Form FWP Citigroup Global Markets Filed by: Citigroup Global Markets Holdings Inc.

 

Citigroup Global Markets Holdings Inc.

C

Term Sheet No. 2021–USNCH8164 dated July 29, 2021 relating to Pricing Supplement No. 2021–USNCH8164 dated July 29, 2021 Registration Statement Nos. 333-255302 and 333-255302-03 Filed Pursuant to Rule 433

Market Linked Securities—Auto-Callable with Contingent Downside Principal at Risk Securities Linked to the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust due August 5, 2024  Term Sheet to Pricing Supplement No. 2021—USNCH8164 dated July 29, 2021

On the date of the related pricing supplement, the estimated value of the securities is $934.70 per security, which is less than the public offering price . The estimated value of the securities is based on CGMI’s proprietary pricing models and Citigroup Global Markets Holdings Inc.’s internal funding rate. It is not an indication of actual profit to CGMI or other of Citigroup Global Markets Holdings Inc.’s affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in the accompanying pricing supplement.   The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Risk Factors” beginning on page 4 in this term sheet, “Summary Risk Factors” in the accompanying pricing supplement, “Risk Factors Relating to the Securities” in the accompanying product supplement and “Risk Factors” in the accompanying prospectus supplement.

 

This term sheet should be read in conjunction with the accompanying pricing supplement, product supplement, underlying supplement, prospectus supplement and prospectus.

NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY

Automatic Call

 

If, on any valuation date (including the final valuation date), the closing value of the worst performing underlying on that valuation date is greater than or equal to its initial underlying value, the securities will be automatically called for redemption on the related call settlement date for an amount in cash per security equal to $1,000 plus the call premium applicable to that valuation date.

 

Any positive return on the securities will be limited to the applicable call premium, even if the closing value of the worst performing underlying on the applicable valuation date significantly exceeds its initial underlying value. You will not participate in any appreciation of either underlying beyond the applicable call premium.

 

The call settlement date for any valuation date is the fifth business day after such valuation date, except that the call settlement date for the final valuation date shall be the maturity date.

 

If the securities are automatically called for redemption, they will cease to be outstanding on the related call settlement date and you will have no further rights under the securities after such call settlement date. You will not receive any notice from us if the securities are automatically called.

 

Call Premium

 

The call premium applicable to each valuation date is indicated below.

 

Valuation Date		Call Premium
·	August 3, 2022:	14.50% of the stated principal amount
·	August 3, 2023:	29.00% of the stated principal amount
·	July 29, 2024:	43.50% of the stated principal amount

 

Hypothetical Examples

 

The table below illustrates how the amount payable per security will be calculated if, on any valuation date (including the final valuation date), the closing value of the worst performing underlying on that valuation date is greater than or equal to its initial underlying value.

 

If the first valuation date on which the closing value of the worst performing underlying on that valuation date is greater than or equal to its initial underlying value is . . .	. . . then you will receive the following payment per $1,000 security upon automatic call:
August 3, 2022	$1,000 + applicable call premium = $1,000 + $145.00 = $1,145.00
August 3, 2023	$1,000 + applicable call premium = $1,000 + $290.00 = $1,290.00
July 29, 2024 (the final valuation date)	$1,000 + applicable call premium = $1,000 + $435.00 = $1,435.00

Hypothetical Returns
If the securities are automatically called for redemption:   If the securities are automatically called for redemption prior to or at maturity, you will receive the stated principal amount of your securities plus the call premium applicable to the related valuation date. In the event the securities are automatically called for redemption following any valuation date, your total return on the securities will equal the applicable call premium received with respect to that valuation date.
If the securities are not automatically called for redemption:   If the securities are not automatically redeemed prior to or at maturity, the following table illustrates, for a range of hypothetical underlying performance factors of the worst performing underlying on the final valuation date, the hypothetical payment at maturity payable at maturity per security. The underlying performance factor of the worst performing underlying on the final valuation date is its closing value on the final valuation date divided by its initial underlying value.

Hypothetical underlying performance factor of worst performing underlying on final valuation date	Hypothetical payment at maturity per security
99.99%	$1,000.00
90.00%	$1,000.00
80.00%	$1,000.00
75.00%	$1,000.00
70.00%	$1,000.00
69.99%	$699.90
60.00%	$600.00
50.00%	$500.00
40.00%	$400.00
25.00%	$250.00

 

The above figures are for purposes of illustration only and may have been rounded for ease of analysis.

 

The above figures are for purposes of illustration only and may have been rounded for ease of analysis.

 

Payment at Maturity

 

If the securities are not automatically called for redemption prior to or at maturity, you will receive a payment at maturity for each $1,000 stated principal amount security you then hold determined as follows:

 

•

If the final underlying value of the worst performing underlying on the final valuation date is less than its initial underlying value but greater than or equal to its trigger value: $1,000; or

 

•

If the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value:

 

$1,000 × the underlying performance factor of the worst performing underlying on the final valuation date

 

If the securities are not automatically called for redemption prior to or at maturity and the final underlying value of the worst performing underlying on the final valuation date is less than its trigger value, you will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity.

  

Risk Factors

 

An investment in the securities is significantly riskier than an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities, and are also subject to risks associated with the underlying. Accordingly, the securities are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.

 

The following is a summary of certain key risk factors for investors in the securities. You should read this summary together with the full description of the risk considerations provided for in the Pricing Supplement and the more detailed description of risks relating to an investment in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent

 

Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.

·

You May Lose A Significant Portion Or All Of Your Investment.

·

The Securities Do Not Pay Interest.

·

Your Potential Return On The Securities Is Limited.

·

Higher Call Premiums Are Associated With Greater Risk.

·

The Securities Are Subject To Heightened Risk Because They Have Multiple Underlyings.

·

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 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.

·

The Securities May Be Automatically Called For Redemption Prior To Maturity, Limiting The Term Of The Securities.

·

The Securities Offer Downside Exposure To The Worst Performing Underlying, But No Upside Exposure To Either Underlying.

·

The Performance Of The Securities Will Depend On The Closing Values Of The Underlyings Solely On The Valuation Dates, Which Makes The Securities Particularly Sensitive To Volatility In The Closing Values Of The Underlyings On Or Near The Valuation Dates.

·

The Securities Are Subject To The Credit Risk Of Citigroup Global Markets Holdings Inc. And Citigroup Inc.

·

The Securities Will Not Be Listed On Any Securities Exchange And You May Not Be Able To Sell Them Prior To 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 Estimated Value Of The Securities Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.

·

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 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.

·

The Value Of The Securities Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors.

·

We Have Been Advised That, Immediately Following Issuance, Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements Prepared By Wells Fargo Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.

·

Fluctuations In Exchange Rates Will Affect The Closing Value Of The VanEck Vectors® Gold Miners ETF.

·

The VanEck Vectors® Gold Miners ETF Is Subject To Risks Associated With The Gold And Silver Mining Industries.

·

An Investment In The Securities Is Subject To Risks Associated With Foreign Securities Markets.

·

The Value And Performance Of The Underlying Shares Of The VanEck Vectors® Gold Miners ETF May Not Completely Track The Performance Of The Underlying Index That The VanEck Vectors® Gold Miners ETF Seeks To Track Or The Net Asset Value Per Share Of The VanEck Vectors® Gold Miners ETF.

·

The Securities Are Subject To Risks Associated With Silver.

·

You Will Not Have Any Rights With Respect To The Commodities Held By The iShares® Silver Trust.

·

The iShares® Silver Trust Is Not An Investment Company Or Commodity Pool And Will Not Be Subject To Regulation Under The Investment Company Act Of 1940, As Amended, Or The Commodity Exchange Act.

·

The Performance And Market Value Of The iShares® Silver Trust, Particularly During Periods Of Market Volatility, May Not Correlate With The Performance Of Its Underlying Commodity As Well As The Net Asset Value Per Share.

·

There Are Risks Relating To Commodities Trading On The London Bullion Market Association.

·

Single Commodity Prices Tend To Be More Volatile Than, And May Not Correlate With, The Prices Of Commodities Generally.

·

Our Offering Of The Securities Is Not A Recommendation Of Either Underlying.

·

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 And Our Affiliates, Or Wells Fargo Or Its Affiliates, May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.

 

·

The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important Determinations With Respect To The Securities.

·

Even If An Underlying Pays A Dividend That It Identifies As Special Or Extraordinary, No Adjustment Will Be Required Under The Securities For That Dividend Unless It Meets The Criteria Specified In The Accompanying Product Supplement.

·

The Securities Will Not Be Adjusted For All Events That May Have A Dilutive Effect On Or Otherwise Adversely Affect The Closing Value Of An Underlying.

·

The Securities May Become Linked To An Underlying Other Than An Original Underlying Upon The Occurrence Of A Reorganization Event Or Upon The Delisting Of The Underlying Shares Of An Underlying.

·

Changes That Affect The Underlyings May Affect The Value Of Your Securities.

·

A Call Settlement Date And The Stated Maturity Date May Be Postponed If A Valuation Date is Postponed.

·

The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear.

 

Not suitable for all investors

 

Investment suitability must be determined individually for each investor. The securities described herein are not a suitable investment for all investors. In particular, no investor should purchase the securities unless they understand and are able to bear the associated market, liquidity and yield risks. Unless market conditions and other relevant factors change significantly in your favor, a sale of the securities prior to maturity is likely to result in sale proceeds that are substantially less than the stated principal amount per security. Citigroup Global Markets Holdings Inc. and its affiliates are not obligated to purchase the securities from you at any time prior to maturity.

 

Citigroup Global Markets Holdings Inc. and Citigroup Inc. have filed a registration statement (including a related pricing supplement, an accompanying product supplement, an accompanying underlying supplement and an accompanying prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”) for the offering to which this communication relates. You should read the related pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus in that registration statement (File Nos. 333-255302 and 333-255302-03) and the other documents Citigroup Global Markets Holdings Inc. and Citigroup Inc. have filed with the SEC for more complete information about Citigroup Global Markets Holdings Inc., Citigroup Inc. and this offering. You may get these documents for free by visiting EDGAR on the SEC’s website at www.sec.gov. Alternatively, you can request the related pricing supplement, accompanying product supplement, accompanying underlying supplement and the accompanying prospectus supplement and prospectus by calling toll-free 1-800-831-9146.

 

Consult your tax adviser

 

Investors should review carefully the accompanying pricing supplement, product supplement, prospectus supplement and prospectus and consult their tax advisors regarding the application of the U.S. federal income tax laws to their particular circumstances, as well as any tax consequences arising under the laws of any state, local or foreign jurisdiction.

 

Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo & Company.

 

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