Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
November 24 2020 - 05:04PM
Edgar (US Regulatory)

Preliminary Terms This summary of terms is not complete and should
be read with the pricing supplement below Issuer: Citigroup Global
Markets Holdings Inc. Guarantor: Citigroup Inc. Underlying index:
Citi Dynamic Asset Selector 5 Excess Return Index (ticker:
“CIISDA5N”) Pricing date: December 21, 2020 Valuation date:
September 21, 2026 Maturity date: September 24, 2026 CUSIP / ISIN:
17328Y5K6 / US17328Y5K65 Initial index level: The closing level of
the underlying index on the pricing date Final index level : The
closing leve l of the underlying index on the valuation date Index
return: (Final index level - initial index level) / initial index
level Upside participation rate: 100% to 115%* Payment at Maturity:
For each note you hold at maturity, the $1,000 stated principal
amount plus the note return amount, which will be either zero or
positive Note return amount: • If the final index level is greater
than the initial index level : $1,000 × the index return × the
upside participation rate • If the final index level is less than
or equal to the initial index level: $0 All payments on the
securities are subject to the credit risk of Citigroup Global
Markets Ho ldings Inc. and Citigroup Inc. Stated principal amount:
$1,000 per security Pricing Supplement: Preliminary Pricing
Supplement dated November 24, 2020 * The actual upside
participation rate will be determined on the pricing date. ** The
hypotheticals assume that the upside participation rate will be set
at the lowest value indicated in this offering summary. Citigroup
Global Markets Holdings Inc. Guaranteed by Citigroup Inc. 5.75 Year
Market - Linked Notes Linked to CIISDA5N Hypothetical Payment at
Maturity** B A Hypothetical Index Return Hypothetical Note Return
Hypothetical Payment at Maturity B 100.00% 100.00% $2,000.00 75.00%
75.00% $1,750.00 50.00% 50.00% $1,500.00 10.00% 10.00% $1,100.00
5.00% 5.00% $1,050.00 A 0.00% 0.00% $1,000.00 - 10.00% 0.00%
$1,000.00 - 20.00% 0.00% $1,000.00 - 30.00 % 0.00% $1,000.00 -
40.00% 0.00% $1,000.00 - 50.00% 0.00% $1,000.00 - 100.00% 0.00%
$1,000.00 $700 $800 $900 $1,000 $1,100 $1,200 $1,300 -30% -20% -10%
0% 10% 20% 30% Payment at Maturity Index Return The Underlying
Index The Notes

Selected Risk Considerations • You may not receive any return on
your investment in the notes. You will receive a positive return on
your investment in the notes only if the underlying index
appreciates from the initial index level to the final index level.
If the final index level of the underlying index is less than the
initial index level, you will receive only the stated principal
amount for each note you hold at maturity. • The notes do not pay
interest. • Your payment at maturity depends on the closing level
of the underlying index on a single day. • The notes are subject to
the credit risk of Citigroup Global Markets Holdings Inc. and
Citigroup Inc. If Citigroup Global Markets Holdings Inc. defaults
on its obligations under the notes and Citigroup Inc. defaults on
its guarantee obligations, you may not receive anything owed to you
under the notes. • Sale of the notes prior to maturity may result
in a loss of principal. • The notes will not be listed on any
securities exchange and you may not be able to sell them prior to
maturity. • The estimated val ue of the notes on the pricing date
will be less than the issue price. For more information about the
estimated value of the notes, see the accompanying preliminary
pricing supplement. • The value of the notes prior to maturity will
fluctuate based on many unpredictable factors. • The issuer and its
affiliates may have conflicts of interest with you. • The Index is
a trend - following index and is subject to the limitations
inherent in all trend - following methodologies, including the fact
that past performance is no guarantee of future performance.
Furthermore, the Index’s trend - following methodology may be
unsuccessful even if past trends do prove to be indicative of
future performance, because the Trend Signal may not accurately
capture the trend or the Index may not change its Selected
Portfolio quickly enough in response to changes in the Market
Regime. • Each Constituent is a futures - based index and is
therefore expected to reflect the implicit cost of a financed
position in its Reference Asset. This implicit financing cost will
adversely affect the level of each Constituent and cause each
Constituent to underperform its Reference Asset. Any increase in
market interest rates will be expected to increase this implicit
financing cost and will further adversely affect the performance of
the Constituents and, therefore, the performance of the Index. •
The Index rules limit the exposure the Index may have to the U.S.
Equity Futures Constituent and, as a result, the Index is likely to
significantly underperform equities in rising equity markets. • The
Index will have significant exposure to the U.S. Treasury Futures
Constituent, which has limited return potential and significant
downside potential, particularly in times of rising interest rates.
• The volatility - targeting feature significantly reduces the
potential for Index gains. At any time when the Index has less than
100% exposure to the Selected Portfolio, the Index will participate
in only a limited degree of the performance of the Selected
Portfolio. • The Index’s allocation methodology may not be
successful if the U.S. Equity Futures Constituent and the U.S.
Treasury Futures Constituent decline at the same time. • The Index
may fail to maintain its volatility target. Because there is a time
lag inherent in the Index’s volatility targeting feature, the Index
may retain significant exposure to the U.S. Equity Futures
Constituent long after a period of heightened volatility has begun,
which may result in significant Index declines. • The performance
of the Index will be reduced by an index fee. • The Index was
launched on June 13, 2016 and, therefore, has a limited performance
history. • The Index follows fixed rules and will not be actively
managed. The above summary of selected risks does not describe all
of the risks associated with an investment in the notes. You should
read the accompanying preliminary pricing supplement and index
supplement for a more complete description of risks relating to the
notes. Citigroup Global Markets Holdings Inc. Guaranteed by
Citigroup Inc. Key Features of the Index • Created by Citigroup
Global Markets Limited and launched on June 13, 2016. • Tracks the
hypothetical performance of a rules - based investment methodology
that, on each Index Business Day, seeks to identify current U.S.
equity market conditions as falling within one of four possible
“Market Regimes” based on trend and volatility Signals. Depending
on the identified Market Regime, Index exposure is allocated to one
of three possible hypothetical investment “Portfolios”, each
consisting of varying degrees of exposure to the following two
“Constituents”: Constituent Underlying Futures Contract Reference
Asset S&P 500 Futures Excess Return Index (“U.S. Equity Futures
Constituent”) E - mini S&P 500 Futures S&P 500 Index
S&P 10 - Year U.S. Treasury Note Futures Excess Return Index
(“U.S. Treasury Futures Constituent”) 10 - Year U.S. Treasury Note
Futures 10 - Year U.S. Treasury Notes • Each Constituent tracks a
hypothetical investment, rolled quarterly, in the nearest - to -
expiration futures contract on the Reference Asset indicated in the
table above. • The Index relies on backward - looking trend and
volatility Signals to determine which Market Regime is currently in
effect and, in turn, which Portfolio to track until there is a
change in the Market Regime (the Portfolio tracked at any time
referred to as the “Selected Portfolio”). • On each Index Business
Day, the Index calculates: • Trend Signal : The trend of the
performance of the U.S. Equity Futures Constituent over a look -
back period of 21 Index Business Days (approximately one month),
measured by a linear regression methodology. The Trend Signal will
be either “upward” or “downward”. • Volatility Signal : The
realized volatility of the U.S. Equity Futures Constituent over a
lookback period of 63 Index Business Days (approximately three
months). • The following table indicates the Market Regime that
will be identified for each possible combination of Signals and,
for each Market Regime, the corresponding Portfolio that will be
selected as the Selected Portfolio to be tracked until the next
change in Market Regime. Signals Market Regime Selected Portfolio
Trend Signal: Upward Volatility Signal: ≤ 15% Stable - Trending Up
Equity - Focused Portfolio » U.S. Equity Futures Constituent:
66.66% » U.S. Treasury Futures Constituent: 33.33% Trend Signal:
Upward Volatility Signal: > 15% Unstable - Trending Up
Intermediate Portfolio » U.S. Equity Futures Constituent: 33.33% »
U.S. Treasury Futures Constituent: 66.66% Trend Signal: Downward
Volatility Signal: ≤ 15% Stable - Trending Down Trend Signal:
Downward Volatility Signal: > 15% Unstable - Trending Down
Treasury Portfolio » U.S. Equity Futures Constituent: 0.00% » U.S.
Treasury Futures Constituent: 100.00% • If the Trend Signal fails
to meet a test of statistical significance, then a change in Market
Regime will not occur and the Selected Portfolio will not change,
even if the Signals otherwise call for a change. • Index fee of
0.85% per annum is deducted daily from Index performance. •
“Volatility target” feature may reduce Index exposure to Selected
Portfolio if and as necessary to maintain a 21 - day realized
volatility ≤ 5%. If the Index exposure to the Selected Portfolio is
less than 100%, the difference will be hypothetically allocated to
cash (accruing no interest).

Additional Information Citigroup Global Markets Holdings Inc. and
Citigroup Inc. have filed registration statements (including the
accompanying preliminary pricing supplement, index 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, index supplement,
prospectus supplement and prospectus in those registration
statements (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 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. Filed pursuant to Rule 433 This offering summary does
not contain all of the material information an investor should
consider before investing in the notes. This offering summary is
not for distribution in isolation and must be read together with
the accompanying preliminary pricing supplement and the other
documents referred to therein, which can be accessed via the link
on the first page. Citigroup Global Markets Holdings Inc.
Guaranteed by Citigroup Inc.