Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
March 02 2021 - 2:56PM
Edgar (US Regulatory)
Citigroup
Global Markets Holdings Inc.
|
|
Term
Sheet No. 2021–USNCH6521 dated January 29, 2021
relating
to Pricing Supplement
No.
2021–USNCH6521 dated February 26, 2021
Registration
Statement Nos. 333-224495 and 333-224495-03
Filed
Pursuant to Rule 433
|
Market Linked Notes—Upside Participation
with Quarterly Averaging and Principal Return at Maturity
Notes Linked to an Equity Index Basket
due March 5, 2029
Term Sheet to Pricing Supplement No. 2021—USNCH6521
dated February 26, 2021
|
Key Terms
|
Investment Description
|
Issuer
|
Citigroup
Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
· Linked
to an equity index basket (the “basket”) comprised of 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% 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
|
Guarantee
|
All
payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
|
Term
|
Approximately
8 years
|
Basket
|
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%)
|
Stated
Principal Amount
|
$1,000
per note
|
Pricing
Date
|
February
26, 2021
|
Issue
Date
|
March
3, 2021
|
Valuation
Dates
|
The
26th day of each February, May, August and November, beginning in May 2021 and ending on February 26, 2029 (the “final
valuation date”)
|
Maturity
Date
|
March
5, 2029
|
Payment
at Maturity
|
See
“Payment at Maturity” on Page 3
|
Initial
Basket Value
|
100
|
Final
Average Basket Value
|
100
× (1 + the sum of the weighted component returns of the basket components)
|
Average
Component Return
|
For
each basket component: (average component value – initial component value) / initial component value
|
Weighted
Component Return
|
For
each basket component, its average component return multiplied by its weighting
|
Initial
Component Value
|
For
each basket component, its closing value on the pricing date
|
Average
Component Value
|
For
each basket component, the arithmetic average of its closing values on the valuation dates
|
Participation
Rate
|
105%
|
Calculation
Agent
|
Citigroup
Global Markets Inc. (“CGMI”), an affiliate of the issuer
|
Denominations
|
$1,000
and any integral multiple of $1,000
|
Agent
Discount and Commission
|
3.62%,
of which dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession of 2.50% and WFA will
receive a distribution expense fee of 0.12%. In respect of certain 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.
|
CUSIP
/ ISIN
|
17328YQP2
/ US17328YQP24
|
On the date
of the related pricing supplement, the estimated value of the notes is $906.40 per note, which is 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 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 pricing supplement and “Risk Factors
Relating to the Notes” in the accompanying product supplement.
|
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
Hypothetical Returns
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.
|
Hypothetical
final average basket value
|
Hypothetical
percentage change
from the hypothetical
initial basket value to the hypothetical final
average basket value
|
Hypothetical payment at maturity per note
|
Hypothetical total pre-tax rate of return
|
200.00
|
100.00%
|
$2,050.00
|
105.00%
|
175.00
|
75.00%
|
$1,787.50
|
78.75%
|
150.00
|
50.00%
|
$1,525.00
|
52.50%
|
140.00
|
40.00%
|
$1,420.00
|
42.00%
|
130.00
|
30.00%
|
$1,315.00
|
31.50%
|
120.00
|
20.00%
|
$1,210.00
|
21.00%
|
110.00
|
10.00%
|
$1,105.00
|
10.50%
|
100.00
|
0.00%
|
$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
80.00
|
-20.00%
|
$1,000.00
|
0.00%
|
70.00
|
-30.00%
|
$1,000.00
|
0.00%
|
60.00
|
-40.00%
|
$1,000.00
|
0.00%
|
50.00
|
-50.00%
|
$1,000.00
|
0.00%
|
25.00
|
-75.00%
|
$1,000.00
|
0.00%
|
0.00
|
-100.00%
|
$1,000.00
|
0.00%
|
The above figures are for purposes of illustration only and may have been rounded for ease of analysis.
|
For
each $1,000 stated principal amount you hold at maturity:
|
•
|
If the final average basket value is greater than the initial basket value:
|
$1,000 + [$1,000 ×
|
final average basket value –
initial basket value
initial basket value
|
× participation rate]
|
|
•
|
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.
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 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.
|
·
|
You
May Not Receive Any Positive Return On Your Investment In The Notes.
|
|
·
|
The
Notes Do Not Pay Interest.
|
|
·
|
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.
|
|
·
|
Changes
In The Value Of The Basket Components May Offset Each Other.
|
|
·
|
The
Basket Components Are Unequally Weighted.
|
|
·
|
The
Basket Components May Be Highly Correlated In Decline.
|
|
·
|
You
Will Not Receive Dividends Or Have Any Other Rights With Respect To The Basket Components.
|
|
·
|
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.
|
|
·
|
The
Notes Are Subject To The Credit Risk Of Citigroup Global Markets Holdings Inc. And Citigroup Inc.
|
|
·
|
The
Notes Are Riskier Than Securities With A Shorter Term.
|
|
·
|
The
Notes Will Not Be Listed On Any Securities Exchange And You May Not Be Able To Sell Them Prior To Maturity.
|
|
·
|
Sale
Of The Notes Prior To Maturity May Result In A Loss Of Principal.
|
|
·
|
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.
|
|
·
|
The
Estimated Value Of The Notes Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.
|
|
·
|
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.
|
|
·
|
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.
|
|
·
|
The
Value Of The Notes Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors.
|
|
·
|
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.
|
|
·
|
An
Investment In The Notes Is Not A Diversified Investment.
|
|
·
|
The
Basket Components Are Subject To Risks Associated With Non-U.S. Markets.
|
|
·
|
The
Performance Of The Basket Components Will Not Be Adjusted For Changes In Currency Exchange Rates.
|
|
·
|
Our
Offering Of The Notes Is Not A Recommendation Of The Basket Or The Basket Components.
|
|
·
|
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.
|
|
·
|
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.
|
|
·
|
The
Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important Determinations With Respect To The Notes.
|
|
·
|
Changes
That Affect The Basket Components May Affect The Value Of Your Notes.
|
|
·
|
The
Stated Maturity Date May Be Postponed If The Final Valuation Date Is Postponed.
|
|
·
|
You
Will Be Required To Recognize Taxable Income On The Notes Prior To Maturity.
|
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 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 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, underlying supplement, 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, 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.
Citigroup (NYSE:C)
Historical Stock Chart
From Mar 2024 to Apr 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Apr 2023 to Apr 2024