Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
April 21 2021 - 1:14PM
Edgar (US Regulatory)
Citigroup Global Markets Holdings Inc.
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Free
Writing Prospectus to Pricing Supplement No. 2021-USNCH[ ]
Registration Statement
Nos. 333-224495; 333-224495-03
Dated April 21, 2021;
Filed pursuant to Rule 433
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Contingent Income Auto-Callable Securities
Due May , 2023 Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the
Nasdaq-100 Index®
Principal at Risk Securities
This document provides a summary of the terms of the securities.
Investors must carefully review the accompanying preliminary pricing supplement referenced below, product supplement, underlying supplement,
prospectus supplement and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision.
Summary
Terms
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Issuer:
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Citigroup
Global Markets Holdings Inc.
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Guarantor:
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Citigroup
Inc.
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Underlying
indices:
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Russell
2000® Index (ticker symbol: “RTY”), the S&P 500® Index (ticker symbol: “SPX”) and
the Nasdaq-100 Index® (ticker symbol: “NDX”)
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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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April
30, 2021
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Issue
date:
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May
5, 2021
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Valuation
dates:
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Expected
to be July 30, 2021, November 1, 2021, January 31, 2022, May 2, 2022, August 1, 2022, October 31, 2022, January 30, 2023 and May
1, 2023 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day for any
underlying index or if certain market disruption events occur with respect to any underlying index.
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Maturity
date:
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Unless
earlier automatically redeemed, May 4, 2023
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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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On
each quarterly contingent coupon payment date, unless previously automatically redeemed, the securities will pay a contingent coupon
equal to 2.15% of the stated principal amount of the securities (8.60% per annum) if and only if the closing level of the
worst performing underlying index on the related valuation date is greater than or equal to its downside threshold level. If
the closing level of the worst performing underlying index on any quarterly valuation date is less than its downside threshold level,
you will not receive any contingent coupon payment on the related contingent coupon payment date.
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Payment
at maturity1:
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If the securities are not automatically
redeemed prior to maturity, for each $1,000 stated principal amount security you hold at maturity, you will receive cash in an amount
determined as follows:
· If
the final index level of the worst performing underlying index on the final valuation date is greater than or equal to its
downside threshold level: $1,000 + the contingent coupon payment due at maturity
· If
the final index level of the worst performing underlying index on the final valuation date is less than its downside threshold
level: $1,000 + ($1,000 × the index return of the worst performing underlying index on the final valuation date)
If the final index level of the
worst performing underlying index on the final valuation date is less than its downside threshold level, you will receive less, and
possibly significantly less, than 80% of the stated principal amount of your securities at maturity, and you will not receive any
contingent coupon payment at maturity.
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Automatic
early redemption:
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If,
on any valuation date (other than the final valuation date), the closing level of the worst performing underlying index on that valuation
date is greater than or equal to its initial index level, each security you then hold will be automatically redeemed on the related
contingent coupon payment date for an amount in cash equal to the early redemption payment. If the securities are redeemed,
no further payments will be made.
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Early
redemption payment:
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The
stated principal amount of $1,000 per security plus the related contingent coupon payment
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Initial
index level:
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For
each underlying index, its closing level on the pricing date
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Final
index level:
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For
each underlying index, its closing level on the final valuation date
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Downside
threshold level:
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For
each underlying index, 80.00% of its initial index level
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Index
return:
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For
each underlying index on any valuation date, (i) its closing level on that valuation date minus its initial index level,
divided by (ii) its initial index level
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Worst
performing underlying index:
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For
any valuation date, the underlying index with the lowest index return on that valuation date
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CUSIP/ISIN:
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17329FQR8
/ US17329FQR81
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Preliminary
pricing supplement:
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https://www.sec.gov/Archives/edgar/data/200245/000095010321005842/
dp149698_424b2-us2142074.htm
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Hypothetical
Payout at Maturity1
(if
the securities have not previously been redeemed)
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Index
Return of Worst Performing Underlying Index on the Final Valuation Date
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Payment
at Maturity (excluding any coupon payable at maturity)
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+40%
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$1,000.00
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+30%
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$1,000.00
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+20%
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$1,000.00
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+10%
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$1,000.00
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0%
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$1,000.00
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-10%
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$1,000.00
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-20%
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$1,000.00
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-21%
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$790.00
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-30%
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$700.00
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-40%
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$600.00
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-50%
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$500.00
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-60%
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$400.00
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-70%
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$300.00
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-80%
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$200.00
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-90%
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$100.00
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-100%
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$0
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1All payments are subject
to our credit risk
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On the date of the accompanying preliminary pricing supplement, Citigroup
Global Markets Holdings Inc. expects that the estimated value of the securities on the pricing date will be at least $914.50 per security,
which will be less than the public offering price. The estimated value of the securities is based on Citigroup Global Markets Inc.’s
(“CGMI”) 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.
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Citigroup
Global Markets Holdings Inc. and Citigroup Inc. have filed registration statements (including the accompanying preliminary pricing supplement,
product supplement, underlying supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”)
for the offering to which this communication relates. Before you invest, you should read the accompanying preliminary pricing supplement,
product supplement, underlying supplement, prospectus supplement and prospectus in those registration statements (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 obtain these documents without
cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, you can request these documents by calling toll-free 1-800-831-9146.
Underlying Indices
For more information about the underlying
indices, including historical performance information, see the accompanying preliminary pricing supplement.
Risk Considerations
The risks set forth below are discussed in
more detail in the “Summary Risk Factors” section in the accompanying preliminary pricing supplement. Please review those
risk factors carefully prior to making an investment decision.
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·
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You
may lose a significant portion or all of your investment.
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·
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You
will not receive any contingent coupon payment for any quarter in which the closing level
of the worst performing underlying index on the related valuation date is less than its downside
threshold level.
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·
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The
securities are subject to the risks of all of the underlying indices and will be negatively
affected if any one of the underlying indices performs poorly, even if the others perform
well.
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·
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You
will not benefit in any way from the performance of the better performing underlying indices.
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·
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You
will be subject to risks relating to the relationship among the underlying indices.
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·
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Higher
contingent coupon rates are associated with greater risk.
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·
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You
may not be adequately compensated for assuming the downside risk of the worst performing
underlying index.
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·
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The
securities may be automatically called prior to maturity, limiting your opportunity to receive
contingent coupon payments.
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·
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The
securities offer downside exposure to the worst performing underlying index, but no upside
exposure to the underlying indices.
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The
performance of the securities will depend on the closing levels of the underlying indices
solely on the relevant valuation dates, which makes the securities particularly sensitive
to the volatility of the underlying indices.
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·
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The
securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup
Inc.
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·
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The
securities will not be listed on any securities exchange and you may not be able to sell
them prior to maturity.
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·
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The
estimated value of the securities on the pricing date, based on CGMI’s proprietary
pricing models and Citigroup Global Markets Holdings Inc.’s internal funding rate,
will be less than the issue price.
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·
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The
estimated value of the securities would be lower if it were calculated based on Citigroup
Global Market Holdings Inc.’s secondary market rate.
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The
estimated value of the securities is not an indication of the price, if any, at which Citigroup
Global Market Inc. or any other 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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·
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Immediately
following issuance, any secondary market bid price provided by Citigroup Global Market Inc.,
and the value that will be indicated on any brokerage account statements prepared by Citigroup
Global Market Inc. or its affiliates, will reflect a temporary upward adjustment.
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The
securities are linked to the Russell 2000® Index and will be subject to risks
associated with small capitalization stocks.
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Changes
that affect the underlying indices may affect the value of your securities.
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Citigroup
Global Market Holdings Inc.’s offering of the securities does not constitute a recommendation
of any underlying index.
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The
level of an underlying index may be adversely affected by Citigroup Global Market Holdings
Inc.’s or its affiliates’ hedging and other trading activities.
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·
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Citigroup
Global Market Holdings Inc. and its affiliates may have economic interests that are adverse
to yours as a result of the business activities of Citigroup Global Market Holdings Inc.’s
affiliates.
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·
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The
calculation agent, which is an affiliate of Citigroup Global Market Holdings Inc., will make
important determinations with respect to the securities.
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The
U.S. federal tax consequences of an investment in the securities are unclear.
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Tax Considerations
You should review carefully the discussion
in the accompanying preliminary pricing supplement under the heading “United States Federal Tax Considerations” concerning
the U.S. federal tax consequences of an investment in the securities, and you should consult your tax adviser.
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