pricing Models And Our Internal Funding Rate, Is Less Than The Public Offering Price.
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The Estimated Value Of The Securities Was Determined
For Us By Our Affiliate Using Proprietary Pricing Models.
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The Estimated Value Of The Securities Would Be Lower
If It Were Calculated Based On Wells Fargo’s Determination of The Secondary Market Rate With Respect To Us.
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The Estimated Value Of The Securities Is Not An Indication
Of The Price, If Any, At Which Any Person May Be Willing To Buy The Securities From You In The Secondary Market.
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The Value Of The Securities Prior To Maturity Will Fluctuate
Based On Many Unpredictable Factors.
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We Have Been Advised That, Immediately Following Issuance,
Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements
Prepared By Wells Fargo Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.
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The Russell 2000® Index Is
Subject To Risks Associated With Small Capitalization Stocks.
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Our Offering Of The Securities Is Not A Recommendation
Of Any Underlying.
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The Closing Value Of An Underlying May Be Adversely Affected
By Our Or Our Affiliates’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.
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We And Our Affiliates, Or Wells Fargo Or Its Affiliates,
May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.
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The Calculation Agent, Which Is An Affiliate Of Ours,
Will Make Important Determinations With Respect To The Securities.
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Changes That Affect The Underlyings May Affect The Value
Of Your Securities.
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The Stated Maturity Date May Be Postponed If The Valuation
Date is Postponed.
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The U.S. Federal Tax Consequences Of An Investment In
The Securities Are Unclear.
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Not suitable for all investors
Investment suitability must be
determined individually for each investor. The securities described herein are not a suitable investment for all investors. In
particular, no investor should purchase the securities unless they understand and are able to bear the associated market, liquidity
and yield risks. Unless market conditions and other relevant factors change significantly in your favor, a sale of the securities
prior to maturity is likely to result in sale proceeds that are substantially less than the stated principal amount per security.
Citigroup Global Markets Holdings Inc. and its affiliates are not obligated to purchase the securities from you at any time prior
to maturity.
Citigroup Global Markets Holdings
Inc. and Citigroup Inc. have filed a registration statement (including a related preliminary pricing supplement, an accompanying
product supplement, an accompanying underlying supplement and an accompanying prospectus supplement and prospectus) with the Securities
and Exchange Commission (“SEC”) for the offering to which this communication relates. You should read the related preliminary
pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus in that
registration statement (File Nos. 333-224495 and 333-224495-03) and the other documents Citigroup Global Markets Holdings Inc.
and Citigroup Inc. have filed with the SEC for more complete information about Citigroup Global Markets Holdings Inc., Citigroup
Inc. and this offering. You may get these documents for free by visiting EDGAR on the SEC’s website at www.sec.gov. Alternatively,
you can request the related preliminary pricing supplement, accompanying product supplement, accompanying underlying supplement
and the accompanying prospectus supplement and prospectus by calling toll-free 1-800-831-9146.
Consult your tax adviser
Investors should review carefully
the accompanying preliminary pricing supplement, product supplement, prospectus supplement and prospectus and consult their tax
advisors regarding the application of the U.S. federal income tax laws to their particular circumstances, as well as any tax consequences
arising under the laws of any state, local or foreign jurisdiction.
Wells Fargo Advisors is a trade name
used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers
and non-bank affiliates of Wells Fargo & Company.
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