Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
July 10 2024 - 3:30PM
Edgar (US Regulatory)
Citigroup Global Markets Holdings Inc.
|
Free Writing Prospectus to Pricing Supplement
No. 2024-USNCH22596
Registration Statement Nos. 333-270327 and 333-270327-01
Dated July 10, 2024; Filed pursuant to Rule
433 |
Trigger PLUS Based on a Basket of Three
Underliers Due July 24, 2029
Principal at Risk Securities
This document provides a summary of the terms of the securities.
Investors must carefully review the accompanying 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. |
| Basket: |
S&P 500® Index (ticker symbol: “SPX”), EURO STOXX 50® Index (ticker symbol: “SX5E”) and TOPIX® Index (ticker symbol: “TPX”) (equally weighted) (each a “basket component”) |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
July 19, 2024 |
| Issue date: |
July 24, 2024 |
| Valuation date: |
July 19, 2029, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. |
| Maturity date: |
July 24, 2029 |
| Payment at maturity1: |
For each $1,000 stated principal amount security you hold at maturity:
▪ If
the final basket level is greater than the initial basket level:
$1,000 + the leveraged return amount
▪ If
the final basket level is less than or equal to the initial basket level but greater than or equal to the trigger level:
$1,000
▪ If
the final basket level is less than the trigger level:
$1,000 + ($1,000 × the basket return)
If the final basket level is less than the trigger level, your payment
at maturity will be less, and possibly significantly less, than $700 per security. You should not invest in the securities unless you
are willing and able to bear the risk of losing a significant portion and up to all of your investment.
|
| Initial basket level: |
100 |
| Final basket level: |
100 × (1 + the sum of the weighted component returns of the basket components) |
| Weighted component return: |
For each basket component, its weighting multiplied by its component return |
| Component return: |
For each basket component, (i) The final component level minus the initial component level, divided by (ii) the initial component level |
| Final component level: |
For each basket component, its closing level on the valuation date |
| Basket return: |
(i) The final basket level minus the initial basket level, divided by (ii) the initial basket level |
| Hypothetical Payout at Maturity1 |
| Change in Underlying |
Return on Securities |
| +50.00% |
81.00% |
| +40.00% |
64.80% |
| +30.00% |
48.60% |
| +20.00% |
32.40% |
| +10.00% |
16.20% |
| +5.00% |
8.10% |
| 0.00% |
0.00% |
| -10.00% |
0.00% |
| -20.00% |
0.00% |
| -30.00% |
-30.00% |
| -30.01% |
-30.01% |
| -40.00% |
-40.00% |
| -50.00% |
-50.00% |
| -60.00% |
-60.00% |
| -80.00% |
-80.00% |
| -100.00% |
-100.00% |
| 1All payments are subject to our credit risk |
On the date of this pricing supplement, the estimated value of the securities
is $902.50 per security, which is less than the issue price. The estimated value of the securities is based on CGMI’s proprietary
pricing models and our 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 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.
Basket and Basket Components
For more information about the basket and basket components, 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 basket components or the stocks included in the basket components. |
| · | Your payment at maturity depends on the closing levels
of the basket components 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 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 Citigroup Global Market Holdings Inc. by its 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 CGMI 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 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. |
| · | The basket components may offset each other. |
| · | The basket components may be highly correlated in
decline. |
| · | The EURO STOXX 50® Index and the TOPIX®
Index are subject to risks associated with foreign equity securities. |
| · | The performance of the EURO STOXX 50®
Index will not be adjusted for changes in the exchange rate between the euro and the U.S. dollar. |
| · | The performance of the TOPIX® Index
will not be adjusted for changes in the exchange rate between the Japanese yen and the U.S. dollar. |
| · | Changes made by the sponsor of a basket component
may affect the basket component. |
| · | Citigroup Global Market Holdings Inc.’s offering
of the securities does not constitute a recommendation of the basket or the basket components. |
| · | Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the securities. |
| · | The level of a basket component 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. |
| · | 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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