Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
July 10 2024 - 11:22AM
Edgar (US Regulatory)
Citigroup Global Markets Holdings Inc. |
Free Writing Prospectus
to Pricing Supplement No. 2024-USNCH22601
Registration Statement
Nos. 333-270327; 333-270327-01
Dated July 10,
2024; Filed pursuant to Rule 433 |
Trigger PLUS Based on the S&P 500® Index Due
July , 2030
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 |
Issuer: |
Citigroup
Global Markets Holdings Inc. |
Guarantor: |
Citigroup
Inc. |
Underlying
index: |
The
S&P 500® Index (ticker symbol: “SPX”) |
Stated
principal amount: |
$1,000
per security |
Pricing
date: |
July
15, 2024 |
Issue
date: |
July
18, 2024 |
Valuation
date: |
July
15, 2030, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. |
Maturity
date: |
July
18, 2030 |
Payment
at maturity1: |
For each $1,000 stated principal amount
security you hold at maturity:
· If
the final index level is greater than the initial index level:
$1,000
+ the leveraged return amount
· If
the final index level is less than or equal to the initial index level but greater than or equal to the trigger level:
$1,000
· If
the final index level is less than the trigger level:
$1,000
+ ($1,000 × the index return)
If the final index level is less
than the trigger level, you will receive less, and possibly significantly less, than 65.00% of the stated principal amount of your
securities at maturity. |
Initial
index level: |
The
closing level of the underlying index on the pricing date |
Final
index level: |
The
closing level of the underlying index on the valuation date |
Trigger
level: |
65.00%
of the initial index level |
Index
return: |
(i)
The final index level minus the initial index level, divided by (ii) the initial index level |
Leveraged
return amount: |
$1,000
× the index return × the leverage factor |
Leverage
factor: |
106.50% |
CUSIP
/ ISIN: |
17332MCE2
/ US17332MCE21 |
Preliminary
pricing supplement: |
Preliminary
pricing supplement dated July 10, 2024 |
Hypothetical Payout at Maturity1 |
Change
in Underlying |
Return
on Securities |
+50.00% |
53.25% |
+40.00% |
42.60% |
+30.00% |
31.95% |
+20.00% |
21.30% |
+10.00% |
10.65% |
0.00% |
0.00% |
-10.00% |
0.00% |
-20.00% |
0.00% |
-30.00% |
0.00% |
-35.00% |
0.00% |
-36.00% |
-36.00% |
-40.00% |
-40.00% |
-50.00% |
-50.00% |
-60.00% |
-60.00% |
-70.00% |
-70.00% |
-80.00% |
-80.00% |
-90.00% |
-90.00% |
-100.00% |
-100.00% |
1 All payments are subject
to our credit risk
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 $907.50 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,
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. 333-270327 and 333-270327-01)
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.
| · | You
may lose some or all of your investment. |
| · | The
trigger feature of the securities exposes you to particular risks. |
| · | The
securities do not pay interest. |
| · | Investing
in the securities is not equivalent to investing in the underlying index or the stocks that
constitute the underlying index. |
| · | Your
payment at maturity depends on the closing level of the underlying index on a single day. |
| · | 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 Citigroup Global Markets
Inc.’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 would be lower if it were calculated based on Citigroup
Global Markets 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 Markets 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 Markets Inc.,
and the value that will be indicated on any brokerage account statements prepared by Citigroup
Global Markets Inc. or its affiliates, will reflect a temporary upward adjustment. |
| · | Changes
that affect the underlying index may affect the value of your securities. |
| · | Governmental
regulatory actions, such as sanctions, could adversely affect your investment in the securities. |
| · | Citigroup
Global Markets Holdings Inc.’s offering of the securities does not constitute a recommendation
of any underlying index. |
| · | The
level of the underlying index may be adversely affected by our or our affiliates’ hedging
and other trading activities. |
| · | Citigroup
Global Markets Holdings Inc. and its affiliates may have economic interests that are adverse
to yours as a result of the business activities of Citigroup Global Markets Holdings Inc.’s
affiliates. |
| · | The
calculation agent, which is an affiliate of Citigroup Global Markets 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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