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Market Linked Securities—Auto-Callable
with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to
the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the Dow Jones Industrial
AverageTM due April 22, 2025
Term Sheet to Pricing Supplement No. 2021—USNCH7215
dated April 16, 2021
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Key
Terms
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Investment
Description
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Issuer
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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• Linked
to the worst performing of the S&P 500® Index, the Russell 2000® Index and the Dow Jones
Industrial AverageTM (each referred to as an “underlying”)
• Unlike
ordinary debt securities, the securities do not provide for fixed payments of interest, do not repay a fixed amount of principal
at maturity and are subject to potential automatic redemption prior to maturity upon the terms described below. Whether the securities
pay a contingent coupon, whether the securities are automatically redeemed prior to maturity and, if they are not automatically
redeemed, whether you are repaid the stated principal amount of your securities at maturity will depend in each case on the closing
value of the worst performing underlying on the relevant valuation date. The worst performing underlying on any valuation date
is the underlying that has the lowest underlying performance factor on that valuation date
• Contingent
Coupon. The securities will pay a contingent coupon on a periodic basis until the earlier of maturity or automatic redemption
if, and only if, the closing value of the worst performing underlying on the relevant valuation date is greater than or
equal to its coupon barrier value. However, if the closing value of the worst performing underlying on a valuation date is less
than its coupon barrier value, you will not receive any contingent coupon on the relevant contingent coupon date. If the closing
value of the worst performing underlying is less than its coupon barrier value on every valuation date, you will not receive any
contingent coupons throughout the entire term of the securities. The contingent coupon is equal to 1.6875% of the stated principal
amount (equivalent to a contingent coupon rate of 6.75% per annum)
• Automatic
Redemption. If the closing value of the worst performing underlying on any potential autocall date from October 2021 to January
2025, inclusive, is greater than or equal to its initial underlying value, we will automatically redeem the securities for the
stated principal amount plus the related contingent coupon payment
• Potential
Loss of Principal. If the securities are not automatically redeemed prior to maturity, you will receive the stated principal
amount at maturity if, and only if, the closing value of the worst performing underlying on the final valuation date is
greater than or equal to its final barrier value. If the closing value of the worst performing underlying on the final valuation
date is less than its final barrier value, you will lose a significant portion, and possibly all, of the stated principal amount
of your securities
• The
coupon barrier value for each underlying is equal to 75% of its initial underlying value
• The
final barrier value for each underlying is equal to 65% of its initial underlying value
• If
the securities are not automatically redeemed prior to maturity, you will have full downside exposure to the worst performing underlying
from its initial underlying value if its closing value on the final valuation date is less than its final barrier value, but you
will not participate in any appreciation of any underlying and will not receive any dividends on securities included in any underlying
• Your
return on the securities will depend solely on the performance of the underlying that is the worst performing underlying
on each valuation date. You will not benefit in any way from the performance of any better performing underlying. Therefore, you
will be adversely affected if any underlying performs poorly, even if any other underlying performs favorably
• All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If Citigroup
Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you could lose some or all of your investment
• The
securities will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should not invest
in the securities unless you are willing to hold them to maturity
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Guarantee
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Term
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Approximately 4 years, unless earlier automatically redeemed
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Underlyings
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The S&P 500® Index, the Russell 2000® Index and the Dow Jones Industrial AverageTM (each, an “underlying”)
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Stated Principal Amount
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$1,000 per security
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Pricing Date
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April 16, 2021
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Issue Date
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April 21, 2021
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Valuation Dates
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The 16th day of each January, April, July, and October, beginning in July 2021 and ending on April 16, 2025 (the “final valuation date”)
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Maturity Date
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April 22, 2025
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Contingent Coupon Payment Dates
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For each valuation date, the third business day after such valuation date, except that the contingent coupon payment date for the final valuation date will be the maturity date.
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Contingent Coupon
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See “Contingent Coupon Payments” below
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Payment at Maturity
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See “Payment at Maturity” below
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Automatic Early Redemption
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See “Automatic Early Redemption” below
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Potential Autocall Dates
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Each valuation date beginning in October 2021 and ending in January 2025
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Initial Underlying Value
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With respect to the S&P 500® Index:
4,185.47, its closing value on the pricing date.
With respect to the Russell 2000® Index:
2,262.670, its closing value on the pricing date.
With respect to the Dow Jones Industrial AverageTM:
34,200.67, its closing value on the pricing date.
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Coupon Barrier Value
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With respect to the S&P 500® Index:
3,139.1025, which is equal to 75% of its initial underlying value.
With respect to the Russell 2000® Index:
1,697.0025, which is equal to 75% of its initial underlying value.
With respect to the Dow Jones Industrial AverageTM:
25,650.5025, which is equal to 75% of its initial underlying value.
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Final Barrier Value
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With respect to the S&P 500® Index:
2,720.5555, which is equal to 65% of its initial underlying value.
With respect to the Russell 2000® Index:
1,470.7355, which is equal to 65% of its initial underlying value.
With respect to the Dow Jones Industrial AverageTM:
22,230.4355, which is equal to 65% of its initial underlying value.
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Underlying Performance Factor
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For each underlying on any valuation date, its closing value on that valuation date divided by its initial underlying value.
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Worst performing underlying
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For any valuation date, the underlying with the lowest underlying performance factor determined as of that valuation date
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Calculation Agent
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer
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Denominations
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$1,000 and any integral multiple of $1,000
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Agent Discount and Commission
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2.175%, of which dealers, including Wells Fargo Advisors (the trade name of the retail brokerage business of its affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC) (“WFA”), may receive a selling concession of 1.50% and WFA will receive a distribution expense fee of 0.075%. In respect of certain securities sold in this offering, CGMI may pay a fee of up to 0.1% to selected securities dealers in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers.
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CUSIP / ISIN
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17329FBB9 / US17329FBB94
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On the date of the related pricing supplement, the estimated
value of the securities is $976.40 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 and “Risk
Factors Relating to the Securities” in the accompanying product supplement.
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This term sheet should be read in conjunction
with the 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
Contingent Coupon Payments
On each contingent coupon payment date, unless previously redeemed,
the securities will pay a contingent coupon equal to 1.6875% of the stated principal amount of the securities (equivalent to a
contingent coupon rate of 6.75% per annum) if and only if the closing value of the worst performing underlying on the immediately
preceding valuation date is greater than or equal to its coupon barrier value.
If the closing value of the worst performing underlying on
any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately
following contingent coupon payment date.
Automatic Early Redemption
If, on any potential autocall date, the closing value of the
worst performing underlying is greater than or equal to its initial underlying value, each security you then hold will be automatically
redeemed on the immediately following contingent coupon payment date for an amount in cash equal to $1,000 plus the related
contingent coupon payment.
If the securities are automatically redeemed, they will cease
to be outstanding on the related contingent coupon payment date and you will have no further rights under the securities after
such contingent coupon payment date.
Payment at Maturity
If the securities are not automatically redeemed prior to maturity,
you will receive at maturity for each security you then hold (in addition to the contingent coupon due at maturity, if any):
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▪
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if the closing value of the worst performing underlying on the final valuation date is greater
than or equal to its final barrier value: $1,000; or
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▪
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if the closing value of the worst performing underlying on the final valuation date is less
than its final barrier value:
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$1,000 × the underlying performance
factor of the worst performing underlying on the final valuation date
If the closing value of the worst performing underlying on
the final valuation date 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, and you will not receive any contingent coupon payment at maturity.
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Hypothetical payout profile
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The following profile illustrates the potential
payment at maturity on the securities (excluding the final contingent coupon payment, if any) for a range of hypothetical performances
of the worst performing underlying on the final valuation date from its initial underlying value to its closing value on the final
valuation date, assuming the securities have not been automatically redeemed prior to the maturity date.
This graph has been prepared for purposes of
illustration only. Your actual return on the securities will depend on the actual closing value of the worst performing underlying
on the final valuation date and whether you hold your securities to the maturity date. The performance of any better performing
underlying is not relevant to your return on the securities.
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Hypothetical Returns
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If the securities are automatically redeemed:
If the securities are automatically
redeemed prior to maturity, you will receive the stated principal amount of your securities plus the related contingent
coupon payment on the immediately following contingent coupon payment date. In the event the securities are automatically redeemed,
your total return on the securities will equal any contingent coupon payments received prior to such contingent coupon payment
date and the contingent coupon payment received on such contingent coupon payment date.
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If the securities are not automatically
redeemed:
If
the securities are not automatically redeemed prior to 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 (excluding the final contingent coupon payment, if any). 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.
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Hypothetical
underlying performance factor of worst performing underlying on final valuation date
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Hypothetical
payment at maturity per security
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175.00%
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$1,000.00
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160.00%
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$1,000.00
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150.00%
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$1,000.00
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140.00%
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$1,000.00
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130.00%
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$1,000.00
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120.00%
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$1,000.00
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110.00%
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$1,000.00
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100.00%
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$1,000.00
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90.00%
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$1,000.00
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80.00%
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$1,000.00
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70.00%
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$1,000.00
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65.00%
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$1,000.00
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64.99%
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$649.90
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60.00%
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$600.00
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50.00%
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$500.00
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40.00%
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$400.00
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25.00%
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$250.00
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The above figures do not take into account contingent coupon
payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive return based
on the payment at maturity; any positive return will be based solely on the contingent coupon payments, if any, received during
the term of the securities.
The above figures are for purposes
of illustration only and may have been rounded for ease of analysis. If the securities are not automatically redeemed prior to
maturity, the actual amount you will receive at maturity will depend on the actual closing value of the worst performing underlying
on the final valuation date. The performance of any better performing underlying is not relevant to your return on the securities.
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Selected risk considerations
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 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 full description of the risk considerations provided for in the
Pricing Supplement and the more detailed description of risks relating to an investment in the securities contained in the section
“Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product supplement. You should
also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated by reference
in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent Quarterly
Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
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You May Lose Some Or All Of Your Investment.
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You Will Not Receive Any Contingent Coupon On The Contingent Coupon
Payment Date Following Any Valuation Date On Which The Closing Value Of The Worst Performing Underlying Is Less Than Its Coupon
Barrier Value.
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Higher Contingent Coupon Rates Are Associated With Greater Risk.
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The Securities Are Subject To Heightened
Risk Because They Have Multiple Underlyings.
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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.
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You Will Not Benefit In Any Way From The
Performance Of Any Better Performing Underlying.
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You Will Be Subject To Risks Relating To The Relationship Between The
Underlyings.
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You May Not Be Adequately Compensated For Assuming The Downside Risk
Of The Worst Performing Underlying.
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The Securities May Be Automatically Redeemed Prior To Maturity, Limiting
Your Opportunity To Receive Contingent Coupon Payments.
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The Securities Offer Downside Exposure To The Worst Performing Underlying,
But No Upside Exposure To Any Underlying.
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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.
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The Securities Are Subject To The Credit Risk Of Citigroup Global Markets
Holdings Inc. And Citigroup Inc.
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The Securities Will Not Be Listed On Any Securities Exchange And You
May Not Be Able To Sell Them Prior To Maturity.
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The Estimated Value Of The Securities On The Pricing Date, Based On
CGMI’s Proprietary Pricing Models And Our Internal Funding Rate, Is Less Than The Public Offering Price.
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The Estimated Value Of The Securities Was Determined For Us By Our
Affiliate Using Proprietary Pricing Models.
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The Estimated Value Of The Securities Would Be Lower If It Were Calculated
Based On Wells Fargo’s Determination of The Secondary Market Rate With Respect To Us.
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The Estimated Value Of The Securities Is Not An Indication Of The Price,
If Any, At Which Any Person May Be Willing To Buy The Securities From You In The Secondary Market.
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The Value Of The Securities Prior To Maturity Will Fluctuate Based
On Many Unpredictable Factors.
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We Have Been Advised That, Immediately Following Issuance, Any Secondary
Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements Prepared By
Wells Fargo Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.
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The Russell 2000® Index Is Subject To Risks Associated
With Small Capitalization Stocks.
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Our Offering Of The Securities Is Not A Recommendation Of Any Underlying.
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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.
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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.
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The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important
Determinations With Respect To The Securities.
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Changes That Affect The Underlyings May Affect The Value Of Your Securities.
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A Contingent Coupon Payment Date And The Stated Maturity Date May Be
Postponed If A Valuation Date is Postponed.
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The U.S. Federal Tax Consequences Of An Investment In The Securities
Are Unclear.
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Not suitable for all investors
Investment suitability must be
determined individually for each investor. The securities described herein are not a suitable investment for all investors. In
particular, no investor should purchase the securities unless they understand and are able to bear the associated market, liquidity
and yield risks. Unless market conditions and other relevant factors change significantly in your favor, a sale of the securities
prior to maturity is likely to result in sale proceeds that are substantially less than the stated principal amount per security.
Citigroup Global Markets Holdings Inc. and its affiliates are not obligated to purchase the securities from you at any time prior
to maturity.
Citigroup Global Markets Holdings
Inc. and Citigroup Inc. have filed a registration statement (including a related pricing supplement, an accompanying product supplement,
an accompanying underlying supplement and an accompanying prospectus supplement and prospectus) with the Securities and Exchange
Commission (“SEC”) for the offering to which this communication relates. You should read the related pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus in that registration statement
(File Nos. 333-224495 and 333-224495-03) and the other documents Citigroup Global Markets Holdings Inc. and Citigroup Inc. have
filed with the SEC for more complete information about Citigroup Global Markets Holdings Inc., Citigroup Inc. and this offering.
You may get these documents for free by visiting EDGAR on the SEC’s website at www.sec.gov. Alternatively, you can request
the related pricing supplement, accompanying product supplement, accompanying underlying supplement and the accompanying prospectus
supplement and prospectus by calling toll-free 1-800-831-9146.
Consult your tax adviser
Investors should review carefully
the accompanying pricing supplement, product supplement, prospectus supplement and prospectus and consult their tax advisors regarding
the application of the U.S. federal income tax laws to their particular circumstances, as well as any tax consequences arising
under the laws of any state, local or foreign jurisdiction.
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