Market Linked Notes—Leveraged Upside
Participation with Quarterly Averaging and Principal Return at Maturity
Notes Linked to an Equity Index Basket
due April 6, 2029
Term Sheet to Preliminary Pricing Supplement
No. 2021—USNCH6880 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 notes are fully and unconditionally guaranteed by Citigroup Inc.
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Term
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Approximately 8 years
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Basket
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A basket comprised of the following basket components, with the return of each basket component having the weighting noted parenthetically: the EURO STOXX 50® Index (60%), the TOPIX® Index (12%), the FTSE® 100 Index (10%), the Swiss Market Index® (10%) and the S&P/ASX 200 Index (8%)
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Stated Principal Amount
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$1,000 per note
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Pricing Date
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March 31, 2021*
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Issue Date
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April 6, 2021*
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Valuation Dates
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The 29th day of each March, June, September and December, beginning in June 2021 and ending on March 29, 2029 (the “final valuation date”)*
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Maturity Date
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April 6, 2029*
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Payment at Maturity
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See “Payment at Maturity” on Page 3
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Initial Basket Value
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100
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Final Average Basket Value
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100 × (1 + the sum of the weighted component returns of the basket components)
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Average Component Return
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For each basket component: (average component value – initial component value) / initial component value
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Weighted Component Return
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For each basket component, its average component return multiplied
by its weighting
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Initial Component Value
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For each basket component, its closing value on the pricing date
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Average Component Value
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For each basket component, the arithmetic average of its closing values on the valuation dates
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Participation Rate
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105% to 115% (to be determined on the pricing 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 3.625%, 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 notes 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 notes to other securities dealers.
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CUSIP / ISIN
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17328YVZ4 / US17328YVZ41
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· Linked
to an equity index basket (the “basket”) comprised of the the EURO STOXX 50® Index (60%), the TOPIX®
Index (12%), the FTSE® 100 Index (10%), the Swiss Market Index® (10%) and the S&P/ASX 200 Index
(8%) (each, a “basket component”)
· Unlike
ordinary debt securities, the notes do not pay interest. Instead, the notes offer the potential for a positive return at maturity
based on the performance of the basket from the initial basket value to the final average basket value. The payment at maturity
will reflect the following terms:
o If
the final average basket value is greater than the initial basket value, you will receive the stated principal amount plus
a positive return equal to 105% to 115% (to be determined on the pricing date) of the percentage increase from the initial basket
value to the final average basket value
o If
the final average basket value is less than or equal to the initial basket value, you will be repaid the stated principal amount
but will not receive any positive return on your investment
· The
final average basket value is based on the average of closing values of the basket components on specified dates occurring quarterly
during the term of the notes
· The
notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our obligations
under the notes and Citigroup Inc. defaults on its guarantee obligations under the notes, you may not receive anything owed to
you under the notes.
· No
periodic interest payments or dividends
· The
notes will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should not invest
in the notes 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 notes remains the same.
On the date of the related
preliminary pricing supplement, Citigroup Global Markets Holdings Inc. expects that the estimated value of the notes on
the pricing date will be at least $900 per note, which will be less than the public offering price. The estimated value
of the notes 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
notes from you at any time after issuance. See “Valuation of the Notes” in the accompanying preliminary pricing
supplement.
The notes have complex
features and investing in the notes 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 and “Risk Factors Relating to the Notes” 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, underlying supplement, prospectus supplement and prospectus before making a decision to invest in the notes.
NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY
Hypothetical
Returns
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The table below is based on a range of hypothetical percentage
changes from the initial basket value to the hypothetical final average basket value and illustrates:
• the
hypothetical percentage change from the initial basket value to the hypothetical final average basket value;
• the
hypothetical payment at maturity per note; and
• the
hypothetical total pre-tax rate of return.
The table
below assumes that the participation rate will be set at the lowest value indicated under
“Key Terms” above. The actual participation rate will be determined on the pricing date.
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Hypothetical
final average basket value
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Hypothetical
percentage change
from the hypothetical
initial basket value to the
hypothetical final average basket value
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Hypothetical payment at
maturity per note
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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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$2,050.00
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105.00%
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175.00
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75.00%
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$1,787.50
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78.75%
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150.00
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50.00%
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$1,525.00
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52.50%
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140.00
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40.00%
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$1,420.00
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42.00%
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130.00
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30.00%
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$1,315.00
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31.50%
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120.00
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20.00%
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$1,210.00
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21.00%
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110.00
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10.00%
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$1,105.00
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10.50%
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100.00
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0.00%
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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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60.00
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-40.00%
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$1,000.00
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0.00%
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50.00
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-50.00%
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$1,000.00
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0.00%
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25.00
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-75.00%
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$1,000.00
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0.00%
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0.00
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-100.00%
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$1,000.00
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0.00%
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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 average basket value is greater than the initial basket value:
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$1,000 + [$1,000 ×
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final average basket value –
initial basket value
initial basket value
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× participation rate]
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• If the final average
basket value is less than or equal to the initial basket value, $1,000
If the final average
basket value is less than or equal to the initial basket value, you will be repaid the stated principal amount of the notes at
maturity but will not receive any return on your investment.
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Risk
Factors
An investment in the notes is significantly riskier than an
investment in conventional debt securities. The notes 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 notes, and are also subject to risks associated with the basket. Accordingly, the notes are suitable only for investors who
are capable of understanding the complexities and risks of the notes. You should consult your own financial, tax and legal advisors
as to the risks of an investment in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. 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 notes contained in the section “Risk
Factors Relating to the Notes” beginning on page EA-6 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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·
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You May Not Receive Any Positive Return On Your Investment In The
Notes.
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The Notes Do Not Pay Interest.
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The Potential For A Positive Return On The Notes At Stated Maturity
Is Based On The Average Performance Of The Basket Components During The Term Of The Notes, Which May Be Less Favorable Than The
Performance Of The Basket As Measured From Its Initial Basket Value To Its Value At Or Near Stated Maturity.
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Changes In The Value Of The Basket Components May Offset Each Other.
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The Basket Components Are Unequally Weighted.
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The Basket Components May Be Highly Correlated In Decline.
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You Will Not Receive Dividends Or Have Any Other Rights With Respect
To The Basket Components.
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Although The Notes Provide For The Repayment
Of The Stated Principal Amount At Maturity, You May Nevertheless Suffer A Loss On Your Investment In Real Value Terms If The Percentage
Change From The Initial Basket Value To The Final Average Basket Value Is Less Than Or Not Sufficiently Greater Than Zero.
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The Notes Are Subject To The Credit Risk
Of Citigroup Global Markets Holdings Inc. And Citigroup Inc.
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The Notes Are Riskier Than Securities
With A Shorter Term.
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The Notes Will Not Be Listed On Any Securities Exchange And You May
Not Be Able To Sell Them Prior To Maturity.
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Sale Of The Notes Prior To Maturity May Result In A Loss Of Principal.
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The Estimated Value Of The Notes 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 Notes Was Determined For Us By Our Affiliate
Using Proprietary Pricing Models.
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The Estimated Value Of The Notes 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 Notes Is Not An Indication Of The Price,
If Any, At Which Any Person May Be Willing To Buy The Notes From You In The Secondary Market.
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The Value Of The Notes 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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An Investment In The Notes Is Not A Diversified Investment.
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The Basket Components Are Subject To Risks Associated With Non-U.S.
Markets.
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The Performance Of The Basket Components Will Not Be Adjusted For
Changes In Currency Exchange Rates.
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Our Offering Of The Notes Is Not A Recommendation Of The Basket Or
The Basket Components.
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The Closing Values Of The Basket Components 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 Notes.
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Changes That Affect The Basket Components May Affect The Value Of
Your Notes.
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The Stated Maturity Date May Be Postponed If The Final Valuation Date
Is Postponed.
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·
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You Will Be Required To Recognize Taxable Income On The Notes Prior
To Maturity.
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Not
suitable for all investors
Investment
suitability must be determined individually for each investor. The notes described herein are not a suitable investment for all
investors. In particular, no investor should purchase the notes 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
notes prior to maturity is likely to result in sale proceeds that are substantially less than the stated principal amount per
note. Citigroup Global Markets Holdings Inc. and its affiliates are not obligated to purchase the notes 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, underlying supplement, 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, underlying supplement, 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, underlying 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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