Market Linked Securities—Auto-Callable
with Contingent Coupon and Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck
Vectors® Gold Miners ETF and the iShares® Silver Trust due March 28, 2024 Term Sheet to Preliminary Pricing
Supplement No. 2021—USNCH6875 dated February 26, 2021
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Key Terms
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Investment Description
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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 3 years, unless earlier automatically redeemed
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Underlyings
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The VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust (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 Dates
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The 24th day of each March, June, September and December, beginning in June 2021 and ending on March 25, 2024 (the “final valuation date”)*
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Maturity Date
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March 28, 2024*
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Contingent Coupon Payment Dates
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For each valuation date, the third business day after such valuation date, except that the contingent coupon payment date for the final valuation date will be the maturity date.
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Contingent Coupon
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See “Contingent Coupon Payments” below
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Payment at Maturity
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See “Payment at Maturity” below
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Automatic Early Redemption
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See “Automatic Early Redemption” below
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Potential Autocall Dates
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Each valuation date beginning in September 2021 and ending in December 2023
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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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Coupon Barrier Value
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For each underlying, 70% of its initial underlying value
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Final Barrier Value
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For each underlying, 70% of its initial underlying value
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Underlying Performance Factor
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For each underlying on any valuation date, its closing value on that valuation date divided by its initial underlying value.
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Worst performing underlying
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For any valuation date, the underlying with the lowest underlying performance factor determined as of that valuation date
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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 2.50%, of which dealers, including Wells Fargo Advisors (the trade name of the retail brokerage business of its affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC) (“WFA”), may receive a selling concession of 1.50% and WFA will receive a distribution expense fee of 0.075%. 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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17328YY81 / US17328YY816
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• Linked
to the worst performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
(each referred to as an “underlying”)
• Unlike
ordinary debt securities, the securities do not provide for fixed payments of interest, do not repay a fixed amount of principal
at maturity and are subject to potential automatic redemption prior to maturity upon the terms described below. Whether the securities
pay a contingent coupon, whether the securities are automatically redeemed prior to maturity and, if they are not automatically
redeemed, whether you are repaid the stated principal amount of your securities at maturity will depend in each case on the closing
value of the worst performing underlying on the relevant valuation date. The worst performing underlying on any valuation date
is the underlying that has the lowest underlying performance factor on that valuation date
• Contingent
Coupon. The securities will pay a contingent coupon on a periodic basis until the earlier of maturity or automatic redemption
if, and only if, the closing value of the worst performing underlying on the relevant valuation date is greater than or
equal to its coupon barrier value. However, if the closing value of the worst performing underlying on a valuation date is less
than its coupon barrier value, you will not receive any contingent coupon on the relevant contingent coupon date. If the closing
value of the worst performing underlying is less than its coupon barrier value on every valuation date, you will not receive any
contingent coupons throughout the entire term of the securities. The contingent coupon will be determined on the pricing date
and will be equal to 3.125% to 3.625% of the stated principal amount (equivalent to a contingent coupon rate of 12.50% to 14.50%
per annum)
• Automatic
Redemption. If the closing value of the worst performing underlying on any potential autocall date from September 2021 to
December 2023, inclusive, is greater than or equal to its initial underlying value, we will automatically redeem the securities
for the stated principal amount plus the related contingent coupon payment
• Potential
Loss of Principal. If the securities are not automatically redeemed prior to maturity, you will receive the stated principal
amount at maturity if, and only if, the closing value of the worst performing underlying on the final valuation date is
greater than or equal to its final barrier value. If the closing value of the worst performing underlying on the final valuation
date is less than its final barrier value, you will lose a significant portion, and possibly all, of the stated principal amount
of your securities
• The
coupon barrier value and final barrier value for each underlying are each equal to 70% of its initial underlying value
• If
the securities are not automatically redeemed prior to maturity, you will have full downside exposure to the worst performing
underlying from its initial underlying value if its closing value on the final valuation date is less than its final barrier value,
but you will not participate in any appreciation of either underlying and will not receive any dividends on securities included
in either underlying
• Your
return on the securities will depend solely on the performance of the underlying that is the worst performing underlying
on each valuation date. You will not benefit in any way from the performance of the better performing underlying. Therefore, you
will be adversely affected if either underlying performs poorly, even if the 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
• 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 dates 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 4 in this term sheet, “Summary Risk Factors” in the accompanying preliminary pricing supplement
and “Risk Factors Relating to the Securities” in the accompanying product 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, 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
Contingent Coupon Payments
On each contingent coupon payment date, unless previously redeemed,
the securities will pay a contingent coupon equal to 3.125% to 3.625% of the stated principal amount of the securities (equivalent
to a contingent coupon rate of 12.50% to 14.50% per annum) (to be determined on the pricing date) if and only if the closing value
of the worst performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value.
If the closing value of the worst performing underlying on
any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately
following contingent coupon payment date.
Automatic Early Redemption
If, on any potential autocall date, the closing value of the
worst performing underlying is greater than or equal to its initial underlying value, each security you then hold will be automatically
redeemed on the immediately following contingent coupon payment date for an amount in cash equal to $1,000 plus the related
contingent coupon payment.
If the securities are automatically redeemed, they will cease
to be outstanding on the related contingent coupon payment date and you will have no further rights under the securities after
such contingent coupon payment date.
Payment at Maturity
If the securities are not automatically redeemed prior to maturity,
you will receive at maturity for each security you then hold (in addition to the contingent coupon due at maturity, if any):
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▪
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if the closing value of the worst performing underlying on the final valuation date is greater
than or equal to its final barrier value: $1,000; or
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▪
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if the closing value of the worst performing underlying on the final valuation date is less
than its final barrier value:
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$1,000 × the underlying performance
factor of the worst performing underlying on the final valuation date
If the closing value of the worst performing underlying on
the final valuation date is less than its final barrier value, you will receive significantly less than the stated principal amount
of your securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment at maturity.
Hypothetical payout profile
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The following profile illustrates the potential
payment at maturity on the securities (excluding the final contingent coupon payment, if any) for a range of hypothetical performances
of the worst performing underlying on the final valuation date from its initial underlying value to its closing value on the final
valuation date, assuming the securities have not been automatically redeemed prior to the maturity date.
This graph has been prepared for purposes of
illustration only. Your actual return on the securities will depend on the actual closing value of the worst performing underlying
on the final valuation date and whether you hold your securities to the maturity date. The performance of the better performing
underlying is not relevant to your return on the securities.
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Hypothetical Returns
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If the securities are automatically redeemed:
If the securities are automatically
redeemed prior to maturity, you will receive the stated principal amount of your securities plus the related contingent
coupon payment on the immediately following contingent coupon payment date. In the event the securities are automatically redeemed,
your total return on the securities will equal any contingent coupon payments received prior to such contingent coupon payment
date and the contingent coupon payment received on such contingent coupon payment date.
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If the securities are not automatically
redeemed:
If
the securities are not automatically redeemed prior to maturity, the following table illustrates, for a range of hypothetical
underlying performance factors of the worst performing underlying on the final valuation date, the hypothetical payment at maturity
payable at maturity per security (excluding the final contingent coupon payment, if any). The underlying performance factor of
the worst performing underlying on the final valuation date is its closing value on the final valuation date divided by
its initial underlying value.
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Hypothetical underlying performance factor of worst performing underlying on final valuation date
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Hypothetical payment at maturity per security
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175.00%
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$1,000.00
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160.00%
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$1,000.00
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150.00%
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$1,000.00
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140.00%
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$1,000.00
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130.00%
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$1,000.00
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120.00%
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$1,000.00
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110.00%
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$1,000.00
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100.00%
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$1,000.00
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90.00%
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$1,000.00
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80.00%
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$1,000.00
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70.00%
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$1,000.00
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69.99%
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$699.90
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60.00%
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$600.00
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50.00%
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$500.00
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40.00%
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$400.00
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25.00%
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$250.00
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The above figures do not take into account contingent coupon
payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive return based
on the payment at maturity; any positive return will be based solely on the contingent coupon payments, if any, received during
the term of the securities.
The above figures are for purposes
of illustration only and may have been rounded for ease of analysis. If the securities are not automatically redeemed prior to
maturity, the actual amount you will receive at maturity will depend on the actual closing value of the worst performing underlying
on the final valuation date. The performance of the better performing underlying is not relevant to your return on the securities.
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Selected risk considerations
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 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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You Will Not Receive Any Contingent Coupon On The Contingent Coupon
Payment Date Following Any Valuation Date On Which The Closing Value Of The Worst Performing Underlying Is Less Than Its Coupon
Barrier Value.
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Higher Contingent Coupon Rates Are Associated With Greater Risk.
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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 The Other Underlying.
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You Will Not Benefit In Any Way From The
Performance Of The 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 May Not Be Adequately Compensated For Assuming The Downside Risk
Of The Worst Performing Underlying.
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The Securities May Be Automatically Redeemed Prior To Maturity, Limiting
Your Opportunity To Receive Contingent Coupon Payments.
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The Securities Offer Downside Exposure To The Worst Performing Underlying,
But No Upside Exposure To Either Underlying.
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The Performance Of The Securities Will Depend On The Closing Values
Of The Underlyings Solely On The Valuation Dates, Which Makes The Securities Particularly Sensitive To Volatility In The Closing
Values Of The Underlyings.
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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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Fluctuations In Exchange Rates Will Affect The Closing Value Of The
VanEck Vectors® Gold Miners ETF.
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The VanEck Vectors® Gold Miners ETF Is Subject To Risks
Associated With The Gold And Silver Mining Industries.
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An Investment In The Securities Is Subject To Risks Associated With
Foreign Securities Markets.
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The Securities Are Subject To Risks Associated With Silver.
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You Will Not Have
Any Rights With Respect To The Commodities Held By The iShares® Silver Trust.
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The iShares®
Silver Trust Is Not An Investment Company Or Commodity Pool And Will Not Be Subject To Regulation Under The Investment Company
Act Of 1940, As Amended, Or The Commodity Exchange Act.
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The Performance
And Market Value Of The iShares® Silver Trust, Particularly During Periods Of Market Volatility, May Not Correlate
With The Performance Of Its Underlying Commodity As Well As The Net Asset Value Per Share.
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There Are Risks
Relating To Commodities Trading On The London Bullion Market Association.
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Single Commodity Prices Tend To Be More Volatile
Than, And May Not Correlate With, The Prices Of Commodities Generally.
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Our Offering Of The Securities Is Not A Recommendation Of Either 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 And Wells Fargo And 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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Even If An Underlying Pays A Dividend That It Identifies As Special
Or Extraordinary, No Adjustment Will Be Required Under The Securities For That Dividend Unless It Meets The Criteria Specified
In The Accompanying Product Supplement.
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The Securities Will Not Be Adjusted For All Events That May Have A
Dilutive Effect On Or Otherwise Adversely Affect The Closing Value Of An Underlying.
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The Securities May Become Linked To An Underlying Other Than An Original
Underlying Upon The Occurrence Of A Reorganization Event Or Upon The Delisting Of The Underlying Shares Of An Underlying.
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The Value And Performance Of The Underlying Shares Of An Underlying
May Not Completely Track The Performance Of The Underlying Index That The Underlying Seeks To Track Or The Net Asset Value Per
Share Of The Underlying.
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Changes That Affect The Underlyings May Affect The Value Of Your Securities.
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A Contingent Coupon Payment Date And The Stated Maturity Date May Be
Postponed If A 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 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, 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 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.
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