(1) Citigroup Global Markets Holdings Inc. currently expects that the
estimated value of the securities on the pricing date will be at least $915.50 per security, which will be less than the public offering
price. The estimated value of the securities is based on Citigroup Global Market Inc.’s (“CGMI”) proprietary
pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it
an indication of the price, if any, at which any person may be willing to buy the securities from you at any time after issuance. See
“Valuation of the Securities” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc., as
the lead agent for the offering, expects to sell the securities to Wells Fargo, as agent. Wells Fargo will receive an underwriting discount
and commission of up to 3.00% ($30.00) for each security it sells. Wells Fargo will pay selected dealers, which may include Wells Fargo
Advisors (“WFA”) (the trade name of the retail brokerage business of its affiliates, Wells Fargo Clearing Services, LLC and
Wells Fargo Advisors Financial Network, LLC), a fixed selling commission of 2.00% ($20.00) for each security they sell. In
addition to the selling commission allowed to WFA, Wells Fargo will pay $0.75 per security of the underwriting discount and commission
to WFA as a distribution expense fee for each security sold by WFA. The total underwriting discount and commission and proceeds to Citigroup
Global Markets Holdings Inc. shown above give effect to the actual underwriting discount and commission provided for the sale of the
securities. See “Supplemental Plan of Distribution” below and “Use of Proceeds and Hedging” in the
accompanying prospectus for further information regarding how we have hedged our obligations under the securities.
(3) In respect of certain securities sold in this offering, CGMI may
pay a fee of up to $1.00 per security to selected securities dealers in consideration for marketing and other services in connection
with the distribution of the securities to other securities dealers.
Underlyings:
|
The Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index (each referred to as an “underlying,” and collectively as the “underlyings”)
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Stated Principal Amount:
|
$1,000 per security. References in this pricing supplement to a “security” are to a security with a stated principal amount of $1,000.
|
Pricing Date:
|
August 30, 2021*
|
Issue Date:
|
September 2, 2021*
|
Valuation Date:
|
August 26, 2024, subject to postponement if such date is not a trading day or certain market disruption events occur.* See “Additional Terms of the Securities.”
|
Maturity Date:
|
September 3, 2024. If the valuation date is postponed for any underlying, the stated maturity date will be the later of (i) September 3, 2024 and (ii) three business days after the last valuation date as postponed.* See “Additional Terms of the Securities.”
|
Payment at Maturity:
|
For each $1,000 stated principal amount
security you hold at maturity:
• If
the final underlying value of the worst performing underlying is greater than its initial underlying value:
$1,000 + ($1,000 × underlying
return of the worst performing underlying × participation rate);
• If
the final underlying value of the worst performing underlying is less than or equal to its initial underlying value, but greater
than or equal to its final barrier value:
$1,000; or
• If
the final underlying value of the worst performing underlying is less than its final barrier value:
$1,000 + ($1,000
× underlying return of the worst performing underlying)
If the final underlying value
of the worst performing underlying 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.
|
Participation Rate:
|
130% to 140% (to be determined on the pricing date)
|
Final Barrier Value:
|
With respect to
the Dow Jones Industrial AverageTM: , which is equal to 75% of its initial
underlying value.
With respect to
the Russell 2000® Index: , which is equal to 75% of its initial underlying
value.
With respect to
the S&P 500® Index: ,
which is equal to 75% of its initial underlying value.
|
Initial Underlying Value:
|
With respect to
the Dow Jones Industrial AverageTM: , its closing value on the pricing date.
With respect to
the Russell 2000® Index: , its closing value on the pricing date.
With respect
to the S&P 500® Index:
, its closing value on the pricing date.
|
Final Underlying Value:
|
For each underlying, its closing value on the valuation date
|
Underlying Return:
|
For each underlying, (i) its final underlying value minus its initial underlying value, divided by (ii) its initial underlying value
|
Worst Performing Underlying:
|
The underlying with the lowest underlying return
|
Calculation Agent:
|
CGMI
|
Denominations:
|
$1,000 and any integral multiple of $1,000
|
CUSIP / ISIN:
|
17329QJ84 / US17329QJ845
|
* Expected. To the extent that the issuer makes any change to the expected pricing date or expected issue date, the valuation date and maturity date may also be changed in the issuer’s discretion to ensure that the term of the securities remains the same.
|
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
The terms of the securities are set forth in the
accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, underlying supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in
this pricing supplement. For example, the accompanying product supplement contains important information about how the closing
value of the underlyings will be determined and other specified events with respect to the underlyings. The accompanying underlying
supplement contains information about the underlyings that is not repeated in this pricing supplement. It is important that
you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement
in deciding whether to invest in the securities. Certain terms used but not defined in this pricing supplement are defined
in the accompanying product supplement.
When we refer to “we,” “us”
and “our” in this pricing supplement, we refer only to Citigroup Global Market Holdings Inc. and not to any of its affiliates,
including Citigroup Inc.
You may access the product supplement, underlying
supplement and prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing
our filings for the relevant date on the SEC website):
|
•
|
Product Supplement No. EA-02-09 dated May 11, 2021:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010321007038/dp150744_424b2-par0209.htm
|
•
|
Underlying Supplement No. 10 dated May 11, 2021:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010321007028/dp150879_424b2-us10.htm
|
•
|
Prospectus Supplement and Prospectus, each dated May 11, 2021:
|
https://www.sec.gov/Archives/edgar/data/200245/000119312521157552/d423193d424b2.htm
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
We have designed the securities for investors
who:
|
·
|
seek leveraged exposure to the positive performance of the worst performing underlying if its final underlying
value is greater than its initial underlying value;
|
|
·
|
understand that if the final underlying value of the worst performing underlying is less than its final
barrier value, they will be fully exposed to the decline in the worst performing underlying from its initial underlying value and will
receive significantly less than the stated principal amount, and possibly nothing, at maturity;
|
|
·
|
understand that the return on the securities will depend solely on the performance of the worst performing
underlying and that they will not benefit in any way from the performance of any better performing underlying;
|
|
·
|
understand that the securities are riskier than alternative investments linked to only one of the underlyings
or linked to a basket composed of each underlying;
|
|
·
|
understand and are willing to accept the full downside risks of each underlying;
|
|
·
|
are willing to forgo interest payments on the securities and dividends on securities included in the underlyings;
and
|
|
·
|
are willing to hold the securities to maturity.
|
The securities are not designed for, and may not
be a suitable investment for, investors who:
|
·
|
seek a liquid investment or are unable or unwilling to hold the securities to maturity;
|
|
·
|
are unwilling to accept the risk that the final underlying value of the worst performing underlying may
be less than its final barrier value;
|
|
·
|
seek full return of the stated principal amount of the securities at maturity;
|
|
·
|
are unwilling to purchase securities with an estimated value as of the pricing date that is lower than
the public offering price and that may be as low as the lower estimated value set forth on the cover page;
|
|
·
|
seek exposure to a basket composed of each underlying or a similar investment in which the overall return
is based on a blend of the performances of the underlyings, rather than solely on the worst performing underlying;
|
|
·
|
are unwilling to accept the risk of exposure to the United States equity market;
|
|
·
|
seek exposure to the worst performing underlying but are unwilling to accept the risk/return trade-offs
inherent in the payment at maturity for the securities;
|
|
·
|
are unwilling to accept the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.;
or
|
|
·
|
prefer the lower risk of fixed income investments with comparable maturities issued by companies with
comparable credit ratings.
|
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
Determining Payment at Maturity
|
On the maturity date, you will receive a cash
payment per security (the payment at maturity) calculated as follows:
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
Hypothetical Payout Profile
|
The diagram below illustrates your payment at
maturity for a range of hypothetical underlying returns of the worst performing underlying. The diagram assumes that the participation
rate will be set at the lowest value indicated in “Terms of the Securities” above. The actual participation rate will be determined
on the pricing date. Your actual return will depend on the actual final underlying value of the worst performing underlying, the actual
participation rate and whether you hold your securities to maturity. The performance of any better performing underlying is not relevant
to your return on the securities.
Investors in the securities will not receive
any dividends with respect to the securities included in the underlyings. The diagram below does not show any effect of lost dividend
yield over the term of the securities. See “Summary Risk Factors—You Will Not Receive Dividends Or Have Any Other Rights
With Respect To The Securities Included In The Underlyings” below.
nThe
Securities n The Worst Performing Underlying
|
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
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 each of 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 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.
You May Lose Some Or All
Of Your Investment.
Unlike conventional debt securities,
the securities do not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend on the performance
of the worst performing underlying. If the final underlying value of the worst performing underlying is less than its final barrier value,
you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing underlying has declined from
its initial underlying value. There is no minimum payment at maturity on the securities, and you may lose up to all of your
investment.
The Securities Do Not Pay
Interest.
Unlike conventional debt securities,
the securities do not pay interest or any other amounts prior to maturity. You should not invest in the securities if you seek current
income during the term of the securities.
The Securities Are Subject
To Heightened Risk Because They Have Multiple Underlyings.
The securities are more risky
than similar investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any
one underlying will perform poorly, adversely affecting your return on the securities.
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 Any Other Underlying.
You are
subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively affected, regardless
of the performance of any other underlying. The securities are not linked to a basket composed of the underlyings, where the blended performance
of the underlyings would be better than the performance of the worst performing underlying alone. Instead, you are subject
to the full risks of whichever of the underlyings is the worst performing underlying.
You Will
Not Benefit In Any Way From The Performance Of Any Better Performing Underlying.
The return
on the securities depends solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance
of any better performing underlying.
You Will
Be Subject To Risks Relating To The Relationship Between The Underlyings.
It is preferable
from your perspective for the underlyings to be correlated with each other, in the sense that they tend to increase or decrease at similar
times and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit
this relationship. The less correlated the underlyings, the more likely it is that any one of the underlyings will perform
poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one of the underlyings to perform
poorly; the performance of any underlying that is not the worst performing underlying is not relevant to your return on the securities. It
is impossible to predict what the relationship between the underlyings will be over the term of the securities. The underlyings
differ in significant ways and, therefore, may not be correlated with each other.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
You Will Not Receive Dividends Or Have Any
Other Rights With Respect To The Securities Included In The Underlyings.
You will not receive any dividends
with respect to the securities included in the underlyings. This lost dividend yield may be significant over the term of the
securities. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the
term of the securities. In addition, you will not have voting rights or any other rights with respect to the securities included
in the underlyings.
Your Payment At Maturity
Depends On The Value Of The Worst Performing Underlying On A Single Day.
Because your payment at maturity
depends on the value of the worst performing underlying solely on the valuation date, you are subject to the risk that the value of the
worst performing underlying on that day may be lower, and possibly significantly lower, than on one or more other dates during the term
of the securities. If you had invested in another instrument linked to the worst performing underlying that you could sell for full value
at a time selected by you, or if the payment at maturity were based on an average of values of the worst performing underlying, you might
have achieved better returns.
The Securities Are Subject
To The Credit Risk Of Citigroup Global Markets Holdings Inc. And Citigroup Inc.
If we default on our obligations
under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you under the securities.
The Securities Will Not Be Listed On Any Securities
Exchange And You May Not Be Able To Sell Them Prior To Maturity.
The securities will not be listed on any securities
exchange. Therefore, there may be little or no secondary market for the securities. We have been advised that Wells Fargo currently intends
to make a secondary market in relation to the securities. However, Wells Fargo may suspend or terminate making a market without notice,
at any time and for any reason. If Wells Fargo suspends or terminates making a market, there may be no secondary market at all for the
securities because it is likely that Wells Fargo will be the only broker-dealer that is willing to buy your securities prior to maturity.
Accordingly, an investor must be prepared to hold the securities until maturity.
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.
The difference is attributable to certain costs
associated with selling, structuring and hedging the securities that are included in the public offering price. These costs include (i)
any selling concessions or other fees paid in connection with the offering of the securities, (ii) hedging and other costs incurred by
us and our affiliates in connection with the offering of the securities and (iii) the expected profit (which may be more or less than
actual profit) to CGMI or other of our affiliates and/or Wells Fargo or its affiliates in connection with hedging our obligations under
the securities. These costs adversely affect the economic terms of the securities because, if they were lower, the economic terms of the
securities would be more favorable to you. The economic terms of the securities are also likely to be adversely affected by the use of
our internal funding rate, rather than our secondary market rate, to price the securities. See “The Estimated Value Of The Securities
Would Be Lower If It Were Calculated Based On Our Secondary Market Rate” below.
The Estimated Value Of The Securities Was Determined
For Us By Our Affiliate Using Proprietary Pricing Models.
CGMI derived the estimated value disclosed on
the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about
the inputs to its models, such as the volatility of and correlation between the underlyings, the dividend yields on the securities included
in the underlyings and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter
in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and
therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the
cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities for other purposes,
including for accounting purposes. You should not invest in the securities because of the estimated value of the securities. Instead,
you should be willing to hold the securities to maturity irrespective of the initial estimated value.
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.
The estimated value of the securities included
in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds
through the issuance of the securities. We expect that our internal funding rate is generally lower than Wells Fargo’s determination
of the secondary market rate with respect to us, which is the rate that we expect
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
Wells Fargo will use in determining the value
of the securities for purposes of any purchases of the securities from you in the secondary market. If the estimated value included in
this pricing supplement were based on Wells Fargo’s determination of the secondary market rate with respect to us, rather than our
internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated
with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and
preferences. Our internal funding rate is not an interest rate that is payable on the securities.
Because there is not an active market for traded
instruments referencing our outstanding debt obligations, Wells Fargo may determine the secondary market rate with respect to us for purposes
of any purchase of the securities from you in the secondary market based on the market price of traded instruments referencing the debt
obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject to adjustments
that Wells Fargo may deem appropriate.
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.
Any such secondary market price will fluctuate
over the term of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated
value included in this pricing supplement, we expect that any value of the securities determined for purposes of a secondary market transaction
will be based on Wells Fargo’s determination of the secondary market rate with respect to us, which will likely result in a lower
value for the securities than if our internal funding rate were used. In addition, we expect that any secondary market price for the securities
will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the securities to be purchased
in the secondary market transaction, and may be reduced by the expected cost of unwinding related hedging transactions. As a result, it
is likely that any secondary market price for the securities will be less than the public offering price.
The Value Of The Securities Prior To Maturity
Will Fluctuate Based On Many Unpredictable Factors.
The value of your securities prior to maturity
will fluctuate based on the closing values of the underlyings, the volatility of the closing values of the underlyings, the correlation
between the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk Factors Relating
to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based
on many unpredictable factors” in the accompanying product supplement. Changes in the closing values of the underlyings may not
result in a comparable change in the value of your securities. You should understand that the value of your securities at any time prior
to maturity may be significantly less than the public offering price.
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.
The amount of this temporary upward adjustment
will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing supplement.
The Russell 2000® Index Is Subject To Risks Associated
With Small Capitalization Stocks.
The stocks that constitute the Russell 2000®
Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more
volatile than stock prices of large capitalization companies. These companies tend to be less well-established than large market
capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and
competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their
stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
Our Offering Of The Securities Is Not A Recommendation
Of Any Underlying.
The fact that we are offering the securities does
not mean that we or Wells Fargo or its affiliates believe that investing in an instrument linked to the underlyings is likely to achieve
favorable returns. In fact, as we and Wells Fargo and its affiliates are each part of respective global financial institutions, our affiliates
and affiliates of Wells Fargo may have positions (including short positions) in the underlyings or in instruments related to the underlyings,
and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlyings. These and
other activities of our affiliates or of Wells Fargo or its affiliates may affect the closing values of the underlyings in a way that
negatively affects the value of and your return on the securities.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
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.
We expect to hedge our obligations under the securities
through CGMI or other of our affiliates and/or Wells Fargo or its affiliates, who may take positions in the underlyings or in financial
instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates and Wells Fargo
and its affiliates also take positions in the underlyings or in financial instruments related to the underlyings on a regular basis (taking
long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf
of customers. These activities could affect the closing value of the underlyings in a way that negatively affects the value of and your
return on the securities. They could also result in substantial returns for us or our affiliates or Wells Fargo and its affiliates while
the value of the securities declines.
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.
Our affiliates and Wells Fargo and its affiliates
engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the
underlyings in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns
for us or our affiliates or Wells Fargo or its affiliates while the value of the securities declines. In addition, in the course
of this business, we or our affiliates or Wells Fargo or its affiliates may acquire non-public information, which will not be disclosed
to you.
The Calculation Agent, Which Is An Affiliate
Of Ours, Will Make Important Determinations With Respect To The Securities.
If certain events occur during the term of the
securities, such as market disruption events and other events with respect to an underlying, CGMI, as calculation agent, will be required
to make discretionary judgments that could significantly affect your return on the securities. In making these judgments, the
calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities. See
“ Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation agent, which is an
affiliate of ours, will make important determinations with respect to the securities” in the accompanying product supplement.
Changes That Affect The Underlyings May Affect
The Value Of Your Securities.
The sponsors of the underlyings may at any time
make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings. We
are not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may make. Such
changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
The Stated Maturity Date May Be Postponed If
The Valuation Date is Postponed.
The valuation date with respect to an underlying
will be postponed if the originally scheduled valuation date is not a trading day with respect to any underlying or if the calculation
agent determines that a market disruption event has occurred or is continuing with respect to that underlying on the valuation date. If
such a postponement occurs, the stated maturity date will be the later of (i) the initial stated maturity date and (ii) three
business days after the last valuation date as postponed.
The U.S. Federal Tax Consequences Of An Investment
In The Securities Are Unclear.
There is no direct legal authority regarding the proper U.S. federal
tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently,
significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of
the securities as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities,
the tax consequences of the ownership and disposition of the securities might be materially and adversely affected. Moreover,
future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities, possibly
retroactively.
If you are a non-U.S. investor, you should review the discussion of
withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion under
“United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
The table below is based on a range of hypothetical underlying returns
of the worst performing underlying and illustrates:
|
•
|
the hypothetical underlying return of the worst performing underlying;
|
|
•
|
the hypothetical payment at maturity per security; and
|
|
•
|
the hypothetical total pre-tax rate of return.
|
The table below is based on a hypothetical initial
underlying value for each underlying of 100 and does not reflect the actual initial underlying value of any underlying. The table below
assumes that the participation rate will be set at the lowest value indicated in “Terms of the Securities” above. The actual
participation rate will be determined on the pricing date.
Hypothetical final underlying
value of the worst performing
underlying
|
Hypothetical underlying return of the worst performing underlying
|
Hypothetical payment at maturity per security
|
Hypothetical total pre-tax rate of return
|
200.00
|
100.00%
|
$2,300.00
|
130.00%
|
175.00
|
75.00%
|
$1,975.00
|
97.50%
|
150.00
|
50.00%
|
$1,650.00
|
65.00%
|
140.00
|
40.00%
|
$1,520.00
|
52.00%
|
130.00
|
30.00%
|
$1,390.00
|
39.00%
|
120.00
|
20.00%
|
$1,260.00
|
26.00%
|
110.00
|
10.00%
|
$1,130.00
|
13.00%
|
105.00
|
5.00%
|
$1,065.00
|
6.50%
|
100.00
|
0.00%
|
$1,000.00
|
0.00%
|
95.00
|
-5.00%
|
$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
80.00
|
-20.00%
|
$1,000.00
|
0.00%
|
75.00
|
-25.00%
|
$1,000.00
|
0.00%
|
74.99
|
-25.01%
|
$749.90
|
-25.01%
|
60.00
|
-40.00%
|
$600.00
|
-40.00%
|
50.00
|
-50.00%
|
$500.00
|
-50.00%
|
25.00
|
-75.00%
|
$250.00
|
-75.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
The examples below illustrate how to determine
the payment at maturity on the securities, assuming the various hypothetical final underlying values of the worst performing underlying
indicated below. The examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction
of what the actual payment at maturity on the securities will be. The actual payment at maturity will depend on the actual
final underlying value of the worst performing underlying.
The examples
below are based on the following hypothetical values and do not reflect the actual initial underlying values or final barrier values of
the underlyings. For the actual initial underlying value and final barrier value of each underlying, see “Terms of the
Securities” above. We have used these hypothetical values, rather than the actual values, to simplify the calculations
and aid understanding of how the securities work. However, you should understand that the actual payment at maturity on the
securities will be calculated based on the actual initial underlying value and final barrier value of each underlying, and not the hypothetical
values indicated below. The examples below assume that the participation rate is set at the lowest value indicated in “Terms
of the Securities” above. The actual participation rate will be determined on the pricing date.
Underlying
|
Hypothetical initial underlying value
|
Hypothetical final barrier value
|
Dow Jones Industrial AverageTM
|
100
|
75.00 (75% of its hypothetical initial underlying value)
|
Russell 2000® Index
|
100
|
75.00 (75% of its hypothetical initial underlying value)
|
S&P 500® Index
|
100
|
75.00 (75% of its hypothetical initial underlying value)
|
Example 1—Upside Scenario. The hypothetical
final underlying value of the worst performing underlying is 110 (a 10% increase from its initial underlying value), which is greater
than its initial underlying value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
Dow Jones Industrial AverageTM*
|
110
|
10%
|
Russell 2000® Index
|
150
|
50%
|
S&P 500® Index
|
130
|
30%
|
* Worst performing underlying
Payment at maturity per security = $1,000 + ($1,000 × underlying
return of the worst performing underlying × participation rate)
= $1,000 + ($1,000 × 10% × 130%)
= $1,000 + $130
= $1,130
Because the worst performing underlying appreciated
from its initial underlying value to its hypothetical final underlying value, you would receive a total return at maturity equal to the
upside performance of the worst performing underlying multiplied by the participation rate.
Example 2—Par Scenario. The hypothetical
final underlying value of the worst performing underlying is 95 (a 5% decrease from its initial underlying value), which is less than
its initial underlying value but greater than its final barrier value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
Dow Jones Industrial AverageTM
|
110
|
10%
|
Russell 2000® Index*
|
95
|
-5%
|
S&P 500® Index
|
105
|
5%
|
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
* Worst performing underlying
Payment at maturity per security = $1,000
Because the hypothetical final underlying value
of the worst performing underlying is less than its initial underlying value but greater than its final barrier value, you would be repaid
the stated principal amount of your securities at maturity but would not receive any positive return on your investment.
Example 3—Downside Scenario. The
hypothetical final underlying value of the worst performing underlying is 30 (a 70% decrease from its initial underlying value), which
is less than its final barrier value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
Dow Jones Industrial AverageTM
|
70
|
-30%
|
Russell 2000® Index
|
90
|
-10%
|
S&P 500® Index *
|
30
|
-70%
|
* Worst performing underlying
Payment at maturity per security = $1,000 + ($1,000 × underlying
return of the worst performing underlying)
= $1,000 + ($1,000 × -70%)
= $1,000 + -$700
= $300
Because the worst performing underlying depreciated
from its initial underlying value to its hypothetical final underlying value and its hypothetical final underlying value is less than
its final barrier value, your payment at maturity in this scenario would reflect 1-to-1 exposure to the negative performance of the worst
performing underlying.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
Additional Terms of the Securities
|
The following provisions supersede the provisions
in the product supplement to the extent that they are inconsistent from those provisions.
Certain Definitions
A “trading
day” with respect to each underlying means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges
with respect to each security underlying such underlying are scheduled to be open for trading for their respective regular trading sessions
and (ii) each related futures or options exchange with respect to such underlying is scheduled to be open for trading for its regular
trading session.
The “relevant
stock exchange” for any security underlying an underlying means the primary exchange or quotation system on which such security
is traded, as determined by the calculation agent.
The “related
futures or options exchange” for an underlying means an exchange or quotation system where trading has a material effect (as determined
by the calculation agent) on the overall market for futures or options contracts relating to such underlying.
Postponement of the Valuation Date
If the scheduled valuation date is not a trading day with respect to
any underlying, the valuation date for each underlying will be postponed to the next succeeding day that is a trading day with respect
to each underlying. The valuation date for an underlying is also subject to postponement due to the occurrence of a market
disruption event with respect to such underlying on the valuation date. See “—Market Disruption Events.”
Market Disruption Events
A “market disruption event”
with respect to each underlying means any of the following events as determined by the calculation agent in its sole discretion:
|
(A)
|
The occurrence or existence
of a material suspension of or limitation imposed on trading by the relevant stock exchanges or otherwise relating to securities which
then comprise 20% or more of the level of such underlying or any successor index at any time during the one-hour period that ends at
the close of trading on that day, whether by reason of movements in price exceeding limits permitted by those relevant stock exchanges
or otherwise.
|
|
(B)
|
The occurrence or existence
of a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise in futures or options
contracts relating to such underlying or any successor index on any related futures or options exchange at any time during the one-hour
period that ends at the close of trading on that day, whether by reason of movements in price exceeding limits permitted by the related
futures or options exchange or otherwise.
|
|
(C)
|
The occurrence or existence
of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect
transactions in, or obtain market values for, securities that then comprise 20% or more of the level of such underlying or any successor
index on their relevant stock exchanges at any time during the one-hour period that ends at the close of trading on that day.
|
|
(D)
|
The occurrence or existence
of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect
transactions in, or obtain market values for, futures or options contracts relating to such underlying or any successor index on any
related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day.
|
|
(E)
|
The closure on any exchange
business day of the relevant stock exchanges on which securities that then comprise 20% or more of the level of such underlying or any
successor index are traded or any related futures or options exchange with respect to such underlying or any successor index prior to
its scheduled closing time unless the earlier closing time is
|
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
announced
by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior to the earlier of (1) the
actual closing time for the regular trading session on such relevant stock exchange or related futures or options exchange, as applicable,
and (2) the submission deadline for orders to be entered into the relevant stock exchange or related futures or options exchange, as
applicable, system for execution at such actual closing time on that day.
|
(F)
|
The relevant stock exchange
for any security underlying such underlying or successor index or any related futures or options exchange with respect to such underlying
or successor index fails to open for trading during its regular trading session.
|
For purposes
of determining whether a market disruption event has occurred with respect to an underlying:
|
(1)
|
the relevant percentage
contribution of a security to the level of such underlying or any successor index will be based on a comparison of (x) the portion of
the level of such underlying attributable to that security and (y) the overall level of such underlying or successor index, in each
case immediately before the occurrence of the market disruption event;
|
|
(2)
|
the “close of
trading” on any trading day for such underlying or any successor index means the scheduled closing time of the relevant stock exchanges
with respect to the securities underlying such underlying or successor index on such trading day; provided that, if the actual closing
time of the regular trading session of any such relevant stock exchange is earlier than its scheduled closing time on such trading day,
then (x) for purposes of clauses (A) and (C) of the definition of “market disruption event” above, with respect to any security
underlying such underlying or successor index for which such relevant stock exchange is its relevant stock exchange, the “close
of trading” means such actual closing time and (y) for purposes of clauses (B) and (D) of the definition of “market
disruption event” above, with respect to any futures or options contract relating to such underlying or successor index, the “close
of trading” means the latest actual closing time of the regular trading session of any of the relevant stock exchanges, but in
no event later than the scheduled closing time of the relevant stock exchanges;
|
|
(3)
|
the “scheduled
closing time” of any relevant stock exchange or related futures or options exchange on any trading day for such underlying or any
successor index means the scheduled weekday closing time of such relevant stock exchange or related futures or options exchange on such
trading day, without regard to after hours or any other trading outside the regular trading session hours; and
|
|
(4)
|
an “exchange business
day” means any trading day for such underlying or any successor index on which each relevant stock exchange for the securities
underlying such underlying or any successor index and each related futures or options exchange with respect to such underlying or any
successor index are open for trading during their respective regular trading sessions, notwithstanding any such relevant stock exchange
or related futures or options exchange closing prior to its scheduled closing time.
|
If a market disruption event occurs or is continuing
with respect to an underlying on the valuation date, then the valuation date for such underlying will be postponed to the first succeeding
trading day for such underlying on which a market disruption event for such underlying has not occurred and is not continuing; however,
if such first succeeding trading day has not occurred as of the eighth trading day for such underlying after the originally scheduled
valuation date, that eighth trading day shall be deemed to be the valuation date for such underlying. If the valuation date has been postponed
eight trading days for an underlying after the originally scheduled valuation date and a market disruption event occurs or is continuing
with respect to such underlying on such eighth trading day, the calculation agent will determine the closing value of such underlying
on such eighth trading day in accordance with the formula for and method of calculating the closing value of such underlying last in effect
prior to commencement of the market disruption event, using the closing price (or, with respect to any relevant security, if a market
disruption event has occurred with respect to such security, its good faith estimate of the value of such security at the scheduled closing
time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant
stock exchange. As used herein, “closing price” means, with respect to any security on any date, the relevant stock exchange
traded or quoted price of such security as of the scheduled closing time of the relevant stock exchange for such security or, if earlier,
the actual closing time of the regular trading session of such relevant stock exchange. Notwithstanding the postponement of the valuation
date for an underlying due to a market disruption event with respect to such underlying on such valuation date, the originally scheduled
valuation date will remain the valuation date for any underlying not affected by a market disruption event on such day.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
The Dow Jones Industrial AverageTM
|
The Dow
Jones Industrial AverageTM is a price-weighted index rather than a market capitalization-weighted index. The Dow Jones Industrial
AverageTM consists of 30 common stocks chosen as representative of the broad market of U.S. industry. It is calculated
and maintained by S&P Dow Jones Indices LLC.
Please refer
to the section “Equity Index Descriptions—The Dow Jones Industrial AverageTM” in the accompanying underlying
supplement for additional information.
We have
derived all information regarding the Dow Jones Industrial AverageTM from publicly available information and have not independently
verified any information regarding the Dow Jones Industrial AverageTM. This pricing supplement relates only to the
securities and not to the Dow Jones Industrial AverageTM. We make no representation as to the performance of the
Dow Jones Industrial AverageTM over the term of the securities.
The securities
represent obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Dow
Jones Industrial AverageTM is not involved in any way in this offering and has no obligation relating to the securities or
to holders of the securities.
Historical
Information
The closing
value of the Dow Jones Industrial AverageTM on July 28, 2021 was 34,930.93.
The graph
below shows the closing value of the Dow Jones Industrial AverageTM for each day such value was available from January 4,
2016 to July 28, 2021. We obtained the closing values from Bloomberg L.P., without independent verification. You
should not take historical closing values as an indication of future performance.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
The Russell 2000®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell
2000® Index are traded on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section “Equity
Index Descriptions—The Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement
for additional information.
We have derived all information
regarding the Russell 2000® Index from publicly available information and have not independently verified any information
regarding the Russell 2000® Index. This pricing supplement relates only to the securities and not to the Russell
2000® Index. We make no representation as to the performance of the Russell 2000® Index over
the term of the securities.
The securities represent obligations
of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000®
Index is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Russell
2000® Index on July 28, 2021 was 2,224.957.
The graph
below shows the closing value of the Russell 2000® Index for each day such value was available from January 4, 2016 to
July 28, 2021. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical
closing values as an indication of future performance.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
The S&P 500® Index consists
of the common stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity
markets. It is calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index
Descriptions—The S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement
for additional information.
We have derived all information regarding the
S&P 500® Index from publicly available information and have not independently verified any information regarding the
S&P 500® Index. This pricing supplement relates only to the securities and not to the S&P 500®
Index. We make no representation as to the performance of the S&P 500® Index over the term of the securities.
The securities represent obligations of Citigroup
Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index is not
involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the S&P
500® Index on July 28, 2021 was 4,400.64.
The graph
below shows the closing value of the S&P 500® Index for each day such
value was available from January 4, 2016 to July 28, 2021. We obtained the closing values from Bloomberg L.P., without independent
verification. You should not take historical closing values as an indication of future performance.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
United States Federal Tax Considerations
|
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, a security
should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in
the absence of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty
regarding this treatment, and the IRS or a court might not agree with it. Moreover, our counsel’s opinion is based on market conditions
as of the date of this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S.
federal income tax consequences should result under current law:
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to the difference
between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain or loss
if you held the security for more than one year.
|
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic
performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However,
the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta”
of one. Based on the terms of the securities and representations provided by us as of the date of this preliminary pricing
supplement, our counsel is of the opinion that the securities should not be treated as transactions that have a “delta” of
one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding
tax under Section 871(m). However, the final determination regarding the treatment of the securities under Section 871(m) will
be made as of the pricing date for the securities, and it is possible that the securities will be subject to withholding tax under Section
871(m) based on the circumstances as of that date.
A determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding
the potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be required
to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that
section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning
and disposing of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
Supplemental Plan of Distribution
|
Pursuant to the terms of the Amended and Restated
Global Selling Agency Agreement, dated April 7, 2017, CGMI, acting as principal, will purchase the securities from Citigroup Global Markets
Holdings Inc. CGMI, as the lead agent for the offering, expects to sell the securities to Wells Fargo, as agent. Wells Fargo
will receive an underwriting discount and commission of up to 3.00% ($30.00) for each security it sells. Wells Fargo will pay
selected dealers, which may include WFA, a fixed selling commission of 2.00% ($20.00) for each security they sell. In addition
to the selling commission allowed to WFA, Wells Fargo will pay $0.75 per security of the underwriting discount and commission to WFA as
a distribution expense fee for each security sold by WFA.
In addition, in respect of certain securities sold in this offering,
CGMI may pay a fee of up to $1.00 per security to selected securities dealers in consideration for marketing and other services in connection
with the distribution of the securities to other securities dealers.
The public offering price of the securities includes
the underwriting discount and commission described on the cover page of this pricing supplement and the estimated cost of hedging our
obligations under the securities. We expect to hedge our obligations under the securities through affiliated or unaffiliated counterparties,
which may include our affiliates or affiliates of Wells Fargo. Our cost of hedging will include the projected profit that such counterparties,
which may include our affiliates and affiliates of Wells Fargo, expect to realize in consideration for assuming the risks inherent in
hedging our obligations under the securities. Because hedging our obligations entails risks and may be influenced by market forces beyond
the control of any counterparty, which may include our affiliates and affiliates of Wells Fargo, such hedging may result in a profit that
is more or less than expected, or could result in a loss.
This pricing supplement and the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus may be used by Wells Fargo or an affiliate of Wells Fargo in connection
with offers and sales related to market-making or other transactions in the securities. Wells Fargo or an affiliate of Wells Fargo may
act as principal or agent in such transactions. Such sales will be made at prices related to prevailing market prices at the time of sale
or otherwise.
No action has been or will be taken by Citigroup
Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them that would permit a public offering of the securities
or possession or distribution of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement
or prospectus in any jurisdiction, other than the United States, where action for that purpose is required. No offers, sales or deliveries
of the securities, or distribution of this pricing supplement, the accompanying product supplement, underlying supplement or prospectus
supplement and prospectus, may be made in or from any jurisdiction except in circumstances that will result in compliance with any applicable
laws and regulations and will not impose any obligations on Citigroup Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates
of any of them.
For the following jurisdictions, please note specifically:
Argentina
Citigroup Global Markets Holdings Inc.’s
Series N Medium-Term Senior Notes program and the related offer of the securities and the sale of the securities under the terms and conditions
provided herein does not constitute a public offering in Argentina. Consequently, no public offering approval has been requested or granted
by the Comisión Nacional de Valores, nor has any listing authorization of the securities been requested on any stock market in
Argentina.
Brazil
The securities may not be offered or sold to the
public in Brazil. Accordingly, this pricing supplement and the accompanying prospectus supplement and prospectus have not been submitted
to the Comissão de Valores Mobiliáros for approval. Documents relating to this offering may not be supplied to the public
as a public offering in Brazil or be used in connection with any offer for subscription or sale to the public in Brazil.
Chile
The securities have not been registered with the
Superintendencia de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries of the
securities, or distribution of this pricing supplement or the prospectus supplement and prospectus, may be made in or from Chile except
in circumstances that will result in compliance with any applicable Chilean laws and regulations.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
Mexico
The securities have not been registered with the
National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly
in Mexico. This pricing supplement and the accompanying prospectus supplement and prospectus may not be publicly distributed in Mexico.
Paraguay
This is a private and personal offering. The securities
offered have not been approved by or registered with the National Securities Commission (Comisión Nacional de Valores) and are
not part of a public offering as defined by the Paraguayan Securities Law. The information contained herein is for informational and marketing
purposes only and should not be taken as an investment advice.
Peru
The securities have not been and will not be registered with the Capital
Markets Public Registry of the Capital Markets Superintendence (SMV) nor the Lima Stock Exchange Registry (RBVL) for their public offering
in Peru under the Peruvian Capital Markets Law (Law N°861/ Supreme Decree N°093-2002) and the decrees and regulations thereunder.
Consequently, the securities may not be offered
or sold, directly or indirectly, nor may this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus
or any other offering material relating to the securities be distributed or caused to be distributed in Peru to the general public. The
securities may only be offered in a private offering without using mass marketing, which is defined as a marketing strategy utilizing
mass distribution and mass media to offer, negotiate or distribute securities to the whole market. Mass media includes newspapers, magazines,
radio, television, mail, meetings, social networks, Internet servers located in Peru, and other media or technology platforms.
Taiwan
These securities may be made available outside
Taiwan for purchase by Taiwan residents outside Taiwan but may not be offered or sold in Taiwan.
Valuation of the Securities
|
CGMI calculated the estimated value of the securities
set forth on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments
underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond
component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based
on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component
based on various inputs, including the factors described under “Summary Risk Factors—The Value Of The Securities Prior To
Maturity Will Fluctuate Based On Many Unpredictable Factors” in this pricing supplement, but not including our or Citigroup Inc.’s
creditworthiness. These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the securities is a function
of the terms of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary
pricing supplement, it is uncertain what the estimated value of the securities will be on the pricing date because certain terms of the
securities have not yet been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary pricing models
will be on the pricing date.
We have been advised that, for a period of approximately
three months following issuance of the securities, the price, if any, at which Wells Fargo would be willing to buy the securities from
investors, and the value that will be indicated for the securities on any brokerage account statements prepared by Wells Fargo or its
affiliates, will reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary
upward adjustment represents a portion of the costs associated with selling, structuring and hedging the securities that are included
in the public offering price of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line
basis over the three-month temporary adjustment period. However, Wells Fargo is not obligated to buy the securities from investors
at any time. See “Summary Risk Factors—The Securities Will Not Be Listed On Any Securities Exchange And You May
Not Be Able To Sell Them Prior To Maturity.”
© 2021 Citigroup Global Markets Inc. All
rights reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered
throughout the world.
Market Linked Securities— Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the S&P 500® Index due September 3, 2024
|
|
The material included in this Appendix was prepared
by Wells Fargo Securities, LLC and will be distributed to investors in connection with the offering of the securities described in this
pricing supplement. The terminology used in the material included in this Appendix may differ from the terms used in this pricing supplement.
The material included in this Appendix does not constitute terms of the securities. It is a general description of securities that share
some features similar to the securities offered by this pricing supplement, but it does not relate specifically to the securities offered
by this pricing supplement, and you should rely only on this pricing supplement (excluding the Appendix) and the accompanying product
supplement, prospectus supplement and prospectus for a description of the specific terms of the securities offered by this pricing supplement.
Market
Linked Securities
Upside Participation and Contingent Downside
Linked to the Lowest Performing Underlying
This material was prepared
by Wells Fargo Securities, LLC, a registered broker- dealer and separate non-bank affiliate of Wells Fargo & Company. This
material is not a product of Wells Fargo & Company research departments. Please see the relevant offering materials for complete
product descriptions, including related risk and tax disclosure.
MARKET LINKED SECURITIES WITH UPSIDE
PARTICIPATION AND CONTINGENT DOWNSIDE LINKED TO THE LOWEST PERFORMING UNDERLYING ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF A DEPOSITORY
INSTITUTION AND ARE NOT INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE DEPOSIT INSURANCE FUND OR ANY OTHER GOVERNMENTAL
AGENCY OF THE UNITED STATES OR ANY OTHER JURISDICTION.
Market
Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying have complex features
and are not suitable for all investors. Before deciding to make an investment, you should read and understand the applicable preliminary
pricing supplement and other related offering documents provided by the applicable issuer.
Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
|
Market Linked Securities with Upside Participation
and Contingent Downside Linked to the Lowest Performing Underlying (“these Market Linked Securities”) offer a return
linked to the performance of the lowest performing of two or more specified market measures, which may be indices or exchange-traded
funds (the “underlyings”). In contrast to a direct investment in any or all of the underlyings, these Market Linked
Securities provide contingent protection against a moderate decline of the lowest performing underlying that is applicable if,
and only if, the lowest performing underlying has not declined below its specified threshold level, as well as the potential to
achieve a positive return by participating in any appreciation of the lowest performing underlying (on an unleveraged or leveraged
basis). However, if the lowest performing underlying has declined below its threshold level, the contingent downside protection
no longer applies and you will be fully exposed to the decline of the lowest performing underlying and will lose a substantial
portion, and possibly all, of your investment. If the issuer defaults on its payment obligations, you could lose your entire investment.
These Market Linked Securities
are designed for investors who seek exposure to any positive performance of the lowest performing underlying and a contingent measure
of market risk reduction that is applicable if the lowest performing underlying declines but not below its threshold level. In
exchange for these features, you must be willing to accept a return based on whichever underlying is the lowest performing underlying
and forgo interest payments and dividends (in the case of equity underlyings). You must also be willing to accept the possibility
of full downside exposure to the decline of the lowest performing underlying if the lowest performing underlying declines below
its threshold level. The return on these Market Linked Securities will depend solely on the performance of the underlying
that is the lowest performing underlying. Therefore, you will be adversely affected if any underlying declines below its threshold
level, even if the other underlying(s) perform favorably. The contingent protection applies only if you hold these Market Linked
Securities at maturity.
These
Market Linked Securities are unsecured debt obligations of the issuer. You will have no ability to pursue any underlying or any
assets included in any underlying for payment.
A-2 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
The
charts in this section do not reflect forgone dividend payments.
Direct investment payoff
For traditional assets, such as
stocks, there is a direct relationship between the change in the level of the asset and the return on the investment. For example,
as the graph indicates, suppose you bought shares of a common stock at $100 per share. If you sold the shares at $120 each, the
return on the investment (excluding any dividend payments) would be $20 per share, or 20%. Similarly, if you sold the shares after
the price decreased to $80 (i.e., a decline of 20%), this would result in a 20% investment loss (excluding dividends).
A-3 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
Market Linked Securities with Upside
Participation and Contingent Downside Linked to the Lowest Performing Underlying
These Market Linked Securities
offer a return at maturity that is linked to the performance of the lowest performing of two or more underlyings but that differs
from the return that would be achieved on a direct investment in that underlying. The return at maturity is based on the performance
of the lowest performing underlying as measured from its starting level to its closing level on a calculation day
shortly before maturity (its ending level). If the ending level of the lowest performing underlying is greater than its
starting level, you will receive a payment at maturity equal to the original offering price plus a return equal to the percentage
increase in the lowest performing underlying from its starting level to its ending level multiplied by a specified participation
rate. If the ending level of the lowest performing underlying is less than or equal to its starting level but greater than or equal
to its threshold level, you will receive a payment at maturity equal to the original offering price. However, if the ending level
of the lowest performing underlying is less than its threshold level, you will receive less than the original offering price and
have full downside exposure to the decrease in the level of the lowest performing underlying from its starting level. Under these
circumstances, you could incur a substantial loss on your investment. The lowest performing underlying is the underlying that has
the least favorable performance as measured from its starting level to its ending level.
To
understand how these Market Linked Securities would perform under varying market conditions, consider a hypothetical Market Linked
Security with the following terms:
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·
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Participation
rate: 100%. A participation rate determines how much of the appreciation of the lowest performing underlying (if any) will
be reflected in the payment at maturity on these Market Linked Securities. A participation rate of 100% means that if the lowest
performing underlying appreciates from its starting level to its ending level, you will receive a total return at maturity equal
to 100% of that appreciation. For example, if the lowest performing underlying appreciates by 10%, you will receive a total return
at maturity of 10% (which is 100% of 10%). For some issuances of these Market Linked Securities, the participation rate may be
greater than 100%, in which case you will participate on a leveraged basis in any appreciation of the lowest performing underlying
from its starting level to its ending level. For example, if the participation rate is 110% and the lowest performing underlying
appreciates by 10%, you will receive a total return at maturity of 11% (which is 110% of 10%).
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·
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Contingent
protection: 30%. The contingent protection offers a contingent measure of downside market risk reduction at maturity as compared
to a direct investment in the lowest performing underlying. Contingent protection of 30% means that you will be repaid the original
offering price at maturity if the lowest performing underlying declines by 30% or less from its starting level to its ending level
— in other words, if the ending level of the lowest performing underlying is greater than or equal to its threshold level,
which is equal to 70% of its starting level. However, if the lowest performing underlying declines by more than 30%, so that its
ending level is less than its threshold level, you will have full downside exposure to the decrease in the level of the lowest
performing underlying from its starting level, and you will lose more than 30%, and possibly all, of the original offering price
at maturity. For example, if the lowest performing underlying declines by 30.1% from its starting level to its ending level, you
will not receive any benefit of the contingent protection feature and you will lose 30.1% of the original offering price at maturity.
|
The
return on these Market Linked Securities will depend solely on the performance of the lowest performing underlying. You will not
benefit in any way from the performance of any better performing underlying(s). Therefore, you will be adversely affected if any
underlying declines below its threshold level, even if the other underlying(s) perform favorably. These Market Linked Securities
are riskier than they would otherwise be if they were linked to only one of the underlyings or linked to a basket composed of
each underlying. These Market Linked Securities will be subject to the full risks of each underlying, with no offsetting benefit
from any better performing underlying(s). Because each underlying must appreciate in order for you to receive a positive return
at maturity, you should not invest in these Market Linked Securities unless you expect each underlying to appreciate from its
respective starting level.
A-4 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
|
This information, including the graph to the left, is hypothetical and is provided for informational purposes only. It is not intended to represent any specific return, yield, or investment, nor is it indicative of future results. The graph illustrates the payoff on the hypothetical Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying described above for a range of percentage changes in the lowest performing underlying from its starting level to its ending level.
|
This
hypothetical Market Linked Security could outperform the lowest performing underlying if the ending level of the lowest performing
underlying has declined from its starting level but is greater than or equal to its threshold level. Note that, because the value
of the lowest performing underlying does not incorporate dividends paid on the underlyings, the return on these Market Linked
Securities does not compensate you for any dividends paid on any underlying. All payments on these Market Linked Securities are
subject to the ability of the issuer to make such payments to you when they are due, and you will have no ability to pursue any
underlying or any assets included in any underlying for payment. If the issuer defaults on its payment obligations, you could
lose your entire investment.
A-5 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
Determining
payment at maturity
The
payment at maturity will be based on the performance of the lowest performing underlying, which is equal to the percentage change
of the lowest performing underlying from its starting level to its ending level, measured as follows: (ending level – starting
level)/starting level. The diagram below illustrates how the cash payment on the stated maturity date for this hypothetical Market
Linked Security would be calculated assuming an original offering price of $1,000 per security.
A-6 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
Hypothetical
examples
The
examples below are hypothetical and are provided for informational purposes only. They are not intended to represent any specific
return, yield, or investment, nor are they indicative of future results. The examples illustrate the payment at maturity of these
Market Linked Securities assuming the following terms:
Term:
|
3 years
|
Original Offering Price:
|
$1,000 per Market Linked
|
Security Participation Rate:
|
100%
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Hypothetical Starting Level:
|
With respect to each underlying: 100
|
Hypothetical Threshold Level:
|
With respect to each underlying: 70, which is equal to 70% of that underlying’s hypothetical starting level
|
These
examples assume that these Market Linked Securities are linked to the lowest performing of two underlyings. However, a particular
issuance of these Market Linked Securities may be linked to the lowest performing of three or more underlyings. With more underlyings,
you will be exposed to a greater risk of incurring a significant loss on your investment at maturity.
The
lowest performing underlying is the underlying that had the least favorable performance from its starting level to its ending
level, measured as follows: (ending level – starting level)/starting level.
Example
1: The ending level of the lowest performing underlying is greater than its starting level
|
Underlying 1
|
Underlying 2
|
Hypothetical Starting Level:
|
100
|
100
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Hypothetical Ending Level:
|
110
|
150
|
Performance:
|
10%
|
50%
|
Step
1: Calculate the performance of each underlying:
Step
2: Determine which underlying is the lowest performing underlying.
In
this example, underlying 1 has the least favorable performance and is, therefore, the lowest performing underlying.
Step
3: Determine the payment at maturity based on the performance of the lowest performing underlying.
On
the stated maturity date you would receive $1,100.00 per Market Linked Security, resulting in a positive return of 10%. As this
example illustrates, in order for you to receive a positive return at maturity, both underlyings must have positive performance
(i.e., appreciate from their respective starting levels). Even if both underlyings appreciate, the payment at maturity will depend
solely on the performance of the lowest performing underlying and you will not benefit from the performance of the better performing
underlying.
A-7 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
Example
2: The ending level of the lowest performing underlying is less than or equal to its starting level but greater than or equal
to its threshold level
|
Underlying 1
|
Underlying 2
|
Hypothetical Starting Level:
|
100
|
100
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Hypothetical Ending Level:
|
120
|
90
|
Performance:
|
20%
|
–10%
|
Step
1: Calculate the performance of each underlying:
Step
2: Determine which underlying is the lowest performing underlying.
In
this example, underlying 2 has the least favorable performance and is, therefore, the lowest performing underlying.
Step
3: Determine the payment at maturity based on the performance of the lowest performing underlying.
Since
the hypothetical ending level of the lowest performing underlying is less than its hypothetical starting level, but not less than
its threshold level (i.e., the performance of the lowest performing underlying is not less than –30%), you would be repaid
the original offering price of $1,000 per Market Linked Security at maturity.
A-8 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
Example
3: The ending level of the lowest performing underlying is less than its threshold level
|
Underlying 1
|
Underlying 2
|
Hypothetical Starting Level:
|
100
|
100
|
Hypothetical Ending Level:
|
50
|
125
|
Performance:
|
–50%
|
25%
|
Step
1: Calculate the performance of each underlying:
Step
2: Determine which underlying is the lowest performing underlying.
In
this example, underlying 1 has the least favorable performance and is, therefore, the lowest performing underlying.
Step
3: Determine the payment at maturity based on the performance of the lowest performing underlying.
On
the stated maturity date you would receive $500.00 per Market Linked Security, resulting in a loss of 50%. As this example illustrates,
if the ending level of either underlying is less than its threshold level (i.e., at least one underlying depreciates by more than
30% from its starting level to its ending level), you will incur a loss on these Market Linked Securities at maturity, even if
the ending level of the other underlying has appreciated or has not declined below its respective threshold level.
All
payments on these Market Linked Securities are subject to the ability of the issuer to make such payments to you when they are
due, and you will have no ability to pursue any underlying or any asset included in any underlying for payment. If the issuer
defaults on its payment obligations, you could lose your entire investment.
A-9 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
Estimated
value of Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
The
original offering price of these Market Linked Securities will include certain costs that are borne by you. Because of these costs,
the estimated value of these Market Linked Securities on the pricing date will be less than the original offering price. If specified
in the applicable pricing supplement, these costs may include the underwriting discount or commission, the hedging profits of
the issuer’s hedging counterparty (which may be an affiliate of the issuer), and hedging and other costs associated with
the offering and costs relating to the issuer’s funding considerations for debt of this type. See “General risks and
investment considerations” herein and the applicable pricing supplement for more information.
The
issuer will disclose the estimated value of these Market Linked Securities in the applicable pricing supplement. The estimated
value of these Market Linked Securities will be determined by estimating the value of the combination of hypothetical financial
instruments that would replicate the payout on these Market Linked Securities, which combination consists of a non-interest bearing,
fixed-income bond and one or more derivative instruments underlying the economic terms of these Market Linked Securities. You
should read the applicable pricing supplement for more information about the estimated value of these Market Linked Securities
and how it is determined.
A-10 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
Which investments are right for you?
|
It
is important to read and understand the applicable preliminary pricing supplement and other related offering documents and consider
several factors before making an investment decision.
An
investment in these Market Linked Securities may help you modify your portfolio’s risk-return profile to more closely reflect
your market views. However, at maturity you may incur a loss on your investment, and you will forgo interest payments and dividend
payments (in the case of equity underlyings).
These
Market Linked Securities are not suitable for all investors, but may be suitable for investors aiming to:
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·
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Supplement
their existing investments with the return profile provided by these Market Linked Securities
|
|
·
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Receive
contingent protection against a moderate decline in the lowest performing underlying
|
|
·
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Obtain
exposure to the lowest performing underlying with a different risk/return profile than a direct investment in that underlying
|
|
·
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Seek
the potential to outperform the lowest performing underlying in a moderately declining market or, if the participation rate is
sufficiently greater than 100%, the potential to outperform the lowest performing underlying in an appreciating market
|
You
can find a discussion of risks and investment considerations on the next page and in the preliminary pricing supplement and other
related offering documents for these Market Linked Securities. The following questions, which you should review with your financial
advisor, are intended to initiate a conversation about whether these Market Linked Securities are right for you.
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·
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Are
you comfortable with the potential loss of a significant portion, and possibly all, of your initial investment as a result of
a percentage decline of the lowest performing underlying that exceeds the amount of contingent protection?
|
|
·
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Are
you comfortable accepting the full downside risks of each underlying?
|
|
·
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What
is your time horizon? Do you foresee liquidity needs? Will you be able to hold these investments until maturity?
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|
·
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Does
contingent protection against moderate market declines take precedence for you over dividend payments or fixed returns?
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·
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What
is your outlook on the market? How confident are you in your portfolio’s ability to weather a market decline?
|
|
·
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What
is your sensitivity to the tax treatment for your investments?
|
|
·
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Are
you dependent on your investments for current income?
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|
·
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Are
you willing to accept the credit risk of the applicable issuer in order to obtain the exposure to the lowest performing underlying
that these Market Linked Securities provide?
|
Before
making an investment decision, please work with your financial advisor to determine which investment products may be appropriate
given your financial situation, investment goals, and risk profile.
A-11 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
General risks and investment considerations
|
These
Market Linked Securities have complex features and are not suitable for all investors. They involve a variety of risks and may
be linked to a variety of different underlyings. Each of these Market Linked Securities and each underlying will have its own
unique set of risks and investment considerations. Before you invest in these Market Linked Securities, you should thoroughly
review the relevant preliminary pricing supplement and other related offering documents for a comprehensive discussion of the
risks associated with the investment. The following are general risks and investment considerations applicable to these Market
Linked Securities:
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·
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Principal
and performance risk. These Market Linked Securities are not structured to repay your full original offering price on the
stated maturity date. If the ending level of the lowest performing underlying is less than its threshold level, you will be fully
exposed to the decline of the lowest performing underlying from its starting level to its ending level and the payment you receive
at maturity will be less than the original offering price of these Market Linked Securities. Under these circumstances, you will
lose a substantial portion, and possibly all, of your investment.
|
|
·
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Lowest
performing underlying risk. These Market Linked Securities are subject to the full risks of each underlying and will be negatively
affected if any underlying declines below its threshold level, even if the other underlying(s) perform favorably. You will not
benefit in any way from the performance of the better performing underlying(s). These Market Linked Securities are not linked
to a basket composed of the underlyings, where the better performance of one underlying could offset the poor performance of the
other underlying(s). Instead, you are subject to the full risks of whichever underlying is the lowest performing underlying. As
a result, these Market Linked Securities are riskier than they would otherwise be if they were linked to only one of the underlyings
or linked to a basket composed of each underlying. In order for these Market Linked Securities to have a favorable return, each
underlying must perform favorably. You should not invest in the securities unless you expect each underlying to appreciate from
its respective starting level.
|
|
·
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Correlation
risk. It is generally preferable from your perspective for the underlyings to be correlated with each other during the term
of these Market Linked Securities, so that their levels will tend to increase or decrease at similar times and by similar magnitudes.
By investing in these Market Linked Securities, you assume the risk that the underlyings will not exhibit this relationship. If
the underlyings have low historical correlation, these Market Linked Securities will typically offer a higher participation rate
and/ or a greater amount of contingent protection, but it will be more likely that one of the underlyings will perform poorly
over the term of these Market Linked Securities. All that is necessary for these Market Linked Securities to perform poorly is
for one of the underlyings to decline below its threshold level; the performance of the better performing underlying(s) is not
relevant to your return.
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|
·
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Liquidity
risk. These Market Linked Securities are not appropriate for investors who may have liquidity needs prior to maturity. These
Market Linked Securities are not listed on any securities exchange and are generally illiquid instruments. Neither Wells Fargo
Securities nor any other person is required to maintain a secondary market for these Market Linked Securities. Accordingly, you
may be unable to sell your Market Linked Securities prior to their maturity date. If you choose to sell these Market Linked Securities
prior to maturity, assuming a buyer is available, you may receive less in sale proceeds than the original offering price.
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|
·
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Market
value uncertain. These Market Linked Securities are not appropriate for investors who need their investments to maintain a
stable value during their term. The value of your Market Linked Securities prior to maturity will be affected by numerous factors,
such as performance, volatility and dividend rate, if applicable, of the underlyings; interest rates; the time remaining to maturity;
the correlation between the underlyings; and the applicable issuer’s creditworthiness.
|
|
·
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Costs
to investors. The original offering price of these Market Linked Securities will include certain costs that are borne by you.
These costs will adversely affect the economic terms of these Market Linked Securities and will cause their estimated value on
the pricing date to be less than the original offering price. If specified in the applicable pricing supplement, these costs may
include the underwriting discount or commission, the hedging profits of the issuer’s hedging counterparty (which may be
an affiliate of the issuer), hedging and other costs associated with the offering and costs relating to the issuer’s funding
considerations for debt of this type. These costs will adversely affect any secondary market price for these Market Linked Securities,
which may be further reduced by a bid-offer spread. As a result, unless market conditions and other relevant factors change significantly
in your favor following the pricing date, any secondary market price for these Market Linked Securities is likely to be less than
the original offering price.
|
|
·
|
Credit
risk. Any investment in these Market Linked Securities is subject to the ability of the applicable issuer to make payments
to you when they are due, and you will have no ability to pursue any underlying or any assets included in any underlying for payment.
If the issuer defaults on its payment obligations, you could lose your entire investment. In addition, the actual or perceived
creditworthiness of the issuer may affect the value of these Market Linked Securities prior to maturity.
|
|
·
|
No
periodic interest or dividend payments. These Market Linked Securities do not typically provide periodic interest. These Market
Linked Securities linked to equity underlyings do not provide for a pass through of any dividend paid on the equity underlyings.
|
A-12 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
|
·
|
Estimated
value considerations. The estimated value of these Market Linked Securities that is disclosed in the applicable pricing supplement
will be determined by the issuer or an underwriter of the offering, which underwriter may be an affiliate of the issuer and may
be Wells Fargo Securities. The estimated value will be based on the issuer’s or the underwriter’s proprietary pricing
models and assumptions and certain inputs that may be determined by the issuer or underwriter in its discretion. Because other
dealers may have different views on these inputs, the estimated value that is disclosed in the applicable pricing supplement may
be higher, and perhaps materially higher, than the estimated value that would be determined by other dealers in the market. Moreover,
you should understand that the estimated value that is disclosed in the applicable pricing supplement will not be an indication
of the price, if any, at which Wells Fargo Securities or any other person may be willing to buy these Market Linked Securities
from you at any time after issuance.
|
|
·
|
Conflicts
of interest. Potential conflicts of interest may exist between you and the applicable issuer and/or Wells Fargo Securities.
For example, the applicable issuer, Wells Fargo Securities or one of their respective affiliates may engage in business with companies
whose securities are included in an underlying, or may publish research on such companies or an underlying. In addition, the applicable
issuer, Wells Fargo Securities or one of their respective affiliates may be the calculation agent for the purposes of making important
determinations that affect the payments on these Market Linked Securities. Finally, the estimated value of these Market Linked
Securities may be determined by the issuer or an underwriter of the offering, which underwriter may be an affiliate of the issuer
and may be Wells Fargo Securities.
|
|
·
|
Effects
of trading and other transactions. Trading and other transactions by the applicable issuer, Wells Fargo Securities or one
of their respective affiliates could affect the underlyings or the value of these Market Linked Securities.
|
|
·
|
ETF
risk. If an underlying is an exchange-traded fund (ETF), it may underperform the index it is designed to track as a result
of costs and fees of the ETF and differences between the constituents of the index and the actual assets held by the ETF. In addition,
an investment in these Market Linked Securities linked to an ETF involves risks related to the index underlying the ETF, as discussed
in the next risk consideration.
|
|
·
|
Index
risk. If an underlying is an index, or an ETF that tracks an index, your return on these Market Linked Securities may be adversely
affected by changes that the index publisher may make to the manner in which the index is constituted or calculated. Furthermore,
if the index represents foreign securities markets, you should understand that foreign securities markets tend to be less liquid
and more volatile than U.S. markets and that there is generally less information available about foreign companies than about
companies that file reports with the U.S. Securities and Exchange Commission. Moreover, if the index represents emerging foreign
securities markets, these Market Linked Securities will be subject to the heightened political and economic risks associated with
emerging markets. If the index includes foreign securities and the level of the index is based on the U.S. dollar value of those
foreign securities, these Market Linked Securities will be subject to currency exchange rate risk in addition to the other risks
described above, as the level of the index will be adversely affected if the currencies in which the foreign securities trade
depreciate against the U.S. dollar.
|
|
·
|
Commodity
risk. These Market Linked Securities linked to commodities will be subject to a number of significant risks associated with
commodities. Commodity prices tend to be volatile and may fluctuate in ways that are unpredictable and adverse to you. Commodity
markets are frequently subject to disruptions, distortions, and changes due to various factors, including the lack of liquidity
in the markets, the participation of speculators, and government regulation and intervention. Moreover, commodity indices may
be adversely affected by a phenomenon known as “negative roll yield,” which occurs when future prices of the commodity
futures contracts underlying the index are higher than current prices. Negative roll yield can have a significant negative effect
on the performance of a commodity index. Furthermore, for commodities that are traded in U.S. dollars but for which market prices
are driven by global demand, any strengthening of the U.S. dollar against relevant other currencies may adversely affect the demand
for, and therefore the price of, those commodities.
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Currency
risk. These Market Linked Securities linked to currencies will be subject to a number of significant risks associated with
currencies. Currency exchange rates are frequently subject to intervention by governments, which can be difficult to predict and
can have a significant impact on exchange rates. Moreover, currency exchange rates are driven by complex factors relating to the
economies of the relevant countries that can be difficult to understand and predict. Currencies issued by emerging market governments
may be particularly volatile and will be subject to heightened risks.
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Bond
risk. These Market Linked Securities linked to bond indices or exchange-traded funds that are comprised of specific types
of bonds with different maturities and qualities will be subject to a number of significant risks associated with bonds. In general,
if market interest rates rise, the value of bonds will decline. In addition, if the market perception of the creditworthiness
of the relevant bond issuers falls, the value of bonds will generally decline.
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Tax
considerations. You should review carefully the relevant preliminary pricing supplement and other related offering documents
and consult your tax advisors regarding the application of the U.S. federal tax laws to your particular circumstances, as well
as any tax consequences arising under the laws of any state, local, or non-U.S. jurisdiction.
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A-13 | Market Linked Securities with Upside Participation and Contingent Downside Linked to the Lowest Performing Underlying
Always
read the preliminary pricing supplement and other related offering documents.
These
Market Linked Securities are offered with the attached preliminary pricing supplement and other related offering documents. Investors
should read and consider these documents carefully before investing. Prior to investing, always consult your financial advisor
to understand the investment structure in detail.
For
more information about these Market Linked Securities and the structures currently available for investment, contact your financial
advisor, who can advise you of whether or not a particular offering may meet your individual needs and investment requirements.
Wells
Fargo Securities is the trade name for the capital markets and investment banking services of Wells Fargo & Company and its
subsidiaries, including Wells Fargo Securities, LLC, a member of FINRA, NYSE, and SIPC, and Wells Fargo Bank, N.A.
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.
©
2017 Wells Fargo Securities, LLC. All rights reserved. IHA-4380805
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