Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
July 22 2022 - 3:34PM
Edgar (US Regulatory)
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Citigroup Global Markets Holdings Inc.
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Free Writing Prospectus to Pricing Supplement
No. 2022-USNCH13152
Registration Statement Nos. 333-255302 and 333-255302-03
Dated July 22, 2022; Filed pursuant to Rule 433 |
Contingent Income Auto-Callable Securities
Due August , 2025 Based on the Performance of the Common Stock of Tesla, Inc.
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, prospectus supplement
and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision.
| Summary Terms |
| Issuer: |
Citigroup Global Markets Holdings Inc. |
| Guarantor: |
Citigroup Inc. |
| Underlying shares: |
Shares of common stock of Tesla, Inc. (ticker symbol: “TSLA UW”) |
| Stated principal amount: |
$10 per security |
| Pricing date: |
July 29, 2022 |
| Issue date: |
August 3, 2022 |
| Valuation dates, potential redemption dates and contingent coupon payment dates: |
The valuation dates, potential redemption dates and contingent coupon
payment dates are set forth below:
|
| |
Valuation dates* |
Potential redemption dates* |
Contingent coupon payment dates** |
| |
October 31, 2022 |
October 31, 2022 |
November 3, 2022 |
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January 30, 2023 |
January 30, 2023 |
February 2, 2023 |
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May 1, 2023 |
May 1, 2023 |
May 4, 2023 |
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July 31, 2023 |
July 31, 2023 |
August 3, 2023 |
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October 30, 2023 |
October 30, 2023 |
November 2, 2023 |
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January 29, 2024 |
January 29, 2024 |
February 1, 2024 |
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April 29, 2024 |
April 29, 2024 |
May 2, 2024 |
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July 29, 2024 |
July 29, 2024 |
August 1, 2024 |
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October 29, 2024 |
October 29, 2024 |
November 1, 2024 |
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January 29, 2025 |
January 29, 2025 |
February 3, 2025 |
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April 29, 2025 |
April 29, 2025 |
May 2, 2025 |
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July 29, 2025 (the “final valuation date”) |
N/A |
August 1, 2025 (the “maturity date”) |
| |
* Each valuation date is subject to postponement if such date is not
a scheduled trading day or certain market disruption events occur, as described in the accompanying product supplement. Each potential
redemption date is subject to postponement on the same basis as a valuation date.
** If the potential redemption date immediately preceding any contingent
coupon payment date is postponed, that contingent coupon payment date will also be postponed so that it falls on the third business day
after such potential redemption date, as postponed.
|
| Maturity date: |
Unless earlier redeemed, August 1, 2025 |
| Contingent coupon: |
On each quarterly contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 5.4375% of the stated principal amount of the securities (21.75% per annum) if and only if the closing price of the underlying shares on the related valuation date is greater than or equal to the downside threshold price. If the closing price of the underlying shares on any quarterly valuation date is less than the downside threshold price, you will not receive any contingent coupon payment on the related contingent coupon payment date. |
| Payment at maturity1: |
If the securities are not automatically redeemed prior to maturity, for
each $10 stated principal amount security you hold at maturity, you will receive cash in an amount determined as follows:
· If
the final share price is greater than or equal to the downside threshold price: $10 + the contingent coupon payment due at maturity
· If
the final share price is less than the downside threshold price: $10 + ($10 × the share return)
If the final share price is less than the downside threshold price,
you will receive less, and possibly significantly less, than 50.00% of the stated principal amount of your securities at maturity, and
you will not receive any contingent coupon payment at maturity.
|
| Automatic early redemption: |
If, on any potential redemption date, the closing price of the underlying shares is greater than or equal to the initial share price, each security you then hold will be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to the early redemption payment. If the securities are redeemed, no further payments will be made. |
| Early redemption payment: |
The stated principal amount of $10 per security plus the related contingent coupon payment |
| Initial share price: |
The closing price of the underlying shares on the pricing date |
| Final share price: |
The closing price of the underlying shares on the final valuation date |
| Downside threshold price: |
50.00% of the initial share price |
| Share return: |
(i) The final share price minus the initial share price, divided by (ii) the initial share price |
| CUSIP/ISIN: |
17330N336 / US17330N3364 |
| Preliminary pricing supplement: |
https://www.sec.gov/Archives/edgar/data/0000200245/00009501032201278
4/dp177465_424b2-us2298900.htm |
|
Hypothetical Payout at Maturity1
(if the securities have not previously
been redeemed)
|
| Share Return of Underlying Shares on the Final Valuation Date |
Payment at Maturity (excluding any coupon payable at maturity) |
| +40% |
$10.00 |
| +30% |
$10.00 |
| +20% |
$10.00 |
| +10% |
$10.00 |
| 0% |
$10.00 |
| -10% |
$10.00 |
| -30% |
$10.00 |
| -40% |
$10.00 |
| -50% |
$10.00 |
| -51% |
$4.90 |
| -60% |
$4.00 |
| -70% |
$3.00 |
| -80% |
$2.00 |
| -90% |
$1.00 |
| -100% |
$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 $9.165 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.
|
Citigroup Global Markets Holdings Inc.
and Citigroup Inc. have filed registration statements (including the accompanying preliminary pricing supplement, product 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, 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 Shares
For more information about the underlying shares, 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.
| · | You may lose a significant portion or all of your
investment. |
| · | You will not receive any contingent coupon payment
for any quarter in which the closing price of the underlying shares is less than the downside threshold price on the related valuation
date. |
| · | Higher contingent coupon rates are associated with
greater risk. |
| · | You may not be adequately compensated for assuming
the downside risk of the underlying shares. |
| · | The securities may be automatically redeemed prior
to maturity, limiting your opportunity to receive contingent coupon payments. |
| · | The securities offer downside exposure to the underlying
shares, but no upside exposure to the underlying shares. |
| · | The performance of the securities will depend on
the closing price of the underlying shares solely on the relevant valuation dates, which makes the securities particularly sensitive to
the volatility of the underlying shares. |
| · | 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 Citigroup Global Markets Holdings Inc.’s internal funding rate, will
be less than the issue 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 Citigroup Global Market Holdings Inc.’s secondary market rate. |
| · | The estimated value of the securities is not an indication
of the price, if any, at which Citigroup Global Market Inc. or any other 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. |
| · | Immediately following issuance, any secondary market
bid price provided by Citigroup Global Market Inc., and the value that will be indicated on any brokerage account statements prepared
by Citigroup Global Market Inc. or its affiliates, will reflect a temporary upward adjustment. |
| · | Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the securities. |
| · | Citigroup Global Market Holdings Inc.’s offering
of the securities does not constitute a recommendation of any underlying shares. |
| · | The price of the underlying shares may be adversely
affected by our or our affiliates’ hedging and other trading activities. |
| · | 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. |
| · | You will have no rights and will not receive dividends
with respect to the underlying shares. |
| · | Even if the underlying share issuer 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 could affect the price of the underlying shares. |
| · | If the underlying shares are delisted, we may call
the securities prior to maturity for an amount that may be less than the stated principal amount. |
| · | The securities may become linked to shares of an
issuer other than the original underlying share issuer upon the occurrence of a reorganization event or upon the delisting of the underlying
shares. |
| · | The calculation agent, which is an affiliate of Citigroup
Global Market Holdings Inc., will make important determinations with respect to the securities. |
| · | The U.S. federal tax consequences of an investment
in the securities are unclear. |
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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