Citigroup – Form FWP CITIGROUP INC Filed by: CITIGROUP INC
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|Citigroup Global Markets Holdings Inc.||C||
Market Linked Notes—Upside Participation
Notes Linked to an Equity Index Basket due February
Term Sheet to Preliminary Pricing Supplement No.
|Issuer||Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.|
|Guarantee||All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.|
|Term||Approximately 8 years|
|Basket||A basket comprised of the following basket components, with the return of each basket component having the weighting noted parenthetically: the EURO STOXX 50® Index (60%), the TOPIX® Index (12%), the FTSE® 100 Index (10%), the Swiss Market Index® (10%) and the S&P/ASX 200 Index (8%)|
|Stated Principal Amount||$1,000 per note|
|Pricing Date||January 29, 2021*|
|Issue Date||February 3, 2021*|
|Valuation Dates||The 29th day of each January, April, July and October, beginning in April 2021 and ending on January 29, 2029 (the “final valuation date”)*|
|Maturity Date||February 5, 2029*|
|Payment at Maturity||See “Payment at Maturity” on Page 3|
|Initial Basket Value||100|
|Final Average Basket Value||100 × (1 + the sum of the weighted component returns of the basket components)|
|Average Component Return||For each basket component: (average component value – initial component value) / initial component value|
|Weighted Component Return||
For each basket component, its average component return multiplied
|Initial Component Value||For each basket component, its closing value on the pricing date|
|Average Component Value||For each basket component, the arithmetic average of its closing values on the valuation dates|
|Participation Rate||100% to 110% (to be determined on the pricing date)|
|Calculation Agent||Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer|
|Denominations||$1,000 and any integral multiple of $1,000|
|Agent Discount and Commission||Up to 3.62%, of which dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession of 2.50% and WFA will receive a distribution expense fee of 0.12%. In respect of certain notes sold in this offering, CGMI may pay a fee of up to 0.1% to selected securities dealers in consideration for marketing and other services in connection with the distribution of the notes to other securities dealers.|
|CUSIP / ISIN||17328YEM2 / US17328YEM21|
· Linked to an equity index basket (the “basket”) comprised of the the EURO STOXX 50® Index (60%), the
· Unlike ordinary debt securities, the notes do not pay interest. Instead, the notes offer the potential for a positive return
o If the final average
o If the final average
· The final average basket value is based on the average of closing values of the basket components on specified dates occurring
· The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our obligations
· No periodic interest payments or dividends
· The notes will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should not invest
* Expected. To the extent
On the date of the related
The notes have complex
introductory term sheet does not provide all of the information that an investor should consider prior to making an investment
Investors should carefully review the accompanying
preliminary pricing supplement, product supplement, underlying supplement, prospectus supplement and prospectus before making
a decision to invest in the notes.
The table below is based on a range of hypothetical percentage
final average basket value
from the hypothetical
initial basket value to the hypothetical final
|Hypothetical payment at maturity per note||Hypothetical total pre-tax rate of return|
|The above figures are for purposes of illustration only and may have been rounded for ease of analysis.|
For each $1,000 stated principal
• If the final average
• If the final average
If the final average basket value is less than or equal to
An investment in the notes is significantly riskier than an investment in conventional
debt securities. The notes are subject to all of the risks associated with an investment in our conventional debt securities (guaranteed
by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the notes, and are also
subject to risks associated with the basket. Accordingly, the notes are suitable only for investors who are capable of understanding
the complexities and risks of the notes. You should consult your own financial, tax and legal advisors as to the risks of an investment
in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors in the notes.
You should read this summary together with the full description of the risk considerations provided for in the Preliminary Pricing
Supplement and the more detailed description of risks relating to an investment in the notes contained in the section “Risk
Factors Relating to the Notes” beginning on page EA-6 in the accompanying product supplement. You should also carefully read
the risk factors included in the accompanying prospectus supplement and in the documents incorporated by reference in the accompanying
prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form
10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
|·||You May Not Receive Any Positive Return On Your Investment In The Notes.|
|·||The Notes Do Not Pay Interest.|
|·||The Potential For A Positive Return On The Notes At Stated Maturity Is Based On The
Average Performance Of The Basket Components During The Term Of The Notes, Which May Be Less Favorable Than The Performance Of
The Basket As Measured From Its Initial Basket Value To Its Value At Or Near Stated Maturity.
|·||Changes In The Value Of The Basket Components May Offset Each Other.|
|·||The Basket Components Are Unequally Weighted.|
|·||The Basket Components May Be Highly Correlated In Decline.|
|·||You Will Not Receive Dividends Or Have Any Other Rights With Respect To The Basket Components.|
|·||Although The Notes Provide For The Repayment
Of The Stated Principal Amount At Maturity, You May Nevertheless Suffer A Loss On Your Investment In Real Value Terms If The Percentage
Change From The Initial Basket Value To The Final Average Basket Value Is Less Than Or Not Sufficiently Greater Than Zero.
|·||The Notes Are Subject To The Credit Risk Of Citigroup Global
Markets Holdings Inc. And Citigroup Inc.
|·||The Notes Are Riskier Than Securities With A Shorter Term.|
|·||The Notes Will Not Be Listed On Any Securities Exchange And You May Not Be Able To Sell
Them Prior To Maturity.
|·||Sale Of The Notes Prior To Maturity May Result In A Loss Of Principal.|
|·||The Estimated Value Of The Notes On The Pricing Date, Based On CGMI’s Proprietary
Pricing Models And Our Internal Funding Rate, Is Less Than The Public Offering price.
|·||The Estimated Value Of The Notes Was Determined For Us By Our Affiliate Using Proprietary
|·||The Estimated Value Of The Notes Would Be Lower If It Were Calculated Based On Wells
Fargo’s Determination Of The Secondary Market Rate With Respect To Us.
|·||The Estimated Value Of The Notes Is Not An Indication Of The price, If Any, At Which
Any Person May Be Willing To Buy The Notes From You In The Secondary Market.
|·||The Value Of The Notes Prior To Maturity Will Fluctuate Based On Many Unpredictable
|·||We Have Been Advised That, Immediately Following Issuance, Any Secondary Market Bid
price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements Prepared By Wells Fargo
Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.
|·||An Investment In The Notes Is Not A Diversified Investment.|
|·||The Basket Components Are Subject To Risks Associated With Non-U.S. Markets.|
|·||The Performance Of The Basket Components Will Not Be Adjusted For Changes In Currency
|·||Our Offering Of The Notes Is Not A Recommendation Of The Basket Or The Basket Components.
|·||The Closing Values Of The Basket Components May Be Adversely Affected By Our Or Our
Affiliates’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.
|·||We And Our Affiliates, Or Wells Fargo Or Its Affiliates, May Have Economic Interests
That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.
|·||The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important Determinations
With Respect To The Notes.
|·||Changes That Affect The Basket Components May Affect The Value Of Your Notes.|
|·||The Stated Maturity Date May Be Postponed If The Final Valuation Date Is Postponed.|
|·||You Will Be Required To Recognize Taxable Income On The Notes Prior To Maturity.|
Not suitable for all investors
Investment suitability must be determined
individually for each investor. The notes described herein are not a suitable investment for all investors. In particular, no investor
should purchase the notes unless they understand and are able to bear the associated market, liquidity and yield risks. Unless
market conditions and other relevant factors change significantly in your favor, a sale of the notes prior to maturity is likely
to result in sale proceeds that are substantially less than the stated principal amount per note. Citigroup Global Markets Holdings
Inc. and its affiliates are not obligated to purchase the notes from you at any time prior to maturity.
Citigroup Global Markets Holdings Inc.
and Citigroup Inc. have filed a registration statement (including a related preliminary pricing supplement, an accompanying product
supplement, underlying supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”)
for the offering to which this communication relates. You should read the related preliminary pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus in that registration statement (File Nos. 333-224495
and 333-224495-03) and the other documents Citigroup Global Markets Holdings Inc. and Citigroup Inc. have filed with the SEC for
more complete information about Citigroup Global Markets Holdings Inc., Citigroup Inc. and this offering. You may get these documents
for free by visiting EDGAR on the SEC’s website at www.sec.gov. Alternatively, you can request the related preliminary pricing
supplement, accompanying product supplement, underlying supplement, prospectus supplement and prospectus by calling toll-free 1-800-831-9146.
Consult your tax adviser
Investors should review carefully the
accompanying preliminary pricing supplement, product supplement, underlying supplement, prospectus supplement and prospectus and
consult their tax advisors regarding the application of the U.S. federal income tax laws to their particular circumstances, as
well as any tax consequences arising under the laws of any state, local or foreign jurisdiction.
Wells Fargo Advisors is a trade name
used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers
and non-bank affiliates of Wells Fargo & Company.