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Market Linked Securities—Auto-Callable with
Contingent Downside
Principal at Risk Securities Linked to
the S&P 500® Index due November 6, 2023
Term Sheet to Pricing Supplement No. 2019—USNCH2980
dated October 30, 2019
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Key Terms
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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 4 years (unless earlier called)
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Underlying
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The S&P 500® Index
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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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October 30, 2019
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Issue Date
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November 4, 2019
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Valuation Dates
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April 30, 2020, October 30, 2020, April 30, 2021, November 1, 2021, May 2, 2022, October 31, 2022, May 1, 2023 and October 30, 2023 (the “final valuation date”)
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Maturity Date
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November 6, 2023
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Payment at Maturity
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See “Payment at Maturity” on Page 3
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Automatic Call
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See “Automatic Call” on Page 2
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Call Premium
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See “Call Premium” on Page 2
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Trigger Value
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2,589.7545, 85% of the initial underlying value
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Initial Underlying Value
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3,046.77, the closing value of the underlying on the pricing date
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Final Underlying Value
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The closing value of the underlying on the final 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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2.175%, of which dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession of 1.50% and WFA will receive a distribution expense fee of 0.075%
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CUSIP / ISIN
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17327TQS8 / US17327TQS86
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Investment Description
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Linked to the S&P 500® Index (the “underlying”)
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Unlike ordinary debt securities, the securities do not pay interest,
do not guarantee the repayment of principal at maturity and are subject to potential automatic early redemption on a periodic basis
on the terms described below. Your return on the securities will depend on the performance of the underlying.
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Automatic Call. If the closing value of the underlying on any
valuation date (including the final valuation date) is greater than or equal to the initial underlying value, the securities will
be automatically called for redemption for an amount in cash equal to the stated principal amount plus the call premium
applicable to that valuation date. The call premium applicable to each valuation date will be a percentage of the stated principal
amount that increases for each valuation date based on a simple (non-compounding) return of 7% per annum.
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Potential Loss of Principal. If the securities are not automatically
called for redemption prior to or at maturity, you will receive the stated principal amount at maturity if, and only if, the final
underlying value is greater than or equal to the trigger value. If the final underlying value is less than the trigger value, you
will lose a significant portion, and possibly all, of the stated principal amount of your securities.
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The trigger value is equal to 85% of the initial underlying value.
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If the securities are not automatically called for redemption prior
to or at maturity, you will have full downside exposure to the underlying from the initial underlying value if the final underlying
value is less than the trigger value.
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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.
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No periodic interest payments or dividends.
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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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On the date of the related pricing supplement, the estimated
value of the securities is $971.90 per security, which is 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 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 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
term sheet should be read in conjunction with the accompanying pricing supplement, product supplement, underlying supplement, prospectus
supplement and prospectus.
NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC
OR ANY OTHER GOVERNMENTAL AGENCY
Automatic Call
If the closing value of the underlying on any valuation date
(including the final valuation date) is greater than or equal to the initial underlying value, the securities will be automatically
called for redemption on the related call settlement date for an amount in cash per security equal to $1,000 plus the call premium
applicable to that valuation date.
Any positive return on the securities will be limited to the
applicable call premium, even if the closing value of the underlying on the applicable valuation date significantly exceeds the
initial underlying value. You will not participate in any appreciation of the underlying beyond the applicable call premium.
The call settlement date for any valuation date is the fifth
business day after such valuation date, except that the call settlement date for the final valuation date shall be the maturity
date.
If the securities are automatically called for redemption, they
will cease to be outstanding on the related call settlement date and you will have no further rights under the securities after
such call settlement date. You will not receive any notice from us if the securities are automatically called.
Call Premium
The call premium applicable to each valuation date
is indicated below.
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Valuation Date
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Call Premium
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April 30, 2020:
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3.50% of the stated principal amount
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October 30, 2020:
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7.00% of the stated principal amount
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April 30, 2021:
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10.50% of the stated principal amount
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November 1, 2021:
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14.00% of the stated principal amount
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May 2, 2022:
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17.50% of the stated principal amount
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October 31, 2022:
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21.00% of the stated principal amount
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May 1, 2023:
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24.50% of the stated principal amount
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October 30, 2023:
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28.00% of the stated principal amount
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Hypothetical Examples
The table below illustrates how the amount payable per security
will be calculated if the closing value of the underlying on any valuation date (including the final valuation date) is greater
than or equal to the initial underlying value.
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If the first valuation date on which the closing value of the underlying is greater than or equal to the initial underlying value is . . .
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. . . then you will receive the following payment per $1,000 security upon automatic call:
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April 30, 2020
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$1,000 + applicable call premium = $1,000 + $35.00 = $1,035.00
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October 30, 2020
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$1,000 + applicable call premium = $1,000 + $70.00 = $1,070.00
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April 30, 2021
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$1,000 + applicable call premium = $1,000 + $105.00 = $1,105.00
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November 1, 2021
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$1,000 + applicable call premium = $1,000 + $140.00 = $1,140.00
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May 2, 2022
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$1,000 + applicable call premium = $1,000 + $175.00 = $1,175.00
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October 31, 2022
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$1,000 + applicable call premium = $1,000 + $210.00 = $1,210.00
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May 1, 2023
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$1,000 + applicable call premium = $1,000 + $245.00 = $1,245.00
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October 30, 2023 (the final valuation date)
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$1,000 + applicable call premium = $1,000 + $280.00 = $1,280.00
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The diagram at right illustrates your payment at maturity, assuming the securities are not automatically called for redemption prior to or at maturity, for a range of hypothetical percentage changes from the initial underlying value to the final underlying value (referred to as the “underlying return”).
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Hypothetical Returns
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If the securities are automatically called
for redemption:
If the securities are automatically called
for redemption prior to or at maturity, you will receive the stated principal amount of your securities plus the call premium
applicable to the related valuation date. In the event the securities are automatically called for redemption following any valuation
date, your total return on the securities will equal the applicable call premium received with respect to that valuation date.
If the securities are not automatically
called for redemption:
If
the securities are not automatically called for redemption prior to or at maturity, the table below is based on a range
of hypothetical underlying returns and illustrates:
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the hypothetical underlying return;
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the hypothetical payment at maturity per security; and
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the hypothetical total pre-tax rate of return.
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The table below is based on a hypothetical
initial underlying value of 100 and does not reflect the actual initial underlying value.
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Hypothetical
final underlying value
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Hypothetical underlying return
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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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99.99
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-0.01%
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$1,000.00
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0.00%
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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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85.00
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-15.00%
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$1,000.00
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0.00%
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84.99
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-15.01%
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$849.90
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-15.01%
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80.00
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-20.00%
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$800.00
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-20.00%
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70.00
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-30.00%
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$700.00
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-30.00%
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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
If
the securities are not automatically called for redemption prior to or at maturity, you will receive a payment at maturity for
each $1,000 stated principal amount security you then hold determined as follows:
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If the final underlying value is less than
the initial underlying value but greater than or equal to the trigger value: $1,000; or
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If the final underlying value is less than
the trigger value: $1,000 minus:
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$1,000 ×
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initial underlying
value – final underlying value
initial underlying value
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If the securities are not automatically called for redemption
prior to or at maturity and the final underlying value is less than the trigger value, you will receive significantly less than
the stated principal amount of your securities, and possibly nothing, at maturity.
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 the underlying. 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
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 A Significant Portion 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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Higher Call Premiums Are Associated With Greater Risk.
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The Securities May Be Automatically Called For Redemption Prior To
Maturity, Limiting The Term Of The Securities.
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The Securities Offer Downside Exposure To The Underlying, But No Upside
Exposure To The Underlying.
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You Will Not Receive Dividends Or Have Any Other Rights With Respect
To The Securities Included In The Underlying.
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The Performance Of The Securities Will
Depend On The Closing Values Of The Underlying Solely On The Valuation Dates, Which Makes The Securities Particularly Sensitive
To Volatility In The Closing Values Of The Underlying On Or Near The Valuation Dates.
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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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Our Offering Of The Securities Is Not A Recommendation Of The Underlying.
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The Closing Value Of The 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 Underlying 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 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 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 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 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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