Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
14 October 2021 - 4:14AM
Edgar (US Regulatory)
Citigroup Global Markets Holdings Inc.
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Free Writing Prospectus to Pricing Supplement No.
2021-USNCH9430
Registration Statement Nos. 333-255302 and 333-255302-03
Dated October 13, 2021; Filed pursuant to Rule 433
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Contingent Income Callable Securities
Due October , 2023 Based on the Performance of the S&P 500® Index
Principal at Risk Securities
This document provides a summary of the terms of the securities.
Investors must carefully review the accompanying preliminary pricing supplement referenced below, product supplement, underlying supplement,
prospectus supplement and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision.
Summary Terms
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Issuer:
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Citigroup Global Markets Holdings Inc.
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Guarantor:
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Citigroup Inc.
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Underlying index:
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S&P 500® Index (ticker symbol: “SPX”)
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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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October 22, 2021
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Issue date:
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October 27, 2021
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Valuation dates:
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Expected to be January 24, 2022, April 22, 2022, July 22, 2022, October 24, 2022, January 23, 2023, April 24, 2023, July 24, 2023 and October 23, 2023 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Maturity date:
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Unless earlier redeemed, October 26, 2023
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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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On each quarterly contingent coupon payment date, unless previously redeemed by us, the securities will pay a contingent coupon equal to at least 1.8125% of the stated principal amount of the securities (at least 7.25% per annum, to be determined on the pricing date) if and only if the closing level of the underlying index on the related valuation date is greater than or equal to the coupon barrier level. If the closing level of the underlying index on any quarterly valuation date is less than the coupon barrier level, you will not receive any contingent coupon payment on the related contingent coupon payment date.
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Payment at maturity1:
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Unless earlier redeemed by us, for each $1,000 stated principal amount
security you hold at maturity, you will receive cash in an amount determined as follows (in addition to the final contingent coupon payment,
if any):
· If
the final index level is greater than or equal to the downside threshold level:
$1,000
· If
the final index level is less than the downside threshold level:
$1,000 + ($1,000 x the index return)
If the final index level is less than the downside threshold level,
you will receive less, and possibly significantly less, than 80.00% of the stated principal amount of your securities at maturity.
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Initial index level:
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The closing level of the underlying index on the pricing date
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Final index level:
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The closing level of the underlying index on the final valuation date
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Coupon barrier level:
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80.00% of the initial index level
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Downside threshold level:
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80.00% of the initial index level
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Index return:
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(i) The final index level minus the initial index level, divided by (ii) the initial index level
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CUSIP/ISIN:
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17329U6N6 / US17329U6N67
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Preliminary pricing supplement:
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https://www.sec.gov/Archives/edgar/data/0000200245/
000095010321015817/dp159767_424b2-us2168900.htm
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Hypothetical Payout at Maturity1
(if the securities have not previously
been redeemed)
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Change in Underlying
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Payment at Maturity (excluding any coupon payable at maturity)
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+40%
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$1,000.00
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+30%
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$1,000.00
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+20%
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$1,000.00
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+10%
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$1,000.00
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0%
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$1,000.00
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-10%
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$1,000.00
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-20%
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$1,000.00
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-21%
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$790.00
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-40%
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$600.00
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-50%
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$500.00
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-60%
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$400.00
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-70%
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$300.00
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-80%
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$200.00
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-90%
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$100.00
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-100%
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$0
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1All payments are subject to our credit risk
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On the date
of the accompanying preliminary pricing supplement, Citigroup Global Markets Holdings Inc. expects that the
estimated value of the securities on the pricing date will be at least $924.00 per security, which will be
less than the public offering price. The estimated value of the securities is based on Citigroup Global Markets
Inc.’s (“CGMI”) 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 preliminary pricing supplement.
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Citigroup
Global Markets Holdings Inc. and Citigroup Inc. have filed registration statements (including the accompanying preliminary pricing supplement,
product supplement, underlying supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”)
for the offering to which this communication relates. Before you invest, you should read the accompanying preliminary pricing supplement,
product supplement, underlying supplement, prospectus supplement and prospectus in those registration statements (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 obtain these documents without
cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, you can request these documents by calling toll-free 1-800-831-9146.
Underlying Index
For more information about the underlying index, including historical
performance information, see the accompanying preliminary pricing supplement.
Risk Considerations
The risks set forth below are discussed
in more detail in the “Summary Risk Factors” section in the accompanying preliminary pricing supplement. Please review those
risk factors carefully prior to making an investment decision.
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·
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You may lose a significant portion or all of your
investment.
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·
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You will not receive any contingent coupon payment
for any quarter in which the closing level of the underlying index is less than the coupon barrier level on the related valuation date.
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·
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Higher contingent coupon rates are associated with
greater risk.
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·
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You may not be adequately compensated for assuming
the downside risk of the underlying index.
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·
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We may redeem the securities at our option, which
will limit your ability to receive the contingent coupon payments.
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·
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The securities offer downside exposure to the underlying
index, but no upside exposure to the underlying index.
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·
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The performance of the securities will depend on
the closing level of the underlying index solely on the relevant valuation dates, which makes the securities particularly sensitive to
the volatility of the underlying index.
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·
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The payment at maturity depends on the closing level
of the underlying index on a single day.
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·
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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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·
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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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·
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The estimated value of the securities on the pricing
date, based on CGMI’s proprietary pricing models and Citigroup Global Markets Holdings Inc.’s internal funding rate, will
be less than the issue price.
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·
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The estimated value of the securities was determined
for Citigroup Global Market Holdings Inc. by its affiliate using proprietary pricing models.
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The estimated value of the securities would be lower
if it were calculated based on Citigroup Global Market Holdings Inc.’s secondary market rate.
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The estimated value of the securities is not an indication
of the price, if any, at which CGMI or any other person may be willing to buy the securities from you in the secondary market.
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·
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The value of the securities prior to maturity will
fluctuate based on many unpredictable factors.
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·
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Immediately following issuance, any secondary market
bid price provided by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates,
will reflect a temporary upward adjustment.
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Citigroup Global Market Holdings Inc.’s offering
of the securities does not constitute a recommendation of the underlying index.
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Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the securities.
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The level of the underlying index may be adversely
affected by Citigroup Global Market Holdings Inc.’s or its affiliates’ hedging and other trading activities.
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Citigroup Global Market Holdings Inc. and its affiliates
may have economic interests that are adverse to yours as a result of the business activities of Citigroup Global Market Holdings Inc.’s
affiliates.
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The calculation agent, which is an affiliate of Citigroup
Global Market Holdings Inc., will make important determinations with respect to the securities.
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·
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Adjustments to the underlying index may affect the
value of your securities.
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·
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The U.S. federal tax consequences of an investment
in the securities are unclear.
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Tax Considerations
You should review carefully the discussion in the accompanying preliminary
pricing supplement under the heading “United States Federal Tax Considerations” concerning the U.S. federal tax consequences
of an investment in the securities, and you should consult your tax adviser.
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